ASML Holding Backtesting

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ASML -- USA Stock  

Fiscal Quarter End: 30th of June 2020  

With this equity back-testing module your can estimate the performance of a buy and hold strategy of ASML Holding N and determine expected loss or profit from investing in ASML Holding over given investment horizon. Please continue to ASML Holding Hype Analysis, ASML Holding Correlation, ASML Holding Valuation, ASML Holding Volatility as well as analyze ASML Holding Alpha and Beta and ASML Holding Performance.

ASML Holding 'What if' Analysis

No Change 0.00  0.0 
In 3 months and 1 day
If you would invest  0.00  in ASML Holding on March 4, 2020 and sell it all today you would earn a total of 0.00 from holding ASML Holding N or generate 0.0% return on investment in ASML Holding over 90 days. ASML Holding is related to or competes with DAQO New, EMagin, Enphase Energy, Entegris, GREYSTONE LOGISTICS, Ichor Holdings, and IPG Photonics. ASML Holding N.V. develops, produces, markets, sells, and services advanced semiconductor equipment systems consisting o...

ASML Holding Upside/Downside Indicators

Downside Deviation5.25
Information Ratio0.0644
Maximum Drawdown24.08
Value At Risk(8.44)
Potential Upside7.89

ASML Holding Market Premium Indicators

Risk Adjusted Performance0.3058
Jensen Alpha0.3182
Total Risk Alpha0.3087
Sortino Ratio0.0606
Treynor Ratio0.3599

ASML Holding N Backtested Returns

Macroaxis considers ASML Holding very steady given 3 months investment horizon. ASML Holding N secures Sharpe Ratio (or Efficiency) of 0.0506, which signifies that the organization had 0.0506% of return per unit of return volatility over the last 3 months. Our way of foreseeing the volatility of a stock is to use all available market data together with stock specific technical indicators that cannot be diversified away. We have found twenty-eight technical indicators for ASML Holding N, which you can use to evaluate future volatility of the firm. Please makes use of ASML Holding N Risk Adjusted Performance of 0.3058, Mean Deviation of 3.53 and Semi Deviation of 4.89 to double-check if our risk estimates are consistent with your expectations. On a scale of 0 to 100 ASML Holding holds performance score of 3. The firm shows a Beta (market volatility) of 1.0064, which signifies that ASML Holding returns are very sensitive to returns on the market. as market goes up or down, ASML Holding is expected to follow. Although it is vital to follow to ASML Holding N historical returns, it is good to be conservative about what you can actually do with the information regarding equity current trending patterns. The way of foreseeing future performance of any stock is to evaluate the business as a whole together with its past performance including all available fundamental and technical indicators. By analyzing ASML Holding N technical indicators you can now evaluate if the expected return of 0.2519% will be sustainable into the future. Please makes use of ASML Holding N Downside Variance, and the relationship between Sortino Ratio and Accumulation Distribution to make a quick decision on weather ASML Holding price patterns will revert.
AdviceVolatility TrendExposureCorrelations
15 days auto-correlation 0.41 
correlation synergy

Average predictability

ASML Holding N has average predictability. Overlapping area represents the amount of predictability between ASML Holding time series from 4th of March 2020 to 18th of April 2020 and 18th of April 2020 to 2nd of June 2020. 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 N price movement. The serial correlation of 0.41 indicates that just about 41.0% of current ASML Holding price fluctuation can be explain by its past prices.
Correlation Coefficient0.41
Spearman Rank Test0.12
Residual Average0.0
Price Variance219.76

ASML Holding N lagged returns against current returns

 Current and Lagged Values 

ASML Holding regressed lagged prices vs. current prices

 Current vs Lagged Prices 

ASML Holding Lagged Returns

 Regressed Prices 

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ASML Holding Pair Correlation

Equities Pair Trading Analysis

Correlation analysis and pair trading evaluation for ASML Holding and DAQO New Energy. Pair trading can be used as a hedging technique within a particular sector or industry or even over random equities to generate better risk-adjusted return
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 2017 2018 2019 2020 (projected)
Book Value per Share28.0527.429.9225.99
Asset Turnover0.490.5560.5550.5272
ASML Holding N.V. develops, produces, markets, sells, and services advanced semiconductor equipment systems consisting of lithography related systems for memory and logic chipmakers. ASML Holding N.V. was founded in 1984 and is headquartered in Veldhoven, the Netherlands. ASML Holding operates under Semiconductor Equipment Materials classification in USA and is traded on BATS Exchange. It employs 23860 people.
Please continue to ASML Holding Hype Analysis, ASML Holding Correlation, ASML Holding Valuation, ASML Holding Volatility as well as analyze ASML Holding Alpha and Beta and ASML Holding Performance. Please also try Idea Optimizer module to use advanced portfolio builder with pre-computed micro ideas to build optimal portfolio .
Macroaxis is not a registered investment advisor or broker/dealer. All investments, including stocks, funds, ETFs, or cryptocurrencies, are speculative and involve substantial risk of loss. We encourage our investors to invest carefully. Much of our information is derived directly from data published by companies or submitted to governmental agencies which we believe are reliable, but are without our independent verification. Therefore, we cannot assure you that the information is accurate or complete. We do not in any way warrant or guarantee the success of any action you take in reliance on our statements or recommendations. Also, note that past performance is not necessarily indicative of future results. All investments carry risk, and all investment decisions of an individual remain the responsibility of that individual. There is no guarantee that systems, indicators, or signals will result in profits or that they will not result in losses. All investors are advised to fully understand all risks associated with any investing they choose to do. Hypothetical or simulated performance is not indicative of future results. We make no representations or warranties that any investor will, or is likely to, achieve profits similar to those shown because hypothetical or simulated performance is not necessarily indicative of future results. For more information please visit our terms and condition page