Correlation Between AUST AGRICULTURAL and ASML Holding

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

By analyzing existing cross correlation between AUST AGRICULTURAL and ASML Holding NV, you can compare the effects of market volatilities on AUST AGRICULTURAL and ASML Holding 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 AUST AGRICULTURAL with a short position of ASML Holding. Check out your portfolio center. Please also check ongoing floating volatility patterns of AUST AGRICULTURAL and ASML Holding.

Diversification Opportunities for AUST AGRICULTURAL and ASML Holding

0.51

Correlation Coefficient

AUST AGRICULTURAL  ASML Holding

Very weak diversification

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

Pair Corralation between AUST AGRICULTURAL and ASML Holding

Assuming the 90 days trading horizon AUST AGRICULTURAL is expected to under-perform the ASML Holding. But the stock apears to be less risky and, when comparing its historical volatility, AUST AGRICULTURAL is 1.33 times less risky than ASML Holding. The stock trades about -0.03 of its potential returns per unit of risk. The ASML Holding NV is currently generating about 0.04 of returns per unit of risk over similar time horizon. If you would invest  50,995  in ASML Holding NV on September 13, 2024 and sell it today you would earn a total of  16,525  from holding ASML Holding NV or generate 32.41% return on investment over 90 days.

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

AUST AGRICULTURAL  vs.  ASML Holding NV

AUST AGRICULTURAL

Risk-Adjusted Performance

0 of 100

Very Weak

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

ASML Holding NV

Risk-Adjusted Performance

0 of 100

Very Weak

Over the last 90 days ASML Holding NV has generated negative risk-adjusted returns adding no value to investors with long positions. Despite nearly stable primary indicators, ASML Holding is not utilizing all of its potentials. The current stock price disturbance, may contribute to mid-run losses for the stockholders.

Pair Trading with AUST AGRICULTURAL and ASML Holding

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

The idea behind AUST AGRICULTURAL and ASML Holding 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 Piotroski F Score module to get Piotroski F Score based on the binary analysis strategy of nine different fundamentals.