Description of ASML Holding

ASML Holding N.V. - ADS represents 1 ordinary share

Statistics of ASML Holding (YTD)

What do these metrics mean? [Read More] [Hide]

TotalReturn:

'Total return is the amount of value an investor earns from a security over a specific period, typically one year, when all distributions are reinvested. Total return is expressed as a percentage of the amount invested. For example, a total return of 20% means the security increased by 20% of its original value due to a price increase, distribution of dividends (if a stock), coupons (if a bond) or capital gains (if a fund). Total return is a strong measure of an investment’s overall performance.'

Using this definition on our asset we see for example:
  • Looking at the total return, or increase in value of 156.1% in the last 5 years of ASML Holding, we see it is relatively greater, thus better in comparison to the benchmark SPY (64.1%)
  • Looking at total return, or performance in of 145.1% in the period of the last 3 years, we see it is relatively higher, thus better in comparison to SPY (48.1%).

CAGR:

'The compound annual growth rate isn't a true return rate, but rather a representational figure. It is essentially a number that describes the rate at which an investment would have grown if it had grown the same rate every year and the profits were reinvested at the end of each year. In reality, this sort of performance is unlikely. However, CAGR can be used to smooth returns so that they may be more easily understood when compared to alternative investments.'

Using this definition on our asset we see for example:
  • Compared with the benchmark SPY (10.4%) in the period of the last 5 years, the annual performance (CAGR) of 20.7% of ASML Holding is higher, thus better.
  • Compared with SPY (14%) in the period of the last 3 years, the annual return (CAGR) of 34.8% is greater, thus better.

Volatility:

'In finance, volatility (symbol σ) is the degree of variation of a trading price series over time as measured by the standard deviation of logarithmic returns. Historic volatility measures a time series of past market prices. Implied volatility looks forward in time, being derived from the market price of a market-traded derivative (in particular, an option). Commonly, the higher the volatility, the riskier the security.'

Applying this definition to our asset in some examples:
  • Compared with the benchmark SPY (13.6%) in the period of the last 5 years, the historical 30 days volatility of 28.4% of ASML Holding is greater, thus worse.
  • Looking at 30 days standard deviation in of 28.6% in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (12.8%).

DownVol:

'Downside risk is the financial risk associated with losses. That is, it is the risk of the actual return being below the expected return, or the uncertainty about the magnitude of that difference. Risk measures typically quantify the downside risk, whereas the standard deviation (an example of a deviation risk measure) measures both the upside and downside risk. Specifically, downside risk in our definition is the semi-deviation, that is the standard deviation of all negative returns.'

Applying this definition to our asset in some examples:
  • The downside volatility over 5 years of ASML Holding is 30.2%, which is greater, thus worse compared to the benchmark SPY (14.9%) in the same period.
  • Looking at downside volatility in of 30.8% in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to SPY (14.5%).

Sharpe:

'The Sharpe ratio was developed by Nobel laureate William F. Sharpe, and is used to help investors understand the return of an investment compared to its risk. The ratio is the average return earned in excess of the risk-free rate per unit of volatility or total risk. Subtracting the risk-free rate from the mean return allows an investor to better isolate the profits associated with risk-taking activities. One intuition of this calculation is that a portfolio engaging in 'zero risk' investments, such as the purchase of U.S. Treasury bills (for which the expected return is the risk-free rate), has a Sharpe ratio of exactly zero. Generally, the greater the value of the Sharpe ratio, the more attractive the risk-adjusted return.'

Which means for our asset as example:
  • The risk / return profile (Sharpe) over 5 years of ASML Holding is 0.64, which is higher, thus better compared to the benchmark SPY (0.58) in the same period.
  • Compared with SPY (0.9) in the period of the last 3 years, the ratio of return and volatility (Sharpe) of 1.13 is larger, thus better.

Sortino:

'The Sortino ratio, a variation of the Sharpe ratio only factors in the downside, or negative volatility, rather than the total volatility used in calculating the Sharpe ratio. The theory behind the Sortino variation is that upside volatility is a plus for the investment, and it, therefore, should not be included in the risk calculation. Therefore, the Sortino ratio takes upside volatility out of the equation and uses only the downside standard deviation in its calculation instead of the total standard deviation that is used in calculating the Sharpe ratio.'

Applying this definition to our asset in some examples:
  • Compared with the benchmark SPY (0.53) in the period of the last 5 years, the downside risk / excess return profile of 0.6 of ASML Holding is larger, thus better.
  • Looking at ratio of annual return and downside deviation in of 1.05 in the period of the last 3 years, we see it is relatively higher, thus better in comparison to SPY (0.79).

Ulcer:

'The Ulcer Index is a technical indicator that measures downside risk, in terms of both the depth and duration of price declines. The index increases in value as the price moves farther away from a recent high and falls as the price rises to new highs. The indicator is usually calculated over a 14-day period, with the Ulcer Index showing the percentage drawdown a trader can expect from the high over that period. The greater the value of the Ulcer Index, the longer it takes for a stock to get back to the former high.'

Which means for our asset as example:
  • Looking at the Ulcer Ratio of 12 in the last 5 years of ASML Holding, we see it is relatively larger, thus worse in comparison to the benchmark SPY (4.02 )
  • Compared with SPY (4.09 ) in the period of the last 3 years, the Downside risk index of 11 is larger, thus worse.

MaxDD:

'Maximum drawdown is defined as the peak-to-trough decline of an investment during a specific period. It is usually quoted as a percentage of the peak value. The maximum drawdown can be calculated based on absolute returns, in order to identify strategies that suffer less during market downturns, such as low-volatility strategies. However, the maximum drawdown can also be calculated based on returns relative to a benchmark index, for identifying strategies that show steady outperformance over time.'

Applying this definition to our asset in some examples:
  • Looking at the maximum drop from peak to valley of -34.3 days in the last 5 years of ASML Holding, we see it is relatively lower, thus worse in comparison to the benchmark SPY (-19.3 days)
  • During the last 3 years, the maximum DrawDown is -34.3 days, which is lower, thus worse than the value of -19.3 days from the benchmark.

MaxDuration:

'The Drawdown Duration is the length of any peak to peak period, or the time between new equity highs. The Max Drawdown Duration is the worst (the maximum/longest) amount of time an investment has seen between peaks (equity highs). Many assume Max DD Duration is the length of time between new highs during which the Max DD (magnitude) occurred. But that isn’t always the case. The Max DD duration is the longest time between peaks, period. So it could be the time when the program also had its biggest peak to valley loss (and usually is, because the program needs a long time to recover from the largest loss), but it doesn’t have to be'

Using this definition on our asset we see for example:
  • Compared with the benchmark SPY (187 days) in the period of the last 5 years, the maximum days under water of 407 days of ASML Holding is greater, thus worse.
  • During the last 3 years, the maximum days below previous high is 247 days, which is higher, thus worse than the value of 139 days from the benchmark.

AveDuration:

'The Drawdown Duration is the length of any peak to peak period, or the time between new equity highs. The Avg Drawdown Duration is the average amount of time an investment has seen between peaks (equity highs), or in other terms the average of time under water of all drawdowns. So in contrast to the Maximum duration it does not measure only one drawdown event but calculates the average of all.'

Using this definition on our asset we see for example:
  • Looking at the average days under water of 105 days in the last 5 years of ASML Holding, we see it is relatively greater, thus worse in comparison to the benchmark SPY (41 days)
  • During the last 3 years, the average time in days below previous high water mark is 56 days, which is higher, thus worse than the value of 35 days from the benchmark.

Performance of ASML Holding (YTD)

Historical returns have been extended using synthetic data.

Allocations of ASML Holding
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Allocations

Returns of ASML Holding (%)

  • "Year" returns in the table above are not equal to the sum of monthly returns due to compounding.
  • Performance results of ASML Holding are hypothetical, do not account for slippage, fees or taxes, and are based on backtesting, which has many inherent limitations, some of which are described in our Terms of Use.