Sasol (South Africa) Market Value
| SOLBE1 Etf | 5,250 50.00 0.96% |
| Symbol | Sasol |
Sasol 'What if' Analysis
In the world of financial modeling, what-if analysis is part of sensitivity analysis performed to test how changes in assumptions impact individual outputs in a model. When applied to Sasol's etf what-if analysis refers to the analyzing how the change in your past investing horizon will affect the profitability against the current market value of Sasol.
| 12/17/2024 |
| 03/17/2025 |
If you would invest 0.00 in Sasol on December 17, 2024 and sell it all today you would earn a total of 0.00 from holding Sasol Ltd Bee or generate 0.0% return on investment in Sasol over 90 days.
Sasol Upside/Downside Indicators
Understanding different market momentum indicators often help investors to time their next move. Potential upside and downside technical ratios enable traders to measure Sasol's etf current market value against overall market sentiment and can be a good tool during both bulling and bearish trends. Here we outline some of the essential indicators to assess Sasol Ltd Bee upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 18.64 | |||
| Information Ratio | 0.0121 | |||
| Maximum Drawdown | 71.54 | |||
| Value At Risk | (6.34) | |||
| Potential Upside | 7.84 |
Sasol Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Sasol's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Sasol's standard deviation. In reality, there are many statistical measures that can use Sasol historical prices to predict the future Sasol's volatility.| Risk Adjusted Performance | 0.0116 | |||
| Jensen Alpha | (0.21) | |||
| Total Risk Alpha | 1.35 | |||
| Sortino Ratio | 0.0069 | |||
| Treynor Ratio | (0.01) |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of Sasol's price to converge to an average value over time is called mean reversion. However, historically, high market prices usually discourage investors that believe in mean reversion to invest, while low prices are viewed as an opportunity to buy.
Sasol Ltd Bee Backtested Returns
At this point, Sasol is very steady. Sasol Ltd Bee owns Efficiency Ratio (i.e., Sharpe Ratio) of close to zero, which indicates the etf had a close to zero % return per unit of risk over the last 3 months. We have found twenty-eight technical indicators for Sasol Ltd Bee, which you can use to evaluate the volatility of the etf. Please validate Sasol's Coefficient Of Variation of 35479.02, semi deviation of 8.33, and Risk Adjusted Performance of 0.0116 to confirm if the risk estimate we provide is consistent with the expected return of 0.0319%. The entity has a beta of -2.1, which indicates a somewhat significant risk relative to the market. As returns on the market increase, returns on owning Sasol are expected to decrease by larger amounts. On the other hand, during market turmoil, Sasol is expected to outperform it.
Auto-correlation | -0.24 |
Weak reverse predictability
Sasol Ltd Bee has weak reverse predictability. Overlapping area represents the amount of predictability between Sasol time series from 17th of December 2024 to 31st of January 2025 and 31st of January 2025 to 17th of March 2025. The more autocorrelation exist between current time interval and its lagged values, the more accurately you can make projection about the future pattern of Sasol Ltd Bee price movement. The serial correlation of -0.24 indicates that over 24.0% of current Sasol price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.24 | |
| Spearman Rank Test | 0.63 | |
| Residual Average | 0.0 | |
| Price Variance | 548.8 K |
Sasol Ltd Bee lagged returns against current returns
Autocorrelation, which is Sasol etf's lagged correlation, explains the relationship between observations of its time series of returns over different periods of time. The observations are said to be independent if autocorrelation is zero. Autocorrelation is calculated as a function of mean and variance and can have practical application in predicting Sasol's etf expected returns. We can calculate the autocorrelation of Sasol returns to help us make a trade decision. For example, suppose you find that Sasol has exhibited high autocorrelation historically, and you observe that the etf is moving up for the past few days. In that case, you can expect the price movement to match the lagging time series.
Current and Lagged Values |
| Timeline |
Sasol regressed lagged prices vs. current prices
Serial correlation can be approximated by using the Durbin-Watson (DW) test. The correlation can be either positive or negative. If Sasol etf is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Sasol etf is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Sasol etf over time.
Current vs Lagged Prices |
| Timeline |
Sasol Lagged Returns
When evaluating Sasol's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Sasol etf have on its future price. Sasol autocorrelation represents the degree of similarity between a given time horizon and a lagged version of the same horizon over the previous time interval. In other words, Sasol autocorrelation shows the relationship between Sasol etf current value and its past values and can show if there is a momentum factor associated with investing in Sasol Ltd Bee.
Regressed Prices |
| Timeline |