Correlation Between ASML Holding and VanEck IBoxx
Can any of the company-specific risk be diversified away by investing in both ASML Holding and VanEck IBoxx 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 VanEck IBoxx 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 VanEck iBoxx EUR, you can compare the effects of market volatilities on ASML Holding and VanEck IBoxx 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 VanEck IBoxx. Check out your portfolio center. Please also check ongoing floating volatility patterns of ASML Holding and VanEck IBoxx.
Diversification Opportunities for ASML Holding and VanEck IBoxx
0.24 | Correlation Coefficient |
Modest diversification
The 3 months correlation between ASML and VanEck is 0.24. Overlapping area represents the amount of risk that can be diversified away by holding ASML Holding NV and VanEck iBoxx EUR in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on VanEck iBoxx EUR 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 VanEck IBoxx. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of VanEck iBoxx EUR has no effect on the direction of ASML Holding i.e., ASML Holding and VanEck IBoxx go up and down completely randomly.
Pair Corralation between ASML Holding and VanEck IBoxx
Assuming the 90 days trading horizon ASML Holding NV is expected to generate 5.53 times more return on investment than VanEck IBoxx. However, ASML Holding is 5.53 times more volatile than VanEck iBoxx EUR. It trades about 0.02 of its potential returns per unit of risk. VanEck iBoxx EUR is currently generating about 0.03 per unit of risk. If you would invest 58,262 in ASML Holding NV on September 3, 2024 and sell it today you would earn a total of 7,578 from holding ASML Holding NV or generate 13.01% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Very Weak |
| Accuracy | 100.0% |
| Values | Daily Returns |
ASML Holding NV vs. VanEck iBoxx EUR
Performance |
| Timeline |
| ASML Holding NV |
| VanEck iBoxx EUR |
ASML Holding and VanEck IBoxx Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with ASML Holding and VanEck IBoxx
The main advantage of trading using opposite ASML Holding and VanEck IBoxx positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if ASML Holding position performs unexpectedly, VanEck IBoxx 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 VanEck IBoxx will offset losses from the drop in VanEck IBoxx'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 |
| VanEck IBoxx vs. VanEck iBoxx EUR | VanEck IBoxx vs. VanEck Global Real | VanEck IBoxx vs. VanEck AEX UCITS | VanEck IBoxx vs. VanEck iBoxx EUR |
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 Bonds Directory module to find actively traded corporate debentures issued by US companies.
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