ASML HOLDING (Germany) Market Value
| ASMF Stock | EUR 642.00 12.00 1.83% |
| Symbol | ASML |
ASML HOLDING 'What if' Analysis
In the world of financial modeling, what-if analysis is part of sensitivity analysis performed to test how changes in assumptions impact individual outputs in a model. When applied to ASML HOLDING's stock what-if analysis refers to the analyzing how the change in your past investing horizon will affect the profitability against the current market value of ASML HOLDING.
| 10/28/2024 |
| 11/27/2024 |
If you would invest 0.00 in ASML HOLDING on October 28, 2024 and sell it all today you would earn a total of 0.00 from holding ASML HOLDING NY or generate 0.0% return on investment in ASML HOLDING over 30 days. ASML HOLDING is related to or competes with Superior Plus, NMI Holdings, Origin Agritech, SIVERS SEMICONDUCTORS, Talanx AG, NorAm Drilling, and Identiv. ASML Holding N.V. develops, produces, markets, sells, and services advanced semiconductor equipment systems consisting o... More
ASML HOLDING Upside/Downside Indicators
Understanding different market momentum indicators often help investors to time their next move. Potential upside and downside technical ratios enable traders to measure ASML HOLDING's stock current market value against overall market sentiment and can be a good tool during both bulling and bearish trends. Here we outline some of the essential indicators to assess ASML HOLDING NY upside and downside potential and time the market with a certain degree of confidence.
| Information Ratio | (0.13) | |||
| Maximum Drawdown | 22.54 | |||
| Value At Risk | (5.01) | |||
| Potential Upside | 3.73 |
ASML HOLDING Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for ASML HOLDING's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as ASML HOLDING's standard deviation. In reality, there are many statistical measures that can use ASML HOLDING historical prices to predict the future ASML HOLDING's volatility.| Risk Adjusted Performance | (0.06) | |||
| Jensen Alpha | (0.44) | |||
| Total Risk Alpha | (0.76) | |||
| Treynor Ratio | (0.20) |
ASML HOLDING NY Backtested Returns
ASML HOLDING NY secures Sharpe Ratio (or Efficiency) of -0.11, which signifies that the company had a -0.11% return per unit of return volatility over the last 3 months. ASML HOLDING NY exposes twenty-three different technical indicators, which can help you to evaluate volatility embedded in its price movement. Please confirm ASML HOLDING's Risk Adjusted Performance of (0.06), coefficient of variation of (1,176), and Mean Deviation of 2.03 to double-check the risk estimate we provide. The firm shows a Beta (market volatility) of 1.35, which signifies a somewhat significant risk relative to the market. As the market goes up, the company is expected to outperform it. However, if the market returns are negative, ASML HOLDING will likely underperform. At this point, ASML HOLDING NY has a negative expected return of -0.33%. Please make sure to confirm ASML HOLDING's treynor ratio, value at risk, and the relationship between the total risk alpha and maximum drawdown , to decide if ASML HOLDING NY performance from the past will be repeated at future time.
Auto-correlation | 0.06 |
Virtually no predictability
ASML HOLDING NY has virtually no predictability. Overlapping area represents the amount of predictability between ASML HOLDING time series from 28th of October 2024 to 12th of November 2024 and 12th of November 2024 to 27th of November 2024. The more autocorrelation exist between current time interval and its lagged values, the more accurately you can make projection about the future pattern of ASML HOLDING NY price movement. The serial correlation of 0.06 indicates that barely 6.0% of current ASML HOLDING price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.06 | |
| Spearman Rank Test | -0.08 | |
| Residual Average | 0.0 | |
| Price Variance | 96.79 |
ASML HOLDING NY lagged returns against current returns
Autocorrelation, which is ASML HOLDING stock's lagged correlation, explains the relationship between observations of its time series of returns over different periods of time. The observations are said to be independent if autocorrelation is zero. Autocorrelation is calculated as a function of mean and variance and can have practical application in predicting ASML HOLDING's stock expected returns. We can calculate the autocorrelation of ASML HOLDING returns to help us make a trade decision. For example, suppose you find that ASML HOLDING has exhibited high autocorrelation historically, and you observe that the stock is moving up for the past few days. In that case, you can expect the price movement to match the lagging time series.
Current and Lagged Values |
| Timeline |
ASML HOLDING regressed lagged prices vs. current prices
Serial correlation can be approximated by using the Durbin-Watson (DW) test. The correlation can be either positive or negative. If ASML HOLDING stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if ASML HOLDING stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in ASML HOLDING stock over time.
Current vs Lagged Prices |
| Timeline |
ASML HOLDING Lagged Returns
When evaluating ASML HOLDING's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of ASML HOLDING stock have on its future price. ASML HOLDING autocorrelation represents the degree of similarity between a given time horizon and a lagged version of the same horizon over the previous time interval. In other words, ASML HOLDING autocorrelation shows the relationship between ASML HOLDING stock current value and its past values and can show if there is a momentum factor associated with investing in ASML HOLDING NY.
Regressed Prices |
| Timeline |
Currently Active Assets on Macroaxis
Other Information on Investing in ASML Stock
ASML HOLDING financial ratios help investors to determine whether ASML Stock is cheap or expensive when compared to a particular measure, such as profits or enterprise value. In other words, they help investors to determine the cost of investment in ASML with respect to the benefits of owning ASML HOLDING security.