ASML Holding (Germany) Market Value
| ASME Stock | EUR 675.10 42.80 5.96% |
| Symbol | ASML |
ASML Holding 'What if' Analysis
In the world of financial modeling, what-if analysis is part of sensitivity analysis performed to test how changes in assumptions impact individual outputs in a model. When applied to ASML Holding's stock what-if analysis refers to the analyzing how the change in your past investing horizon will affect the profitability against the current market value of ASML Holding.
| 01/01/2025 |
| 03/02/2025 |
If you would invest 0.00 in ASML Holding on January 1, 2025 and sell it all today you would earn a total of 0.00 from holding ASML Holding NV or generate 0.0% return on investment in ASML Holding over 60 days. ASML Holding is related to or competes with PENN NATL, FRACTAL GAMING, Penn National, CanSino Biologics, GAMING FAC, and TROPHY GAMES. ASML Holding N.V. develops, produces, markets, sells, and services advanced semiconductor equipment systems consisting o... More
ASML Holding Upside/Downside Indicators
Understanding different market momentum indicators often help investors to time their next move. Potential upside and downside technical ratios enable traders to measure ASML Holding's stock current market value against overall market sentiment and can be a good tool during both bulling and bearish trends. Here we outline some of the essential indicators to assess ASML Holding NV upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 2.19 | |||
| Information Ratio | 0.048 | |||
| Maximum Drawdown | 13.01 | |||
| Value At Risk | (2.62) | |||
| Potential Upside | 3.49 |
ASML Holding Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for ASML Holding's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as ASML Holding's standard deviation. In reality, there are many statistical measures that can use ASML Holding historical prices to predict the future ASML Holding's volatility.| Risk Adjusted Performance | 0.0371 | |||
| Jensen Alpha | 0.0725 | |||
| Total Risk Alpha | 0.1405 | |||
| Sortino Ratio | 0.0453 | |||
| Treynor Ratio | (0.48) |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of ASML Holding's price to converge to an average value over time is called mean reversion. However, historically, high market prices usually discourage investors that believe in mean reversion to invest, while low prices are viewed as an opportunity to buy.
ASML Holding NV Backtested Returns
At this point, ASML Holding is very steady. ASML Holding NV secures Sharpe Ratio (or Efficiency) of close to zero, which signifies that the company had a close to zero % return per unit of return volatility over the last 3 months. We have found thirty technical indicators for ASML Holding NV, which you can use to evaluate the volatility of the firm. Please confirm ASML Holding's Mean Deviation of 1.41, risk adjusted performance of 0.0371, and Semi Deviation of 2.02 to double-check if the risk estimate we provide is consistent with the expected return of 0.0145%. The firm shows a Beta (market volatility) of -0.16, which signifies not very significant fluctuations relative to the market. As returns on the market increase, returns on owning ASML Holding are expected to decrease at a much lower rate. During the bear market, ASML Holding is likely to outperform the market. ASML Holding NV currently shows a risk of 2.03%. Please confirm ASML Holding NV coefficient of variation, jensen alpha, sortino ratio, as well as the relationship between the standard deviation and total risk alpha , to decide if ASML Holding NV will be following its price patterns.
Auto-correlation | 0.20 |
Weak predictability
ASML Holding NV has weak predictability. Overlapping area represents the amount of predictability between ASML Holding time series from 1st of January 2025 to 31st of January 2025 and 31st of January 2025 to 2nd of March 2025. The more autocorrelation exist between current time interval and its lagged values, the more accurately you can make projection about the future pattern of ASML Holding NV price movement. The serial correlation of 0.2 indicates that over 20.0% of current ASML Holding price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.2 | |
| Spearman Rank Test | -0.03 | |
| Residual Average | 0.0 | |
| Price Variance | 263.1 |
ASML Holding NV lagged returns against current returns
Autocorrelation, which is ASML Holding stock's lagged correlation, explains the relationship between observations of its time series of returns over different periods of time. The observations are said to be independent if autocorrelation is zero. Autocorrelation is calculated as a function of mean and variance and can have practical application in predicting ASML Holding's stock expected returns. We can calculate the autocorrelation of ASML Holding returns to help us make a trade decision. For example, suppose you find that ASML Holding has exhibited high autocorrelation historically, and you observe that the stock is moving up for the past few days. In that case, you can expect the price movement to match the lagging time series.
Current and Lagged Values |
| Timeline |
ASML Holding regressed lagged prices vs. current prices
Serial correlation can be approximated by using the Durbin-Watson (DW) test. The correlation can be either positive or negative. If ASML Holding stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if ASML Holding stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in ASML Holding stock over time.
Current vs Lagged Prices |
| Timeline |
ASML Holding Lagged Returns
When evaluating ASML Holding's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of ASML Holding stock have on its future price. ASML Holding autocorrelation represents the degree of similarity between a given time horizon and a lagged version of the same horizon over the previous time interval. In other words, ASML Holding autocorrelation shows the relationship between ASML Holding stock current value and its past values and can show if there is a momentum factor associated with investing in ASML Holding NV.
Regressed Prices |
| Timeline |
Currently Active Assets on Macroaxis
Additional Information and Resources on Investing in ASML Stock
When determining whether ASML Holding NV is a strong investment it is important to analyze ASML Holding's competitive position within its industry, examining market share, product or service uniqueness, and competitive advantages. Beyond financials and market position, potential investors should also consider broader economic conditions, industry trends, and any regulatory or geopolitical factors that may impact ASML Holding's future performance. For an informed investment choice regarding ASML Stock, refer to the following important reports:Check out ASML Holding Correlation, ASML Holding Volatility and ASML Holding Alpha and Beta module to complement your research on ASML Holding. You can also try the Risk-Return Analysis module to view associations between returns expected from investment and the risk you assume.
ASML Holding technical stock analysis exercises models and trading practices based on price and volume transformations, such as the moving averages, relative strength index, regressions, price and return correlations, business cycles, stock market cycles, or different charting patterns.