ASML vs AMAT: Stock Returns, Risk & Volatility (2026)

Q: Which is a better investment: ASML or AMAT?

Over the past year, AMAT looks like the better investment: it had higher total return (AMAT +108.4% vs ASML +90.9%) and a higher Sharpe ratio (AMAT 1.71 vs ASML 1.69). On risk, ASML was less volatile (ASML 41.2% vs AMAT 47.6%), ASML had a smaller max drawdown (ASML -20.3% vs AMAT -27.9%), and ASML had less severe losses on the worst 5% of days (Expected Shortfall of ASML -5.73% vs AMAT -6.97%).

Written by Gale Finance Team

Reviewed by Sid Kalla CFA Charterholder

Quick answer

Which is a better investment: ASML or AMAT?

Over the past year, AMAT outperformed (+90.9% vs +108.4%) with a Sharpe ratio of 1.71.

Total Return

ASML +90.9%

AMAT WIN +108.4%

Sharpe Ratio

ASML 1.69

AMAT WIN 1.71

Annualized Volatility

ASML WIN 41.2%

AMAT 47.6%

Max Drawdown

ASML WIN -20.3%

AMAT -27.9%

Analysis period: 2025-02-18 to 2026-02-13

ASML Total Return

↑ +90.9%

AMAT Total Return

↑ +108.4%

Relative Performance of ASML vs AMAT (Normalized to 100)

ASML AMAT

Normalized to 100 at start date for comparison

Key Takeaways

Total Return: ASML delivered a +90.9% total return, while AMAT returned +108.4% over the same period. AMAT outperformed on total returns.
Risk-Adjusted Return (Sharpe Ratio): AMAT had a higher Sharpe (1.71 vs 1.69), indicating better risk-adjusted performance.
Volatility (Annualized): AMAT was more volatile, with 47.6% annualized volatility, versus 41.2% for ASML.
Maximum Drawdown: ASML's maximum drawdown was -20.3%, while AMAT experienced a deeper drawdown of -27.9%.
Tail Risk (VaR & Expected Shortfall): At the 5% level (daily log returns), ASML's VaR was -3.78% and its Expected Shortfall (CVaR) was -5.73%; AMAT's were -4.81% and -6.97%. VaR is the cutoff; Expected Shortfall is the average move on the worst days.
Skew & Kurtosis: Skew: ASML 0.32 vs AMAT -0.26. Excess kurtosis: ASML 4.27 vs AMAT 4.67. Negative skew leans downside; higher excess kurtosis means fatter tails.
Tail Days & Extremes: 2σ tail days (down/up): ASML 8/6, AMAT 8/5. Worst day: ASML -8.33% (2025-07-16) vs AMAT -14.07% (2025-08-15). Best day: ASML +15.43% (2025-04-09) vs AMAT +16.11% (2025-04-09).
Risk ratios: Sortino - ASML: 2.67 vs. AMAT: 2.61 , Calmar - ASML: 4.57 vs. AMAT: 3.97 , Sterling - ASML: 6.54 vs. AMAT: 5.15 , Treynor - ASML: 0.48 vs. AMAT: 0.49 , Ulcer Index - ASML: 6.74% vs. AMAT: 9.87%

ASML vs Applied Materials Correlation

0.79 Average Correlation

ASML and Applied Materials are strongly correlated over the past year. With a correlation of 0.79, these assets tend to move together, limiting diversification benefits.

For portfolio construction, this strong correlation means holding both ASML and AMAT provides limited risk reduction — they're likely to decline together in downturns.

Metric	Value
Current (30-day)	0.76
Average (full period)	0.79
Minimum	0.51
Maximum	0.96

Correlation measures how closely two assets move together. Values near +1 indicate strong co-movement, near 0 indicates independence, and negative values indicate inverse movement.

Investment Comparison

If you invested $10,000 in each asset on February 18, 2025:

ASML $19,087.12 +90.9%

AMAT $20,843.6 +108.4%

Difference: $1,756.48 (AMAT ahead)

ASML and Applied Materials: Risk Analysis

ASML experienced its maximum drawdown of -20.3% from 2025-02-26 to 2025-04-08. It took 34 days to recover.

Applied Materials experienced its maximum drawdown of -27.9% from 2025-02-20 to 2025-04-04. It took 73 days to recover.

Smaller drawdowns and faster recoveries indicate lower downside risk and greater resilience during market stress.

Sharpe Ratio of ASML and AMAT

ASML Sharpe Ratio

↑ 1.69

AMAT Sharpe Ratio

↑ 1.71

Sharpe ratio measures return per unit of risk (volatility). A higher Sharpe indicates better risk-adjusted performance. AMAT had a higher Sharpe (1.71 vs 1.69), indicating better risk-adjusted performance.

A Sharpe above 1.0 is generally considered good, above 2.0 is excellent. Negative Sharpe means the asset underperformed the risk-free rate. Calculated on each asset's full 365-day lookback of available prices and annualized using the asset calendar (365 for crypto, 252 trading days for equities/ETFs/metals).

Sortino Ratio of ASML and AMAT

ASML Sortino Ratio

↑ 2.67

AMAT Sortino Ratio

↑ 2.61

Sortino ratio measures return per unit of downside risk. Unlike Sharpe, it only counts downside deviation (returns below the target return). ASML had better downside-adjusted returns.

A higher Sortino is better. It's useful when upside volatility is common (crypto is the obvious example). Downside deviation: ASML 26.1% vs AMAT 31.2%. Calculated on each asset's full 365-day lookback of available prices, using the daily risk-free rate as the target return, and annualized using the asset calendar (365 for crypto, 252 trading days for equities/ETFs/metals).

Calmar Ratio of ASML and AMAT

ASML Calmar Ratio

↑ 4.57

AMAT Calmar Ratio

↑ 3.97

Calmar ratio compares CAGR to maximum drawdown. Higher Calmar means more return per unit of worst drawdown. ASML posted the higher Calmar ratio.

Calmar is computed on each asset's full 365-day lookback and uses the max drawdown over that same window.

Sterling Ratio of ASML and AMAT

ASML Sterling Ratio

↑ 6.54

AMAT Sterling Ratio

↑ 5.15

Sterling ratio measures excess return per unit of average drawdown (typically drawdowns worse than 10%). ASML posted the higher Sterling ratio.

Sterling uses average drawdown events deeper than 10% and subtracts the risk-free rate to report excess return.

Treynor Ratio of ASML and AMAT

ASML Treynor Ratio

↑ 0.48

AMAT Treynor Ratio

↑ 0.49

Treynor ratio measures excess return per unit of market risk (beta) instead of total volatility. AMAT posted the higher Treynor ratio.

Treynor uses beta vs the S&P 500 (SPY) on shared dates and the average 3-month Treasury rate as the risk-free rate.

Ulcer Index of ASML and AMAT

ASML Ulcer Index

6.74%

AMAT Ulcer Index

9.87%

Ulcer Index captures drawdown depth and duration. Lower Ulcer Index means less drawdown pain. ASML had the lower Ulcer Index (less drawdown pain).

Ulcer Index is computed from each asset's drawdown series over the full lookback window.

Tail Risk & Distribution Shape (1-Year): ASML vs. Applied Materials

This section looks at the shape of daily returns, not just the average. Tail stats are computed per asset on its own daily series (crypto includes weekends). We use daily log returns $\ln\left(\frac{P_t}{P_{t-1}}\right)$ so multi-day moves add cleanly.

Definitions: Value at Risk (VaR), Expected Shortfall, skew, kurtosis, and fat tails.

Metric (1-Year)	ASML	AMAT
5% VaR (daily log return)	-3.78%	-4.81%
5% Expected Shortfall (CVaR)	-5.73% (worst 13 days)	-6.97% (worst 13 days)
Skew	0.32	-0.26
Excess kurtosis	4.27	4.67
2σ tail days (down / up)	8 / 6	8 / 5
Worst day	-8.33% (2025-07-16)	-14.07% (2025-08-15)
Best day	+15.43% (2025-04-09)	+16.11% (2025-04-09)

Downside co-moves (2σ) — 1-Year

Computed on shared dates only (n=249). A “2σ downside move” means a shared-close log return more than 2 standard deviations below that asset’s own mean on this shared-date series. Dates below show simple returns (%) for readability.

When AMAT has a big down day, ASML also does

50.0%

4 / 8 days

When ASML has a big down day, AMAT also does

50.0%

4 / 8 days

Show downside tail dates

Dates below are shared-date observations. The “Date” is the period end (close). Tail thresholds are computed on log returns, but the table shows simple returns (%) for readability. Returns are computed from the previous shared close to this one (for example, Friday → Monday includes weekend moves).

Days when both ASML and AMAT had a big down day (2σ)

Date (interval)	ASML	AMAT
2025-02-27	-6.59%	-7.04%
2025-04-03	-6.84%	-8.28%
2025-04-10	-5.49%	-7.67%
2025-11-20	-5.61%	-6.14%

Days when ASML had a big down day

Date (interval)	ASML	AMAT
2025-02-27	-6.59%	-7.04%
2025-03-07 → 2025-03-10	-6.71%	-3.65%
2025-04-03	-6.84%	-8.28%
2025-04-10	-5.49%	-7.67%
2025-04-16	-7.06%	-4.99%
2025-07-16	-8.33%	-2.25%
2025-11-20	-5.61%	-6.14%
2025-12-17	-5.63%	-4.08%

Days when AMAT had a big down day

Date (interval)	ASML	AMAT
2025-02-27	-6.59%	-7.04%
2025-04-03	-6.84%	-8.28%
2025-04-04	-2.84%	-6.32%
2025-04-10	-5.49%	-7.67%
2025-08-15	-1.73%	-14.07%
2025-11-20	-5.61%	-6.14%
2026-01-30	-2.21%	-5.57%
2026-02-04	-4.07%	-6.61%

Read this as “how ugly the ugly days get”, not as a precise forecast. One-year samples are small, so tail estimates are inherently noisy.

ASML vs Applied Materials Volatility (ASML vs AMAT)

ASML Volatility

41.2%

±2.6% daily

AMAT Volatility

47.6%

±3% daily

Typical daily swing

ASML

±2.6%

AMAT

±3%

ASML's annualized volatility of 41.2% means it typically moves ±2.6% on any given day.

Applied Materials's annualized volatility of 47.6% means it typically moves ±3% on any given day.

AMAT's higher volatility means a wider path to returns — this can be attractive for tactical, shorter-term exposure, while ASML's smoother profile may better suit long-term allocators seeking steadier growth.

For comparison, the S&P 500 typically has 15-18% annualized volatility, translating to roughly ±1% daily moves. Higher volatility means larger potential gains but also larger potential losses.

ASML vs Applied Materials Performance Over Time

Metric	ASML	AMAT
30 Days	11.3%	17.6%
90 Days	39.7%	57.4%
180 Days	89.9%	120.5%
1 Year	N/A	N/A

Shorter time frames can show different leaders as market conditions change. Consider your investment horizon when comparing performance.

Full Comparison of ASML vs. Applied Materials (1-Year)

Metric	ASML	AMAT
Total Return	+90.9%	+108.4%
Annualized Volatility	41.2%	47.6%
Sharpe Ratio	1.69	1.71
Sortino Ratio	2.67	2.61
Calmar Ratio	4.57	3.97
Sterling Ratio	6.54	5.15
Treynor Ratio	0.48	0.49
Ulcer Index	6.74%	9.87%
Max Drawdown	-20.3%	-27.9%
Avg Correlation to S&P 500	0.60	0.60
5% VaR (daily log return)	-3.78%	-4.81%
5% Expected Shortfall (CVaR)	-5.73%	-6.97%
Skew	0.32	-0.26
Excess kurtosis	4.27	4.67
2σ tail days (down / up)	8 / 6	8 / 5

Audit this calculation

Formulas, inputs, and conventions used to compute the metrics on this page.

Inputs & conventions

Shared window for pair metrics: 2025-02-18 → 2026-02-13 (last shared close).
Rolling correlation sample (shared closes): 220 rolling 30-day values (from 249 shared daily returns).
Annualization (days/year): ASML: 252 days/year; AMAT: 252 days/year.
Risk-free rate: Uses the 3-month U.S. Treasury yield (FRED: DGS3MO), averaged over each asset’s window:

ASML: 4.20% over 2025-02-18 → 2026-02-13.

AMAT: 4.20% over 2025-02-18 → 2026-02-13.
Volatility drag (rule of thumb): Estimated from annualized volatility (simple returns). For the log-return framing, see Log returns.

ASML: ≈ -8.5%/yr

AMAT: ≈ -11.3%/yr
Data alignment: No forward fill. Correlation and tail co-moves are computed on shared closes only.
For cross-calendar pairs (e.g., crypto vs stocks), weekend/holiday moves roll into the next shared close.
Return conventions: Volatility/Sharpe/Sortino use simple daily returns. Tail-risk uses daily log returns for distribution stats (but tables show simple returns). Log returns.

Formulas

Daily simple return

r_t = \frac{P_t}{P_{t-1}} - 1

Volatility

\sigma_{ann} = \sigma(r_t)\sqrt{A}

Volatility drag (approx.)

\text{drag} \approx \tfrac{1}{2}\sigma_{ann}^2

Sharpe Ratio

S = \frac{A\,\bar{r} - r_f}{\sigma(r_t)\sqrt{A}}

Sortino Ratio

So = \frac{A\,\bar{r} - r_f}{\sqrt{\mathbb{E}[\min(0,\,r_t - r_f/A)^2]}\,\sqrt{A}}

Maximum Drawdown

MDD = \min_t\left(\frac{P_t}{\max_{s \le t} P_s} - 1\right)

Average Correlation

\rho = \frac{\operatorname{cov}(r^A,\,r^B)}{\sigma_A\,\sigma_B}

Log returns

\ell_t = \ln\left(\frac{P_t}{P_{t-1}}\right)

Notation

$P_t$: Price on day t.
$r_t$: Simple daily return.
$\ell_t$: Log daily return.
$\bar{r}$: Average daily return.
$\sigma(r_t)$: Standard deviation of daily returns.
$A$: Annualization factor (days/year).
$r_f$: Annual risk-free rate.

ASML vs Applied Materials: Frequently Asked Questions

Which has higher volatility: ASML or AMAT?

AMAT showed higher volatility at 47.6% annualized, compared to 41.2% for ASML Over the past year. Higher volatility means larger price swings in both directions.

Does ASML provide diversification when held with AMAT?

ASML and AMAT are strongly correlated over the past year, with an average correlation of 0.79. This strong correlation limits diversification benefits.

How bad are the worst 5% days for ASML vs AMAT?

Over the past year, ASML's 5% VaR was -3.78% and its 5% Expected Shortfall was -5.73% (worst 13 days). AMAT's were -4.81% and -6.97% (worst 13 days).

Do ASML and AMAT crash together on bad days?

On shared dates (n=249), when AMAT has a 2σ down day, ASML also does 50.0% (4/8 days). In the other direction, when ASML has one, AMAT also does 50.0% (4/8 days).

Which has better risk-adjusted returns: ASML or AMAT?

AMAT showed better risk-adjusted performance with a Sharpe ratio of 1.71 versus ASML's 1.69 Over the past year.

Can ASML and AMAT be combined in a portfolio?

Yes, though allocation sizing matters. Their strong correlation provides limited risk reduction since they tend to move together. AMAT's higher volatility (47.6%) means even small allocations can materially impact overall portfolio risk.