ASML.AS vs. SPY
Compare and contrast key facts about ASML Holding NV (ASML.AS) and SPDR S&P 500 ETF (SPY).
SPY is a passively managed fund by State Street that tracks the performance of the S&P 500 Index. It was launched on Jan 22, 1993.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: ASML.AS or SPY.
Performance
ASML.AS vs. SPY - Performance Comparison
Returns By Period
In the year-to-date period, ASML.AS achieves a -6.10% return, which is significantly lower than SPY's 24.40% return. Over the past 10 years, ASML.AS has outperformed SPY with an annualized return of 23.23%, while SPY has yielded a comparatively lower 13.04% annualized return.
ASML.AS
-6.10%
-4.22%
-25.25%
1.82%
21.67%
23.23%
SPY
24.40%
0.59%
11.33%
31.86%
15.23%
13.04%
Key characteristics
| ASML.AS | SPY | |
|---|---|---|
| Sharpe Ratio | 0.06 | 2.64 |
| Sortino Ratio | 0.35 | 3.53 |
| Omega Ratio | 1.05 | 1.49 |
| Calmar Ratio | 0.06 | 3.81 |
| Martin Ratio | 0.14 | 17.21 |
| Ulcer Index | 16.57% | 1.86% |
| Daily Std Dev | 40.52% | 12.15% |
| Max Drawdown | -89.99% | -55.19% |
| Current Drawdown | -36.37% | -2.17% |
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Correlation
The correlation between ASML.AS and SPY is 0.34, which is considered to be low. This implies their price changes are not closely related. A low correlation is generally favorable for portfolio diversification, as it helps to reduce overall risk by spreading it across multiple assets with different performance patterns.
Risk-Adjusted Performance
ASML.AS vs. SPY - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for ASML Holding NV (ASML.AS) and SPDR S&P 500 ETF (SPY). 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.
Dividends
ASML.AS vs. SPY - Dividend Comparison
ASML.AS's dividend yield for the trailing twelve months is around 0.98%, less than SPY's 1.20% yield.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
ASML.AS ASML Holding NV | 0.98% | 0.87% | 1.28% | 0.47% | 0.64% | 1.19% | 1.02% | 0.83% | 0.98% | 0.85% | 0.68% | 0.78% |
SPY SPDR S&P 500 ETF | 1.20% | 1.40% | 1.65% | 1.20% | 1.52% | 1.75% | 2.04% | 1.80% | 2.03% | 2.06% | 1.87% | 1.81% |
Drawdowns
ASML.AS vs. SPY - Drawdown Comparison
The maximum ASML.AS drawdown since its inception was -89.99%, which is greater than SPY's maximum drawdown of -55.19%. Use the drawdown chart below to compare losses from any high point for ASML.AS and SPY. For additional features, visit the drawdowns tool.
Volatility
ASML.AS vs. SPY - Volatility Comparison
ASML Holding NV (ASML.AS) has a higher volatility of 12.42% compared to SPDR S&P 500 ETF (SPY) at 4.08%. This indicates that ASML.AS's price experiences larger fluctuations and is considered to be riskier than SPY based on this measure. The chart below showcases a comparison of their rolling one-month volatility.