Correlation Between SCREEN Holdings and ASML Holding
Can any of the company-specific risk be diversified away by investing in both SCREEN Holdings 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 SCREEN Holdings and ASML Holding into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between SCREEN Holdings Co and ASML Holding NV, you can compare the effects of market volatilities on SCREEN Holdings 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 SCREEN Holdings with a short position of ASML Holding. Check out your portfolio center. Please also check ongoing floating volatility patterns of SCREEN Holdings and ASML Holding.
Diversification Opportunities for SCREEN Holdings and ASML Holding
0.69 | Correlation Coefficient |
Poor diversification
The 3 months correlation between SCREEN and ASML is 0.69. Overlapping area represents the amount of risk that can be diversified away by holding SCREEN Holdings Co and ASML Holding NV in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on ASML Holding NV and SCREEN Holdings 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 SCREEN Holdings Co 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 NV has no effect on the direction of SCREEN Holdings i.e., SCREEN Holdings and ASML Holding go up and down completely randomly.
Pair Corralation between SCREEN Holdings and ASML Holding
Assuming the 90 days horizon SCREEN Holdings Co is expected to under-perform the ASML Holding. In addition to that, SCREEN Holdings is 1.86 times more volatile than ASML Holding NV. It trades about -0.23 of its total potential returns per unit of risk. ASML Holding NV is currently generating about -0.07 per unit of volatility. If you would invest 96,146 in ASML Holding NV on August 31, 2024 and sell it today you would lose (29,098) from holding ASML Holding NV or give up 30.26% of portfolio value over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Significant |
| Accuracy | 23.81% |
| Values | Daily Returns |
SCREEN Holdings Co vs. ASML Holding NV
Performance |
| Timeline |
| SCREEN Holdings |
Risk-Adjusted Performance
0 of 100
Weak | Strong |
Very Weak
| ASML Holding NV |
SCREEN Holdings and ASML Holding Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with SCREEN Holdings and ASML Holding
The main advantage of trading using opposite SCREEN Holdings and ASML Holding positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if SCREEN Holdings 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.| SCREEN Holdings vs. Asm Pacific Technology | SCREEN Holdings vs. Disco Corp ADR | SCREEN Holdings vs. Tokyo Electron | SCREEN Holdings vs. Lasertec |
| ASML Holding vs. Applied Materials | ASML Holding vs. KLA Tencor | ASML Holding vs. Axcelis Technologies | ASML Holding vs. Teradyne |
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 CEOs Directory module to screen CEOs from public companies around the world.
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