Correlation Between ASML Holding and ASM International
Can any of the company-specific risk be diversified away by investing in both ASML Holding and ASM International 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 ASML Holding and ASM International into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between ASML Holding NV and ASM International NV, you can compare the effects of market volatilities on ASML Holding and ASM International 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 ASML Holding with a short position of ASM International. Check out your portfolio center. Please also check ongoing floating volatility patterns of ASML Holding and ASM International.
Diversification Opportunities for ASML Holding and ASM International
0.96 | Correlation Coefficient |
Almost no diversification
The 3 months correlation between ASML and ASM is 0.96. Overlapping area represents the amount of risk that can be diversified away by holding ASML Holding NV and ASM International NV in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on ASM International and ASML Holding 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 ASML Holding NV are associated (or correlated) with ASM International. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of ASM International has no effect on the direction of ASML Holding i.e., ASML Holding and ASM International go up and down completely randomly.
Pair Corralation between ASML Holding and ASM International
Assuming the 90 days trading horizon ASML Holding is expected to generate 2.89 times less return on investment than ASM International. But when comparing it to its historical volatility, ASML Holding NV is 1.13 times less risky than ASM International. It trades about 0.03 of its potential returns per unit of risk. ASM International NV is currently generating about 0.07 of returns per unit of risk over similar time horizon. If you would invest 26,166 in ASM International NV on August 28, 2024 and sell it today you would earn a total of 25,194 from holding ASM International NV or generate 96.29% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Very Strong |
| Accuracy | 100.0% |
| Values | Daily Returns |
ASML Holding NV vs. ASM International NV
Performance |
| Timeline |
| ASML Holding NV |
| ASM International |
ASML Holding and ASM International Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with ASML Holding and ASM International
The main advantage of trading using opposite ASML Holding and ASM International positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if ASML Holding position performs unexpectedly, ASM International 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 ASM International will offset losses from the drop in ASM International's long position.| ASML Holding vs. Adyen NV | ASML Holding vs. Prosus NV | ASML Holding vs. Koninklijke Philips NV | ASML Holding vs. Koninklijke Ahold Delhaize |
| ASM International vs. BE Semiconductor Industries | ASM International vs. ASML Holding NV | ASM International vs. NN Group NV | ASM International vs. Aalberts Industries 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 Balance Of Power module to check stock momentum by analyzing Balance Of Power indicator and other technical ratios.
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