ASML Holding (Netherlands) Market Value
| ASML Stock | EUR 652.00 9.90 1.54% |
| 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.
| 07/05/2023 |
| 11/26/2024 |
If you would invest 0.00 in ASML Holding on July 5, 2023 and sell it all today you would earn a total of 0.00 from holding ASML Holding NV or generate 0.0% return on investment in ASML Holding over 510 days. ASML Holding is related to or competes with Adyen NV, Prosus NV, Koninklijke Philips, Koninklijke Ahold, and ING Groep. 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 NV upside and downside potential and time the market with a certain degree of confidence.
| Information Ratio | (0.12) | |||
| Maximum Drawdown | 20.25 | |||
| Value At Risk | (5.42) | |||
| Potential Upside | 3.81 |
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 | (0.05) | |||
| Jensen Alpha | (0.39) | |||
| Total Risk Alpha | (0.74) | |||
| Treynor Ratio | (0.23) |
ASML Holding NV Backtested Returns
ASML Holding NV secures Sharpe Ratio (or Efficiency) of -0.0825, which signifies that the company had a -0.0825% return per unit of return volatility over the last 3 months. ASML Holding NV 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 (0.05), coefficient of variation of (1,245), and Mean Deviation of 2.05 to double-check the risk estimate we provide. The firm shows a Beta (market volatility) of 1.11, which signifies a somewhat significant risk relative to the market. ASML Holding returns are very sensitive to returns on the market. As the market goes up or down, ASML Holding is expected to follow. At this point, ASML Holding NV has a negative expected return of -0.26%. 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 NV performance from the past will be repeated at future time.
Auto-correlation | -0.86 |
Excellent reverse predictability
ASML Holding NV has excellent reverse predictability. Overlapping area represents the amount of predictability between ASML Holding time series from 5th of July 2023 to 16th of March 2024 and 16th of March 2024 to 26th 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 NV price movement. The serial correlation of -0.86 indicates that approximately 86.0% of current ASML Holding price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.86 | |
| Spearman Rank Test | -0.42 | |
| Residual Average | 0.0 | |
| Price Variance | 11.8 K |
ASML Holding NV 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 NV.
Regressed Prices |
| Timeline |
Thematic Opportunities
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Additional Tools for ASML Stock Analysis
When running ASML Holding's price analysis, check to measure ASML Holding's market volatility, profitability, liquidity, solvency, efficiency, growth potential, financial leverage, and other vital indicators. We have many different tools that can be utilized to determine how healthy ASML Holding is operating at the current time. Most of ASML Holding's value examination focuses on studying past and present price action to predict the probability of ASML Holding's future price movements. You can analyze the entity against its peers and the financial market as a whole to determine factors that move ASML Holding's price. Additionally, you may evaluate how the addition of ASML Holding to your portfolios can decrease your overall portfolio volatility.