Correlation Between Science Applications and ASML HOLDING
Can any of the company-specific risk be diversified away by investing in both Science Applications and ASML HOLDING 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 Science Applications and ASML HOLDING into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Science Applications International and ASML HOLDING NY, you can compare the effects of market volatilities on Science Applications and ASML HOLDING 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 Science Applications with a short position of ASML HOLDING. Check out your portfolio center. Please also check ongoing floating volatility patterns of Science Applications and ASML HOLDING.
Diversification Opportunities for Science Applications and ASML HOLDING
-0.45 | Correlation Coefficient |
Very good diversification
The 3 months correlation between Science and ASML is -0.45. Overlapping area represents the amount of risk that can be diversified away by holding Science Applications Internati and ASML HOLDING NY in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on ASML HOLDING NY and Science Applications 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 Science Applications International are associated (or correlated) with ASML HOLDING. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of ASML HOLDING NY has no effect on the direction of Science Applications i.e., Science Applications and ASML HOLDING go up and down completely randomly.
Pair Corralation between Science Applications and ASML HOLDING
Assuming the 90 days trading horizon Science Applications is expected to generate 1.48 times less return on investment than ASML HOLDING. But when comparing it to its historical volatility, Science Applications International is 1.74 times less risky than ASML HOLDING. It trades about 0.26 of its potential returns per unit of risk. ASML HOLDING NY is currently generating about 0.22 of returns per unit of risk over similar time horizon. If you would invest 68,400 in ASML HOLDING NY on October 22, 2024 and sell it today you would earn a total of 6,400 from holding ASML HOLDING NY or generate 9.36% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Against |
| Strength | Very Weak |
| Accuracy | 94.12% |
| Values | Daily Returns |
Science Applications Internati vs. ASML HOLDING NY
Performance |
| Timeline |
| Science Applications |
| ASML HOLDING NY |
Science Applications and ASML HOLDING Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Science Applications and ASML HOLDING
The main advantage of trading using opposite Science Applications and ASML HOLDING positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Science Applications position performs unexpectedly, ASML HOLDING 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 ASML HOLDING will offset losses from the drop in ASML HOLDING's long position.| Science Applications vs. TERADATA | Science Applications vs. INFORMATION SVC GRP | Science Applications vs. Scandinavian Tobacco Group | Science Applications vs. De Grey Mining |
| ASML HOLDING vs. STORE ELECTRONIC | ASML HOLDING vs. Canadian Utilities Limited | ASML HOLDING vs. United Utilities Group | ASML HOLDING vs. UNITED UTILITIES GR |
Check out your portfolio center.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 Performance Analysis module to check effects of mean-variance optimization against your current asset allocation.
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