Correlation Between Tokyo Electron and ASML Holding
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By analyzing existing cross correlation between Tokyo Electron Limited and ASML Holding NV, you can compare the effects of market volatilities on Tokyo Electron 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 Tokyo Electron with a short position of ASML Holding. Check out your portfolio center. Please also check ongoing floating volatility patterns of Tokyo Electron and ASML Holding.
Diversification Opportunities for Tokyo Electron and ASML Holding
0.85 | Correlation Coefficient |
Very poor diversification
The 3 months correlation between Tokyo and ASML is 0.85. Overlapping area represents the amount of risk that can be diversified away by holding Tokyo Electron Limited 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 Tokyo Electron 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 Tokyo Electron Limited 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 Tokyo Electron i.e., Tokyo Electron and ASML Holding go up and down completely randomly.
Pair Corralation between Tokyo Electron and ASML Holding
Assuming the 90 days horizon Tokyo Electron Limited is expected to under-perform the ASML Holding. But the stock apears to be less risky and, when comparing its historical volatility, Tokyo Electron Limited is 1.09 times less risky than ASML Holding. The stock trades about -0.01 of its potential returns per unit of risk. The ASML Holding NV is currently generating about 0.01 of returns per unit of risk over similar time horizon. If you would invest 65,398 in ASML Holding NV on August 28, 2024 and sell it today you would lose (178.00) from holding ASML Holding NV or give up 0.27% of portfolio value over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Strong |
| Accuracy | 100.0% |
| Values | Daily Returns |
Tokyo Electron Limited vs. ASML Holding NV
Performance |
| Timeline |
| Tokyo Electron |
| ASML Holding NV |
Tokyo Electron and ASML Holding Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Tokyo Electron and ASML Holding
The main advantage of trading using opposite Tokyo Electron and ASML Holding positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Tokyo Electron 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.| Tokyo Electron vs. ASML HOLDING NY | Tokyo Electron vs. Applied Materials | Tokyo Electron vs. Superior Plus Corp | Tokyo Electron vs. NMI Holdings |
| ASML Holding vs. ASML HOLDING NY | ASML Holding vs. Applied Materials | ASML Holding vs. Superior Plus Corp | ASML Holding vs. NMI Holdings |
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 Center module to all portfolio management and optimization tools to improve performance of your portfolios.
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