Correlation Between SAP SE and ASML Holding

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

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

Diversification Opportunities for SAP SE and ASML Holding

0.75

Correlation Coefficient

SAP SE  ASML Holding

Poor diversification

The 3 months correlation between SAP and ASML is 0.75. Overlapping area represents the amount of risk that can be diversified away by holding SAP SE 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 SAP SE 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 SAP SE 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 SAP SE i.e., SAP SE and ASML Holding go up and down completely randomly.

Pair Corralation between SAP SE and ASML Holding

Assuming the 90 days horizon SAP SE is expected to generate 0.84 times more return on investment than ASML Holding. However, SAP SE is 1.2 times less risky than ASML Holding. It trades about 0.21 of its potential returns per unit of risk. ASML Holding NV is currently generating about 0.14 per unit of risk. If you would invest  24,545  in SAP SE on April 21, 2025 and sell it today you would earn a total of  6,144  from holding SAP SE or generate 25.03% return on investment over 90 days.

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

SAP SE  vs.  ASML Holding NV

SAP SE

Risk-Adjusted Performance

Solid

Compared to the overall equity markets, risk-adjusted returns on investments in SAP SE are ranked lower than 16 (%) of all global equities and portfolios over the last 90 days. Despite nearly fragile technical and fundamental indicators, SAP SE reported solid returns over the last few months and may actually be approaching a breakup point.

ASML Holding NV

Risk-Adjusted Performance

Good

Compared to the overall equity markets, risk-adjusted returns on investments in ASML Holding NV are ranked lower than 11 (%) of all global equities and portfolios over the last 90 days. Despite nearly weak essential indicators, ASML Holding reported solid returns over the last few months and may actually be approaching a breakup point.

Pair Trading with SAP SE and ASML Holding

The main advantage of trading using opposite SAP SE and ASML Holding positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if SAP SE 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 SAP SE 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 Portfolio Analyzer module to portfolio analysis module that provides access to portfolio diagnostics and optimization engine.