ASML vs. ^GSPC
ASML (ASML Holding N.V.) is a stock, while ^GSPC (S&P 500 Index) is an index. Over the past 10 years, ASML returned 36.00%/yr vs 13.61%/yr for ^GSPC. A 0.60 correlation means they provide meaningful diversification when combined.
Performance
ASML vs. ^GSPC - Performance Comparison
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Returns By Period
In the year-to-date period, ASML achieves a 74.80% return, which is significantly higher than ^GSPC's 8.56% return. Over the past 10 years, ASML has outperformed ^GSPC with an annualized return of 36.00%, while ^GSPC has yielded a comparatively lower 13.61% annualized return.
ASML
- 1D
- -1.89%
- 1M
- 17.83%
- YTD
- 74.80%
- 6M
- 73.02%
- 1Y
- 138.89%
- 3Y*
- 37.59%
- 5Y*
- 22.97%
- 10Y*
- 36.00%
^GSPC
- 1D
- 0.50%
- 1M
- -0.17%
- YTD
- 8.56%
- 6M
- 8.85%
- 1Y
- 22.93%
- 3Y*
- 19.37%
- 5Y*
- 11.84%
- 10Y*
- 13.61%
ASML vs. ^GSPC - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
ASML ASML Holding N.V. | 74.80% | 56.51% | -7.70% | 39.91% | -30.49% | 64.13% | 66.06% | 93.56% | -9.80% | 56.23% |
^GSPC S&P 500 Index | 8.56% | 16.39% | 23.31% | 24.23% | -19.44% | 26.89% | 16.26% | 28.88% | -6.24% | 19.42% |
Correlation
The correlation between ASML and ^GSPC is 0.61, which is moderate. They share some common price drivers but move independently often enough to provide real diversification benefit when combined.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 0.61 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.63 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.69 |
Correlation (10Y) Calculated over the trailing 10-year period | 0.67 |
Correlation (All Time) Calculated using the full available price history since Mar 16, 1995 | 0.60 |
The correlation between ASML and ^GSPC has been stable across timeframes, ranging from 0.60 to 0.69 - a consistent structural relationship.
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Return for Risk
ASML vs. ^GSPC — Risk / Return Rank
ASML
^GSPC
ASML vs. ^GSPC - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for ASML Holding N.V. (ASML) and S&P 500 Index (^GSPC). 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.
Values are calculated on a 1-year rolling basis and updated daily. Risk-adjusted metrics are more stable over longer periods — use the period switch above to explore them.
| ASML | ^GSPC | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | +1.41 | ||
| Sortino ratioReturn per unit of downside risk | +1.16 | ||
| Omega ratioGain probability vs. loss probability | 1.45 | 1.34 | +0.11 |
| Calmar ratioReturn relative to maximum drawdown | 7.83 | 2.53 | +5.29 |
| Martin ratioReturn relative to average drawdown | 21.08 | 11.37 | +9.71 |
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Drawdowns
ASML vs. ^GSPC - Drawdown Comparison
The maximum ASML drawdown since its inception was -90.00%, which is greater than ^GSPC's maximum drawdown of -56.78%. Use the drawdown chart below to compare losses from any high point for ASML and ^GSPC.
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Drawdown Indicators
| ASML | ^GSPC | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -90.00% | -56.78% | -33.22% |
Max Drawdown (1Y)Largest decline over 1 year | -17.85% | -9.10% | -8.75% |
Max Drawdown (3Y)Largest decline over 3 years | -45.38% | -18.90% | -26.48% |
Max Drawdown (5Y)Largest decline over 5 years | -56.84% | -25.43% | -31.41% |
Max Drawdown (10Y)Largest decline over 10 years | -56.84% | -33.92% | -22.92% |
Current DrawdownCurrent decline from peak | -1.89% | -2.34% | +0.45% |
Average DrawdownAverage peak-to-trough decline | -28.12% | -10.72% | -17.40% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 6.63% | 2.02% | +4.61% |
Volatility
ASML vs. ^GSPC - Volatility Comparison
ASML Holding N.V. (ASML) has a higher volatility of 17.27% compared to S&P 500 Index (^GSPC) at 4.43%. This indicates that ASML's price experiences larger fluctuations and is considered to be riskier than ^GSPC based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| ASML | ^GSPC | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 17.27% | 4.43% | +12.84% |
Volatility (6M)Calculated over the trailing 6-month period | 34.58% | 9.70% | +24.88% |
Volatility (1Y)Calculated over the trailing 1-year period | 42.75% | 12.38% | +30.37% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 42.44% | 16.97% | +25.47% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 38.72% | 18.09% | +20.63% |
Frequently Asked Questions
ASML and ^GSPC have a correlation of 0.61, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
ASML has higher volatility (17.27%) compared to ^GSPC (4.43%). In terms of maximum drawdown, ASML dropped -90.00% vs ^GSPC's -56.78%.
ASML currently has the higher Sharpe Ratio (3.27 vs 1.86), meaning it's delivered slightly more return per unit of risk over the trailing 12 months. However, this ranking shifts over time - use the Risk/Return Score above for a more comprehensive view that combines Sharpe, Sortino, and other measures used by quantitative funds.
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