Correlation Between Sasol and GSETNC

Can any of the company-specific risk be diversified away by investing in both Sasol and GSETNC at the same time? Although using a correlation coefficient on its own may not help to predict future stock returns, this module helps to understand the diversifiable risk of combining Sasol and GSETNC into the same portfolio, which is an essential part of the fundamental portfolio management process.

By analyzing existing cross correlation between Sasol Ltd Bee and GSETNC, you can compare the effects of market volatilities on Sasol and GSETNC and check how they will diversify away market risk if combined in the same portfolio for a given time horizon. You can also utilize pair trading strategies of matching a long position in Sasol with a short position of GSETNC. Check out your portfolio center. Please also check ongoing floating volatility patterns of Sasol and GSETNC.

Diversification Opportunities for Sasol and GSETNC

-0.67

Correlation Coefficient

Sasol  GSETNC

Excellent diversification

The 3 months correlation between Sasol and GSETNC is -0.67. Overlapping area represents the amount of risk that can be diversified away by holding Sasol Ltd Bee and GSETNC in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on GSETNC and Sasol is a relative statistical measure of the degree to which these equity instruments tend to move together. The correlation coefficient measures the extent to which returns on Sasol Ltd Bee are associated (or correlated) with GSETNC. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of GSETNC has no effect on the direction of Sasol i.e., Sasol and GSETNC go up and down completely randomly.

Pair Corralation between Sasol and GSETNC

Assuming the 90 days trading horizon Sasol Ltd Bee is expected to under-perform the GSETNC. In addition to that, Sasol is 2.41 times more volatile than GSETNC. It trades about -0.03 of its total potential returns per unit of risk. GSETNC is currently generating about 0.17 per unit of volatility. If you would invest  233,400  in GSETNC on October 7, 2024 and sell it today you would earn a total of  125,500  from holding GSETNC or generate 53.77% return on investment over 90 days.

Time Period	3 Months [change]
Direction	Moves Against
Strength	Weak
Accuracy	47.56%
Values	Daily Returns

Sasol Ltd Bee  vs.  GSETNC

Sasol Ltd Bee

Risk-Adjusted Performance

0 of 100

Very Weak

Over the last 90 days Sasol Ltd Bee has generated negative risk-adjusted returns adding no value to investors with long positions. Despite latest unsteady performance, the Etf's fundamental drivers remain strong and the current disturbance on Wall Street may also be a sign of long term gains for the ETF investors.

GSETNC

Risk-Adjusted Performance

17 of 100

Solid

Compared to the overall equity markets, risk-adjusted returns on investments in GSETNC are ranked lower than 17 (%) of all global equities and portfolios over the last 90 days. Despite somewhat weak basic indicators, GSETNC sustained solid returns over the last few months and may actually be approaching a breakup point.

Pair Trading with Sasol and GSETNC

The main advantage of trading using opposite Sasol and GSETNC positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Sasol position performs unexpectedly, GSETNC can make up some of the losses. Pair trading also minimizes risk from directional movements in the market. For example, if an entire industry or sector drops because of unexpected headlines, the short position in GSETNC will offset losses from the drop in GSETNC's long position.

The idea behind Sasol Ltd Bee and GSETNC pairs trading is to make the combined position market-neutral, meaning the overall market's direction will not affect its win or loss (or potential downside or upside). This can be achieved by designing a pairs trade with two highly correlated stocks or equities that operate in a similar space or sector, making it possible to obtain profits through simple and relatively low-risk investment.

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Note that this page's information should be used as a complementary analysis to find the right mix of equity instruments to add to your existing portfolios or create a brand new portfolio. You can also try the Equity Analysis module to research over 250,000 global equities including funds, stocks and ETFs to find investment opportunities.