Correlation Between ASML Holding and Vulcan Materials
Can any of the company-specific risk be diversified away by investing in both ASML Holding and Vulcan Materials 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 Vulcan Materials 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 Vulcan Materials, you can compare the effects of market volatilities on ASML Holding and Vulcan Materials 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 Vulcan Materials. Check out your portfolio center. Please also check ongoing floating volatility patterns of ASML Holding and Vulcan Materials.
Diversification Opportunities for ASML Holding and Vulcan Materials
0.71 | Correlation Coefficient |
Poor diversification
The 3 months correlation between ASML and Vulcan is 0.71. Overlapping area represents the amount of risk that can be diversified away by holding ASML Holding NV and Vulcan Materials in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Vulcan Materials 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 Vulcan Materials. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Vulcan Materials has no effect on the direction of ASML Holding i.e., ASML Holding and Vulcan Materials go up and down completely randomly.
Pair Corralation between ASML Holding and Vulcan Materials
Assuming the 90 days trading horizon ASML Holding NV is expected to generate 1.34 times more return on investment than Vulcan Materials. However, ASML Holding is 1.34 times more volatile than Vulcan Materials. It trades about -0.01 of its potential returns per unit of risk. Vulcan Materials is currently generating about -0.12 per unit of risk. If you would invest 67,564 in ASML Holding NV on December 28, 2024 and sell it today you would lose (1,724) from holding ASML Holding NV or give up 2.55% of portfolio value over 90 days.
Time Period | 3 Months [change] |
Direction | Moves Together |
Strength | Significant |
Accuracy | 100.0% |
Values | Daily Returns |
ASML Holding NV vs. Vulcan Materials
Performance |
Timeline |
ASML Holding NV |
Vulcan Materials |
ASML Holding and Vulcan Materials Volatility Contrast
Predicted Return Density |
Returns |
Pair Trading with ASML Holding and Vulcan Materials
The main advantage of trading using opposite ASML Holding and Vulcan Materials positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if ASML Holding position performs unexpectedly, Vulcan Materials 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 Vulcan Materials will offset losses from the drop in Vulcan Materials' long position.ASML Holding vs. Jacquet Metal Service | ASML Holding vs. GRIFFIN MINING LTD | ASML Holding vs. MARKET VECTR RETAIL | ASML Holding vs. JIAHUA STORES |
Vulcan Materials vs. Daikin IndustriesLtd | Vulcan Materials vs. Compagnie de Saint Gobain | Vulcan Materials vs. Anhui Conch Cement | Vulcan Materials vs. Heidelberg Materials AG |
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 File Import module to quickly import all of your third-party portfolios from your local drive in csv format.
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