Correlation Between ASML HOLDING and ASM International

Can any of the company-specific risk be diversified away by investing in both ASML HOLDING and ASM International 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 ASM International into the same portfolio, which is an essential part of the fundamental portfolio management process.

By analyzing existing cross correlation between ASML HOLDING NY and ASM International NV, you can compare the effects of market volatilities on ASML HOLDING and ASM International 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 ASM International. Check out your portfolio center. Please also check ongoing floating volatility patterns of ASML HOLDING and ASM International.

Diversification Opportunities for ASML HOLDING and ASM International

0.94

Correlation Coefficient

ASML HOLDING  ASM International

Almost no diversification

The 3 months correlation between ASML and ASM is 0.94. Overlapping area represents the amount of risk that can be diversified away by holding ASML HOLDING NY and ASM International NV in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on ASM International 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 NY are associated (or correlated) with ASM International. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of ASM International has no effect on the direction of ASML HOLDING i.e., ASML HOLDING and ASM International go up and down completely randomly.

Pair Corralation between ASML HOLDING and ASM International

Assuming the 90 days trading horizon ASML HOLDING NY is expected to under-perform the ASM International. In addition to that, ASML HOLDING is 1.16 times more volatile than ASM International NV. It trades about -0.04 of its total potential returns per unit of risk. ASM International NV is currently generating about -0.04 per unit of volatility. If you would invest  54,440  in ASM International NV on September 4, 2024 and sell it today you would lose (4,560) from holding ASM International NV or give up 8.38% of portfolio value over 90 days.

Time Period	3 Months [change]
Direction	Moves Together
Strength	Very Strong
Accuracy	100.0%
Values	Daily Returns

ASML HOLDING NY  vs.  ASM International NV

ASML HOLDING NY

Risk-Adjusted Performance

0 of 100

Very Weak

Over the last 90 days ASML HOLDING NY has generated negative risk-adjusted returns adding no value to investors with long positions. Despite latest fragile performance, the Stock's primary indicators remain stable and the current disturbance on Wall Street may also be a sign of long-run gains for the company stockholders.

ASM International

Risk-Adjusted Performance

0 of 100

Very Weak

Over the last 90 days ASM International NV has generated negative risk-adjusted returns adding no value to investors with long positions. Despite latest fragile performance, the Stock's basic indicators remain stable and the current disturbance on Wall Street may also be a sign of long-run gains for the company stockholders.

Pair Trading with ASML HOLDING and ASM International

The main advantage of trading using opposite ASML HOLDING and ASM International positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if ASML HOLDING position performs unexpectedly, ASM International 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 ASM International will offset losses from the drop in ASM International's long position.

The idea behind ASML HOLDING NY and ASM International NV pairs trading is to make the combined position market-neutral, meaning the overall market's direction will not affect its win or loss (or potential downside or upside). This can be achieved by designing a pairs trade with two highly correlated stocks or equities that operate in a similar space or sector, making it possible to obtain profits through simple and relatively low-risk investment.

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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 Pattern Recognition module to use different Pattern Recognition models to time the market across multiple global exchanges.