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^AEX vs. ASML
Performance
Risk-Adjusted Performance
Drawdowns
Volatility

Key characteristics


^AEXASML
YTD Return17.59%37.48%
1Y Return21.87%45.75%
3Y Return (Ann)8.16%15.93%
5Y Return (Ann)10.30%39.99%
10Y Return (Ann)8.20%28.65%
Sharpe Ratio1.961.40
Daily Std Dev10.95%34.06%
Max Drawdown-71.60%-90.00%
Current Drawdown-0.92%-3.02%

Correlation

-0.50.00.51.00.5

The correlation between ^AEX and ASML is 0.45, which is considered to be moderate. This suggests that the two assets have some degree of positive relationship in their price movements. Moderate correlation can be acceptable for portfolio diversification, offering a balance between risk and potential returns.

Performance

^AEX vs. ASML - Performance Comparison

In the year-to-date period, ^AEX achieves a 17.59% return, which is significantly lower than ASML's 37.48% return. Over the past 10 years, ^AEX has underperformed ASML with an annualized return of 8.20%, while ASML has yielded a comparatively higher 28.65% annualized return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


0.00%10,000.00%20,000.00%30,000.00%40,000.00%50,000.00%60,000.00%2024FebruaryMarchAprilMayJune
321.30%
55,859.84%
^AEX
ASML

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AEX Index

ASML Holding N.V.

Risk-Adjusted Performance

^AEX vs. ASML - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for AEX Index (^AEX) and ASML Holding N.V. (ASML). Risk-adjusted metrics are performance indicators that assess an investment's returns in relation to its risk, enabling a more accurate comparison of different investment options.


^AEX
Sharpe ratio
The chart of Sharpe ratio for ^AEX, currently valued at 1.31, compared to the broader market-1.000.001.002.001.31
Sortino ratio
The chart of Sortino ratio for ^AEX, currently valued at 2.00, compared to the broader market-2.00-1.000.001.002.003.002.00
Omega ratio
The chart of Omega ratio for ^AEX, currently valued at 1.23, compared to the broader market0.801.001.201.401.23
Calmar ratio
The chart of Calmar ratio for ^AEX, currently valued at 0.84, compared to the broader market0.001.002.003.004.005.000.84
Martin ratio
The chart of Martin ratio for ^AEX, currently valued at 3.01, compared to the broader market0.005.0010.0015.0020.003.01
ASML
Sharpe ratio
The chart of Sharpe ratio for ASML, currently valued at 1.31, compared to the broader market-1.000.001.002.001.31
Sortino ratio
The chart of Sortino ratio for ASML, currently valued at 1.90, compared to the broader market-2.00-1.000.001.002.003.001.90
Omega ratio
The chart of Omega ratio for ASML, currently valued at 1.24, compared to the broader market0.801.001.201.401.24
Calmar ratio
The chart of Calmar ratio for ASML, currently valued at 1.29, compared to the broader market0.001.002.003.004.005.001.29
Martin ratio
The chart of Martin ratio for ASML, currently valued at 3.85, compared to the broader market0.005.0010.0015.0020.003.85

^AEX vs. ASML - Sharpe Ratio Comparison

The current ^AEX Sharpe Ratio is 1.96, which is higher than the ASML Sharpe Ratio of 1.40. The chart below compares the 12-month rolling Sharpe Ratio of ^AEX and ASML.


Rolling 12-month Sharpe Ratio0.000.501.001.502.002024FebruaryMarchAprilMayJune
1.31
1.31
^AEX
ASML

Drawdowns

^AEX vs. ASML - Drawdown Comparison

The maximum ^AEX drawdown since its inception was -71.60%, smaller than the maximum ASML drawdown of -90.00%. Use the drawdown chart below to compare losses from any high point for ^AEX and ASML. For additional features, visit the drawdowns tool.


-20.00%-15.00%-10.00%-5.00%0.00%2024FebruaryMarchAprilMayJune
-1.47%
-3.02%
^AEX
ASML

Volatility

^AEX vs. ASML - Volatility Comparison

The current volatility for AEX Index (^AEX) is 3.90%, while ASML Holding N.V. (ASML) has a volatility of 12.45%. This indicates that ^AEX experiences smaller price fluctuations and is considered to be less risky than ASML based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


2.00%4.00%6.00%8.00%10.00%12.00%2024FebruaryMarchAprilMayJune
3.90%
12.45%
^AEX
ASML