Correlation Between ASM International and AFC Ajax
Can any of the company-specific risk be diversified away by investing in both ASM International and AFC Ajax 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 ASM International and AFC Ajax into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between ASM International NV and AFC Ajax NV, you can compare the effects of market volatilities on ASM International and AFC Ajax 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 ASM International with a short position of AFC Ajax. Check out your portfolio center. Please also check ongoing floating volatility patterns of ASM International and AFC Ajax.
Diversification Opportunities for ASM International and AFC Ajax
0.47 | Correlation Coefficient |
Very weak diversification
The 3 months correlation between ASM and AFC is 0.47. Overlapping area represents the amount of risk that can be diversified away by holding ASM International NV and AFC Ajax NV in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on AFC Ajax NV and ASM International 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 ASM International NV are associated (or correlated) with AFC Ajax. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of AFC Ajax NV has no effect on the direction of ASM International i.e., ASM International and AFC Ajax go up and down completely randomly.
Pair Corralation between ASM International and AFC Ajax
Assuming the 90 days trading horizon ASM International NV is expected to generate 2.3 times more return on investment than AFC Ajax. However, ASM International is 2.3 times more volatile than AFC Ajax NV. It trades about 0.03 of its potential returns per unit of risk. AFC Ajax NV is currently generating about -0.02 per unit of risk. If you would invest 50,760 in ASM International NV on September 3, 2024 and sell it today you would earn a total of 380.00 from holding ASM International NV or generate 0.75% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Weak |
| Accuracy | 100.0% |
| Values | Daily Returns |
ASM International NV vs. AFC Ajax NV
Performance |
| Timeline |
| ASM International |
| AFC Ajax NV |
ASM International and AFC Ajax Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with ASM International and AFC Ajax
The main advantage of trading using opposite ASM International and AFC Ajax positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if ASM International position performs unexpectedly, AFC Ajax 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 AFC Ajax will offset losses from the drop in AFC Ajax's long position.| ASM International vs. BE Semiconductor Industries | ASM International vs. ASML Holding NV | ASM International vs. NN Group NV | ASM International vs. Aalberts Industries NV |
| AFC Ajax vs. Adyen NV | AFC Ajax vs. ASML Holding NV | AFC Ajax vs. ASM International NV | AFC Ajax vs. IMCD NV |
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 Portfolio Volatility module to check portfolio volatility and analyze historical return density to properly model market risk.
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