Sasol Downside Variance
| SSL Stock | | | USD 12.40 0.37 3.08% |
The Downside Variance calculation for Sasol draws on price and volume history. Each data point is derived from standardized price and volume feeds. Sasol has a market cap of 7.67 B, operating margin of 9.79%, ROE of 2.47%. Use
World Market Map to view allocation positioning. Current allocation data is available for review. The summary draws on available position and value data. A position in Sasol appears within the mix. The position is captured in the allocation summary. Also, note that the market value of any company could be closely tied with the direction of predictive economic indicators such as
signals in population.
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Sasol has current Downside Variance of 15.54. Downside Variance (or DV) is measured by target semi-variance and is termed downside volatility. It is expressed in percentages and therefore allows for rankings in the same way as variance. One way to view downside volatility is the annualized variance of returns below the target.
Downside Variance | = | SUM(RET DEV)2N(ER) |
| = | 15.54 | |
| SUM | = | Summation notation |
| RET DEV | = | Actual returns deviation over selected period |
| N(ER) | = | Number of points with returns less than expected return for the period |
Downside Variance Peers Comparison
Downside Variance Relative To Other Indicators
Sasol sits atop the peer group for downside variance within its peer group. It is currently under evaluation for maximum drawdown within its peer group where Maximum Drawdown runs almost
1.22 per Downside Variance. Sasol's Maximum Drawdown registers at
1.22 relative to Downside Variance
Downside Variance is the probability-weighted squared below-target returns. The squaring of the below-target returns has the effect of penalizing failures at an exponential rate. This is consistent with observations made on the behavior of individual decision-making under.
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