ASM International (Netherlands) Market Value
| ASM Stock | EUR 561.80 29.40 4.97% |
| Symbol | ASM |
ASM International 'What if' Analysis
In the world of financial modeling, what-if analysis is part of sensitivity analysis performed to test how changes in assumptions impact individual outputs in a model. When applied to ASM International's stock what-if analysis refers to the analyzing how the change in your past investing horizon will affect the profitability against the current market value of ASM International.
| 03/25/2024 |
| 09/21/2024 |
If you would invest 0.00 in ASM International on March 25, 2024 and sell it all today you would earn a total of 0.00 from holding ASM International NV or generate 0.0% return on investment in ASM International over 180 days. ASM International is related to or competes with BE Semiconductor, ASML Holding, NN Group, and Aalberts Industries. ASM International NV, together with its subsidiaries, engages in the research, development, manufacture, marketing, and ... More
ASM International Upside/Downside Indicators
Understanding different market momentum indicators often help investors to time their next move. Potential upside and downside technical ratios enable traders to measure ASM International's stock current market value against overall market sentiment and can be a good tool during both bulling and bearish trends. Here we outline some of the essential indicators to assess ASM International NV upside and downside potential and time the market with a certain degree of confidence.
| Information Ratio | (0.15) | |||
| Maximum Drawdown | 17.08 | |||
| Value At Risk | (5.70) | |||
| Potential Upside | 4.18 |
ASM International Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for ASM International's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as ASM International's standard deviation. In reality, there are many statistical measures that can use ASM International historical prices to predict the future ASM International's volatility.| Risk Adjusted Performance | (0.08) | |||
| Jensen Alpha | (0.39) | |||
| Total Risk Alpha | (0.74) | |||
| Treynor Ratio | (0.52) |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of ASM International's price to converge to an average value over time is called mean reversion. However, historically, high market prices usually discourage investors that believe in mean reversion to invest, while low prices are viewed as an opportunity to buy.
ASM International Backtested Returns
ASM International secures Sharpe Ratio (or Efficiency) of -0.0926, which signifies that the company had a -0.0926% return per unit of return volatility over the last 3 months. ASM International NV exposes twenty-three different technical indicators, which can help you to evaluate volatility embedded in its price movement. Please confirm ASM International's Coefficient Of Variation of (949.20), mean deviation of 1.9, and Risk Adjusted Performance of (0.08) to double-check the risk estimate we provide. The firm shows a Beta (market volatility) of 0.62, which signifies possible diversification benefits within a given portfolio. As returns on the market increase, ASM International's returns are expected to increase less than the market. However, during the bear market, the loss of holding ASM International is expected to be smaller as well. At this point, ASM International has a negative expected return of -0.27%. Please make sure to confirm ASM International's treynor ratio, value at risk, and the relationship between the total risk alpha and maximum drawdown , to decide if ASM International performance from the past will be repeated at future time.
Auto-correlation | -0.75 |
Almost perfect reverse predictability
ASM International NV has almost perfect reverse predictability. Overlapping area represents the amount of predictability between ASM International time series from 25th of March 2024 to 23rd of June 2024 and 23rd of June 2024 to 21st of September 2024. The more autocorrelation exist between current time interval and its lagged values, the more accurately you can make projection about the future pattern of ASM International price movement. The serial correlation of -0.75 indicates that around 75.0% of current ASM International price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.75 | |
| Spearman Rank Test | -0.67 | |
| Residual Average | 0.0 | |
| Price Variance | 4097.52 |
ASM International lagged returns against current returns
Autocorrelation, which is ASM International stock's lagged correlation, explains the relationship between observations of its time series of returns over different periods of time. The observations are said to be independent if autocorrelation is zero. Autocorrelation is calculated as a function of mean and variance and can have practical application in predicting ASM International's stock expected returns. We can calculate the autocorrelation of ASM International returns to help us make a trade decision. For example, suppose you find that ASM International has exhibited high autocorrelation historically, and you observe that the stock is moving up for the past few days. In that case, you can expect the price movement to match the lagging time series.
Current and Lagged Values |
| Timeline |
ASM International regressed lagged prices vs. current prices
Serial correlation can be approximated by using the Durbin-Watson (DW) test. The correlation can be either positive or negative. If ASM International stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if ASM International stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in ASM International stock over time.
Current vs Lagged Prices |
| Timeline |
ASM International Lagged Returns
When evaluating ASM International's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of ASM International stock have on its future price. ASM International autocorrelation represents the degree of similarity between a given time horizon and a lagged version of the same horizon over the previous time interval. In other words, ASM International autocorrelation shows the relationship between ASM International stock current value and its past values and can show if there is a momentum factor associated with investing in ASM International NV.
Regressed Prices |
| Timeline |
Thematic Opportunities
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Additional Tools for ASM Stock Analysis
When running ASM International's price analysis, check to measure ASM International's market volatility, profitability, liquidity, solvency, efficiency, growth potential, financial leverage, and other vital indicators. We have many different tools that can be utilized to determine how healthy ASM International is operating at the current time. Most of ASM International's value examination focuses on studying past and present price action to predict the probability of ASM International's future price movements. You can analyze the entity against its peers and the financial market as a whole to determine factors that move ASM International's price. Additionally, you may evaluate how the addition of ASM International to your portfolios can decrease your overall portfolio volatility.