Correlation Between Advantest and ASML Holding
Can any of the company-specific risk be diversified away by investing in both Advantest 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 Advantest and ASML Holding into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Advantest and ASML Holding NV, you can compare the effects of market volatilities on Advantest 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 Advantest with a short position of ASML Holding. Check out your portfolio center. Please also check ongoing floating volatility patterns of Advantest and ASML Holding.
Diversification Opportunities for Advantest and ASML Holding
0.7 | Correlation Coefficient |
Poor diversification
The 3 months correlation between Advantest and ASML is 0.7. Overlapping area represents the amount of risk that can be diversified away by holding Advantest 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 Advantest 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 Advantest 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 Advantest i.e., Advantest and ASML Holding go up and down completely randomly.
Pair Corralation between Advantest and ASML Holding
Assuming the 90 days horizon Advantest is expected to under-perform the ASML Holding. But the pink sheet apears to be less risky and, when comparing its historical volatility, Advantest is 1.47 times less risky than ASML Holding. The pink sheet trades about -0.36 of its potential returns per unit of risk. The ASML Holding NV is currently generating about -0.12 of returns per unit of risk over similar time horizon. If you would invest 95,191 in ASML Holding NV on January 19, 2024 and sell it today you would lose (6,040) from holding ASML Holding NV or give up 6.35% of portfolio value over 90 days.
Time Period | 3 Months [change] |
Direction | Moves Together |
Strength | Significant |
Accuracy | 95.45% |
Values | Daily Returns |
Advantest vs. ASML Holding NV
Performance |
Timeline |
Advantest |
ASML Holding NV |
Advantest and ASML Holding Volatility Contrast
Predicted Return Density |
Returns |
Pair Trading with Advantest and ASML Holding
The main advantage of trading using opposite Advantest and ASML Holding positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Advantest 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.Advantest vs. Tokyo Electron | Advantest vs. Ultra Clean Holdings | Advantest vs. Applied Materials | Advantest vs. SCREEN Holdings Co |
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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 Risk-Return Analysis module to view associations between returns expected from investment and the risk you assume.
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