Correlation Between ASML Holding and Academy Sports

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

Diversification Opportunities for ASML Holding and Academy Sports

0.51

Correlation Coefficient

ASML Holding  Academy Sports

Very weak diversification

The 3 months correlation between ASML and Academy is 0.51. Overlapping area represents the amount of risk that can be diversified away by holding ASML Holding NV and Academy Sports Outdoors in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Academy Sports Outdoors 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 Academy Sports. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Academy Sports Outdoors has no effect on the direction of ASML Holding i.e., ASML Holding and Academy Sports go up and down completely randomly.

Pair Corralation between ASML Holding and Academy Sports

Given the investment horizon of 90 days ASML Holding NV is expected to generate 0.94 times more return on investment than Academy Sports. However, ASML Holding NV is 1.07 times less risky than Academy Sports. It trades about 0.13 of its potential returns per unit of risk. Academy Sports Outdoors is currently generating about -0.18 per unit of risk. If you would invest  72,104  in ASML Holding NV on October 24, 2024 and sell it today you would earn a total of  3,529  from holding ASML Holding NV or generate 4.89% return on investment over 90 days.

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

ASML Holding NV  vs.  Academy Sports Outdoors

ASML Holding NV

Risk-Adjusted Performance

5 of 100

Modest

Compared to the overall equity markets, risk-adjusted returns on investments in ASML Holding NV are ranked lower than 5 (%) of all global equities and portfolios over the last 90 days. Despite quite uncertain primary indicators, ASML Holding may actually be approaching a critical reversion point that can send shares even higher in February 2025.

Academy Sports Outdoors

Risk-Adjusted Performance

0 of 100

Insignificant

Over the last 90 days Academy Sports Outdoors has generated negative risk-adjusted returns adding no value to investors with long positions. In spite of very healthy basic indicators, Academy Sports is not utilizing all of its potentials. The recent stock price disarray, may contribute to short-term losses for the investors.

Pair Trading with ASML Holding and Academy Sports

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

The idea behind ASML Holding NV and Academy Sports Outdoors 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 Latest Portfolios module to quick portfolio dashboard that showcases your latest portfolios.