Correlation Between ASML Holding and State Street
Can any of the company-specific risk be diversified away by investing in both ASML Holding and State Street 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 State Street 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 State Street Emerging, you can compare the effects of market volatilities on ASML Holding and State Street 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 State Street. Check out your portfolio center. Please also check ongoing floating volatility patterns of ASML Holding and State Street.
Diversification Opportunities for ASML Holding and State Street
0.85 | Correlation Coefficient |
Very poor diversification
The 3 months correlation between ASML and State is 0.85. Overlapping area represents the amount of risk that can be diversified away by holding ASML Holding NV and State Street Emerging in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on State Street Emerging 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 State Street. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of State Street Emerging has no effect on the direction of ASML Holding i.e., ASML Holding and State Street go up and down completely randomly.
Pair Corralation between ASML Holding and State Street
Assuming the 90 days trading horizon ASML Holding NV is expected to generate 2.26 times more return on investment than State Street. However, ASML Holding is 2.26 times more volatile than State Street Emerging. It trades about 0.06 of its potential returns per unit of risk. State Street Emerging is currently generating about 0.02 per unit of risk. If you would invest 66,035 in ASML Holding NV on January 24, 2024 and sell it today you would earn a total of 15,285 from holding ASML Holding NV or generate 23.15% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Strong |
| Accuracy | 98.56% |
| Values | Daily Returns |
ASML Holding NV vs. State Street Emerging
Performance |
| Timeline |
| ASML Holding NV |
| State Street Emerging |
ASML Holding and State Street Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with ASML Holding and State Street
The main advantage of trading using opposite ASML Holding and State Street positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if ASML Holding position performs unexpectedly, State Street 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 State Street will offset losses from the drop in State Street's long position.| ASML Holding vs. Prosus NV | ASML Holding vs. Koninklijke Philips NV | ASML Holding vs. Koninklijke Ahold Delhaize | ASML Holding vs. ING Groep NV |
| State Street vs. State Street Target | State Street vs. State Street Target | State Street vs. Ssga International Stock | State Street vs. State Street Aggregate |
Check out your portfolio center.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 Premium Stories module to follow Macroaxis premium stories from verified contributors across different equity types, categories and coverage scope.
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