Correlation Between ASML Holding and Alfen Beheer

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

Diversification Opportunities for ASML Holding and Alfen Beheer

-0.24

Correlation Coefficient

ASML Holding  Alfen Beheer

Very good diversification

The 3 months correlation between ASML and Alfen is -0.24. Overlapping area represents the amount of risk that can be diversified away by holding ASML Holding NV and Alfen Beheer BV in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Alfen Beheer BV 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 Alfen Beheer. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Alfen Beheer BV has no effect on the direction of ASML Holding i.e., ASML Holding and Alfen Beheer go up and down completely randomly.

Pair Corralation between ASML Holding and Alfen Beheer

Assuming the 90 days trading horizon ASML Holding NV is expected to generate 0.61 times more return on investment than Alfen Beheer. However, ASML Holding NV is 1.65 times less risky than Alfen Beheer. It trades about -0.01 of its potential returns per unit of risk. Alfen Beheer BV is currently generating about -0.21 per unit of risk. If you would invest  87,735  in ASML Holding NV on January 28, 2024 and sell it today you would lose (1,855) from holding ASML Holding NV or give up 2.11% of portfolio value over 90 days.

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

ASML Holding NV  vs.  Alfen Beheer BV

ASML Holding NV

Risk-Adjusted Performance

4 of 100

Insignificant

Compared to the overall equity markets, risk-adjusted returns on investments in ASML Holding NV are ranked lower than 4 (%) of all global equities and portfolios over the last 90 days. In spite of comparatively uncertain basic indicators, ASML Holding may actually be approaching a critical reversion point that can send shares even higher in May 2024.

Alfen Beheer BV

Risk-Adjusted Performance

0 of 100

Very Weak

Over the last 90 days Alfen Beheer BV has generated negative risk-adjusted returns adding no value to investors with long positions. Despite weak performance in the last few months, the Stock's basic indicators remain somewhat strong which may send shares a bit higher in May 2024. The current disturbance may also be a sign of long term up-swing for the company investors.

Pair Trading with ASML Holding and Alfen Beheer

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

The idea behind ASML Holding NV and Alfen Beheer BV 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.