ASML HOLDING (Germany) Volatility
| ASMF Stock | EUR 674.00 2.00 0.30% |
ASML HOLDING NY secures Sharpe Ratio (or Efficiency) of -2.0E-4, which signifies that the company had a -2.0E-4% return per unit of return volatility over the last 3 months. ASML HOLDING NY exposes thirty different technical indicators, which can help you to evaluate volatility embedded in its price movement. Please confirm ASML HOLDING's Semi Deviation of 3.39, mean deviation of 1.85, and Risk Adjusted Performance of 0.0196 to double-check the risk estimate we provide. Key indicators related to ASML HOLDING's volatility include:
90 Days Market Risk | Chance Of Distress | 90 Days Economic Sensitivity |
ASML HOLDING Stock volatility depicts how high the prices fluctuate around the mean (or its average) price. In other words, it is a statistical measure of the distribution of ASML daily returns, and it is calculated using variance and standard deviation. We also use ASML's beta, its sensitivity to the market, as well as its odds of financial distress to provide a more practical estimation of ASML HOLDING volatility.
ASML |
Since volatility provides investors with entry points to take advantage of stock prices, companies, such as ASML HOLDING can benefit from it. Downward market volatility can be a perfect environment for investors who play the long game as hey may decide to buy additional stocks of ASML HOLDING at lower prices to lower their average cost per share. Similarly, when the prices of ASML HOLDING's stock rise, investors can sell out and invest the proceeds in other equities with better opportunities.
Moving together with ASML Stock
| 0.91 | ASME | ASML Holding NV | PairCorr |
| 0.99 | ASME | ASML Holding NV | PairCorr |
| 0.62 | AP2 | Applied Materials | PairCorr |
| 0.8 | TKY | Tokyo Electron | PairCorr |
| 0.9 | KLA | KLA Corporation | PairCorr |
| 0.78 | E0P | Enphase Energy | PairCorr |
| 0.81 | TEY | Teradyne | PairCorr |
Moving against ASML Stock
ASML HOLDING Market Sensitivity And Downside Risk
ASML HOLDING's beta coefficient measures the volatility of ASML stock compared to the systematic risk of the entire market represented by your selected benchmark. In mathematical terms, beta represents the slope of the line through a regression of data points where each of these points represents ASML stock's returns against your selected market. In other words, ASML HOLDING's beta of 1.06 provides an investor with an approximation of how much risk ASML HOLDING stock can potentially add to one of your existing portfolios. ASML HOLDING NY shows above-average downside volatility for the selected time horizon. Understanding different market volatility trends often help investors to time the market. Properly using volatility indicators enable traders to measure ASML HOLDING's stock risk against market volatility during both bullish and bearish trends. The higher level of volatility that comes with bear markets can directly impact ASML HOLDING's stock price while adding stress to investors as they watch their shares' value plummet. This usually forces investors to rebalance their portfolios by buying different financial instruments as prices fall.
3 Months Beta |Analyze ASML HOLDING NY Demand TrendCheck current 90 days ASML HOLDING correlation with market (Dow Jones Industrial)ASML Beta |
ASML standard deviation measures the daily dispersion of prices over your selected time horizon relative to its mean. A typical volatile entity has a high standard deviation, while the deviation of a stable instrument is usually low. As a downside, the standard deviation calculates all uncertainty as risk, even when it is in your favor, such as above-average returns.
Standard Deviation | 2.94 |
It is essential to understand the difference between upside risk (as represented by ASML HOLDING's standard deviation) and the downside risk, which can be measured by semi-deviation or downside deviation of ASML HOLDING's daily returns or price. Since the actual investment returns on holding a position in asml stock tend to have a non-normal distribution, there will be different probabilities for losses than for gains. The likelihood of losses is reflected in the downside risk of an investment in ASML HOLDING.
ASML HOLDING NY Stock Volatility Analysis
Volatility refers to the frequency at which ASML HOLDING stock price increases or decreases within a specified period. These fluctuations usually indicate the level of risk that's associated with ASML HOLDING's price changes. Investors will then calculate the volatility of ASML HOLDING's stock to predict their future moves. A stock that has erratic price changes quickly hits new highs, and lows are considered highly volatile. A stock with relatively stable price changes has low volatility. A highly volatile stock is riskier, but the risk cuts both ways. Investing in highly volatile security can either be highly successful, or you may experience significant failure. There are two main types of ASML HOLDING's volatility:
Historical Volatility
This type of stock volatility measures ASML HOLDING's fluctuations based on previous trends. It's commonly used to predict ASML HOLDING's future behavior based on its past. However, it cannot conclusively determine the future direction of the stock.Implied Volatility
This type of volatility provides a positive outlook on future price fluctuations for ASML HOLDING's current market price. This means that the stock will return to its initially predicted market price. This type of volatility can be derived from derivative instruments written on ASML HOLDING's to be redeemed at a future date.Transformation |
The output start index for this execution was zero with a total number of output elements of sixty-one. ASML HOLDING NY Average Price is the average of the sum of open, high, low and close daily prices of a bar. It can be used to smooth an indicator that normally takes just the closing price as input.
ASML HOLDING Projected Return Density Against Market
Assuming the 90 days trading horizon the stock has the beta coefficient of 1.0581 . This suggests ASML HOLDING NY market returns are reactive to returns on the market. As the market goes up or down, ASML HOLDING is expected to follow.Most traded equities are subject to two types of risk - systematic (i.e., market) and unsystematic (i.e., nonmarket or company-specific) risk. Unsystematic risk is the risk that events specific to ASML HOLDING or Technology sector will adversely affect the stock's price. This type of risk can be diversified away by owning several different stocks in different industries whose stock prices have shown a small correlation to each other. On the other hand, systematic risk is the risk that ASML HOLDING's price will be affected by overall stock market movements and cannot be diversified away. So, no matter how many positions you have, you cannot eliminate market risk. However, you can measure a ASML stock's historical response to market movements and buy it if you are comfortable with its volatility direction. Beta and standard deviation are two commonly used measures to help you make the right decision.
ASML HOLDING NY has a negative alpha, implying that the risk taken by holding this instrument is not justified. The company is significantly underperforming the Dow Jones Industrial. Predicted Return Density |
| Returns |
What Drives an ASML HOLDING Price Volatility?
Several factors can influence a stock's market volatility:Industry
Specific events can influence volatility within a particular industry. For instance, a significant weather upheaval in a crucial oil-production site may cause oil prices to increase in the oil sector. The direct result will be the rise in the stock price of oil distribution companies. Similarly, any government regulation in a specific industry could negatively influence stock prices due to increased regulations on compliance that may impact the company's future earnings and growth.Political and Economic environment
When governments make significant decisions regarding trade agreements, policies, and legislation regarding specific industries, they will influence stock prices. Everything from speeches to elections may influence investors, who can directly influence the stock prices in any particular industry. The prevailing economic situation also plays a significant role in stock prices. When the economy is doing well, investors will have a positive reaction and hence, better stock prices and vice versa.The Company's Performance
Sometimes volatility will only affect an individual company. For example, a revolutionary product launch or strong earnings report may attract many investors to purchase the company. This positive attention will raise the company's stock price. In contrast, product recalls and data breaches may negatively influence a company's stock prices.ASML HOLDING Stock Risk Measures
Assuming the 90 days trading horizon the coefficient of variation of ASML HOLDING is -639443.38. The daily returns are distributed with a variance of 8.65 and standard deviation of 2.94. The mean deviation of ASML HOLDING NY is currently at 1.8. For similar time horizon, the selected benchmark (Dow Jones Industrial) has volatility of 0.72
α | Alpha over Dow Jones | -0.08 | |
β | Beta against Dow Jones | 1.06 | |
σ | Overall volatility | 2.94 | |
Ir | Information ratio | -0.03 |
ASML HOLDING Stock Return Volatility
ASML HOLDING historical daily return volatility represents how much of ASML HOLDING stock's daily returns swing around its mean - it is a statistical measure of its dispersion of returns. The company assumes 2.9414% volatility of returns over the 90 days investment horizon. By contrast, Dow Jones Industrial accepts 0.732% volatility on return distribution over the 90 days horizon. Performance |
| Timeline |
About ASML HOLDING Volatility
Volatility is a rate at which the price of ASML HOLDING or any other equity instrument increases or decreases for a given set of returns. It is measured by calculating the standard deviation of the annualized returns over a given period of time and shows the range to which the price of ASML HOLDING may increase or decrease. In other words, similar to ASML's beta indicator, it measures the risk of ASML HOLDING and helps estimate the fluctuations that may happen in a short period of time. So if prices of ASML HOLDING fluctuate rapidly in a short time span, it is termed to have high volatility, and if it swings slowly in a more extended period, it is understood to have low volatility.
Please read more on our technical analysis page.ASML Holding N.V. develops, produces, markets, sells, and services advanced semiconductor equipment systems consisting of lithography, metrology, and inspection related systems for memory and logic chipmakers. ASML Holding N.V. was founded in 1984 and is headquartered in Veldhoven, the Netherlands. ASML HOLDING is traded on Frankfurt Stock Exchange in Germany.
ASML HOLDING's stock volatility refers to the amount of uncertainty or risk involved with the size of changes in its stock's price. It is a statistical measure of the dispersion of returns on ASML Stock over a specified period of time, often expressed as the standard deviation of daily returns. In other words, it measures how much ASML HOLDING's price varies over time.
3 ways to utilize ASML HOLDING's volatility to invest better
Higher ASML HOLDING's stock volatility means that the price of its stock is changing rapidly and unpredictably, while lower stock volatility indicates that the price of ASML HOLDING NY stock is relatively stable. Investors and traders use stock volatility as an indicator of risk and potential reward, as stocks with higher volatility can offer the potential for more significant returns but also come with a greater risk of losses. ASML HOLDING NY stock volatility can provide helpful information for making investment decisions in the following ways:- Measuring Risk: Volatility can be used as a measure of risk, which can help you determine the potential fluctuations in the value of ASML HOLDING NY investment. A higher volatility means higher risk and potentially larger changes in value.
- Identifying Opportunities: High volatility in ASML HOLDING's stock can indicate that there is potential for significant price movements, either up or down, which could present investment opportunities.
- Diversification: Understanding how the volatility of ASML HOLDING's stock relates to your other investments can help you create a well-diversified portfolio of assets with varying levels of risk.
ASML HOLDING Investment Opportunity
ASML HOLDING NY has a volatility of 2.94 and is 4.03 times more volatile than Dow Jones Industrial. Compared to the overall equity markets, volatility of historical daily returns of ASML HOLDING NY is lower than 26 percent of all global equities and portfolios over the last 90 days. You can use ASML HOLDING NY to enhance the returns of your portfolios. The stock experiences a normal upward fluctuation. Check odds of ASML HOLDING to be traded at €707.7 in 90 days.Modest diversification
The correlation between ASML HOLDING NY and DJI is 0.26 (i.e., Modest diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding ASML HOLDING NY and DJI in the same portfolio, assuming nothing else is changed.
ASML HOLDING Additional Risk Indicators
The analysis of ASML HOLDING's secondary risk indicators is one of the essential steps in making a buy or sell decision. The process involves identifying the amount of risk involved in ASML HOLDING's investment and either accepting that risk or mitigating it. Along with some common measures of ASML HOLDING stock's risk such as standard deviation, beta, or value at risk, we also provide a set of secondary indicators that can assist in the individual investment decision or help in hedging the risk of your existing portfolios.
| Risk Adjusted Performance | 0.0196 | |||
| Market Risk Adjusted Performance | 0.0472 | |||
| Mean Deviation | 1.85 | |||
| Semi Deviation | 3.39 | |||
| Downside Deviation | 3.69 | |||
| Coefficient Of Variation | 5993.93 | |||
| Standard Deviation | 2.96 |
Please note, the risk measures we provide can be used independently or collectively to perform a risk assessment. When comparing two potential stocks, we recommend comparing similar stocks with homogenous growth potential and valuation from related markets to determine which investment holds the most risk.
ASML HOLDING Suggested Diversification Pairs
Pair trading is one of the very effective strategies used by professional day traders and hedge funds capitalizing on short-time and mid-term market inefficiencies. The approach is based on the fact that the ratio of prices of two correlating shares is long-term stable and oscillates around the average value. If the correlation ratio comes outside the common area, you can speculate with a high success rate that the ratio will return to the mean value and collect a profit.
The effect of pair diversification on risk is to reduce it, but we should note this doesn't apply to all risk types. When we trade pairs against ASML HOLDING as a counterpart, there is always some inherent risk that will never be diversified away no matter what. This volatility limits the effect of tactical diversification using pair trading. ASML HOLDING's systematic risk is the inherent uncertainty of the entire market, and therefore cannot be mitigated even by pair-trading it against the equity that is not highly correlated to it. On the other hand, ASML HOLDING's unsystematic risk describes the types of risk that we can protect against, at least to some degree, by selecting a matching pair that is not perfectly correlated to ASML HOLDING NY.
Complementary Tools for ASML Stock analysis
When running ASML HOLDING's price analysis, check to measure ASML HOLDING's market volatility, profitability, liquidity, solvency, efficiency, growth potential, financial leverage, and other vital indicators. We have many different tools that can be utilized to determine how healthy ASML HOLDING is operating at the current time. Most of ASML HOLDING's value examination focuses on studying past and present price action to predict the probability of ASML HOLDING's future price movements. You can analyze the entity against its peers and the financial market as a whole to determine factors that move ASML HOLDING's price. Additionally, you may evaluate how the addition of ASML HOLDING to your portfolios can decrease your overall portfolio volatility.
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