Correlation Between ASML Holding and Sumco Corp
Can any of the company-specific risk be diversified away by investing in both ASML Holding and Sumco Corp 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 Sumco Corp 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 Sumco Corp ADR, you can compare the effects of market volatilities on ASML Holding and Sumco Corp 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 Sumco Corp. Check out your portfolio center. Please also check ongoing floating volatility patterns of ASML Holding and Sumco Corp.
Diversification Opportunities for ASML Holding and Sumco Corp
-0.03 | Correlation Coefficient |
Good diversification
The 3 months correlation between ASML and Sumco is -0.03. Overlapping area represents the amount of risk that can be diversified away by holding ASML Holding NV and Sumco Corp ADR in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Sumco Corp ADR 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 Sumco Corp. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Sumco Corp ADR has no effect on the direction of ASML Holding i.e., ASML Holding and Sumco Corp go up and down completely randomly.
Pair Corralation between ASML Holding and Sumco Corp
Given the investment horizon of 90 days ASML Holding is expected to generate 3.93 times less return on investment than Sumco Corp. But when comparing it to its historical volatility, ASML Holding NV is 1.31 times less risky than Sumco Corp. It trades about 0.01 of its potential returns per unit of risk. Sumco Corp ADR is currently generating about 0.02 of returns per unit of risk over similar time horizon. If you would invest 1,584 in Sumco Corp ADR on December 26, 2024 and sell it today you would earn a total of 22.00 from holding Sumco Corp ADR or generate 1.39% 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. Sumco Corp ADR
Performance |
Timeline |
ASML Holding NV |
Sumco Corp ADR |
ASML Holding and Sumco Corp Volatility Contrast
Predicted Return Density |
Returns |
Pair Trading with ASML Holding and Sumco Corp
The main advantage of trading using opposite ASML Holding and Sumco Corp positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if ASML Holding position performs unexpectedly, Sumco Corp 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 Sumco Corp will offset losses from the drop in Sumco Corp's long position.ASML Holding vs. Applied Materials | ASML Holding vs. KLA Tencor | ASML Holding vs. Axcelis Technologies | ASML Holding vs. Teradyne |
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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 Money Managers module to screen money managers from public funds and ETFs managed around the world.
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