Correlation Between ASML Holding and IShares Core

Can any of the company-specific risk be diversified away by investing in both ASML Holding and IShares Core 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 IShares Core 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 iShares Core FTSE, you can compare the effects of market volatilities on ASML Holding and IShares Core 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 IShares Core. Check out your portfolio center. Please also check ongoing floating volatility patterns of ASML Holding and IShares Core.

Diversification Opportunities for ASML Holding and IShares Core

-0.16

Correlation Coefficient

ASML Holding  IShares Core

Good diversification

The 3 months correlation between ASML and IShares is -0.16. Overlapping area represents the amount of risk that can be diversified away by holding ASML Holding NV and iShares Core FTSE in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on iShares Core FTSE 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 IShares Core. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of iShares Core FTSE has no effect on the direction of ASML Holding i.e., ASML Holding and IShares Core go up and down completely randomly.

Pair Corralation between ASML Holding and IShares Core

Assuming the 90 days trading horizon ASML Holding NV is expected to under-perform the IShares Core. In addition to that, ASML Holding is 3.64 times more volatile than iShares Core FTSE. It trades about -0.03 of its total potential returns per unit of risk. iShares Core FTSE is currently generating about 0.16 per unit of volatility. If you would invest  945.00  in iShares Core FTSE on December 30, 2024 and sell it today you would earn a total of  66.00  from holding iShares Core FTSE or generate 6.98% return on investment over 90 days.

Time Period	3 Months [change]
Direction	Moves Against
Strength	Insignificant
Accuracy	100.0%
Values	Daily Returns

ASML Holding NV  vs.  iShares Core FTSE

ASML Holding NV

Risk-Adjusted Performance

Very Weak

Over the last 90 days ASML Holding NV has generated negative risk-adjusted returns adding no value to investors with long positions. In spite of comparatively stable basic indicators, ASML Holding is not utilizing all of its potentials. The current stock price uproar, may contribute to short-horizon losses for the private investors.

iShares Core FTSE

Risk-Adjusted Performance

Good

Compared to the overall equity markets, risk-adjusted returns on investments in iShares Core FTSE are ranked lower than 12 (%) of all global equities and portfolios over the last 90 days. In spite of comparatively uncertain basic indicators, IShares Core may actually be approaching a critical reversion point that can send shares even higher in April 2025.

Pair Trading with ASML Holding and IShares Core

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

The idea behind ASML Holding NV and iShares Core FTSE 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 Premium Stories module to follow Macroaxis premium stories from verified contributors across different equity types, categories and coverage scope.