Merck Backtesting

MRK -- USA Stock  

Fiscal Quarter End: December 31, 2019  

With this equity back-testing module your can estimate the performance of a buy and hold strategy of Merck Company and determine expected loss or profit from investing in Merck over given investment horizon. Please see also Merck Hype Analysis, Merck Correlation, Merck Valuation, Merck Volatility as well as analyze Merck Alpha and Beta and Merck Performance.
Horizon     30 Days    Login   to change
SymbolX
Backtest

Merck 'What if' Analysis

August 20, 2019
0.00
No Change 0.00  0.0 
In 3 months and 1 day
November 18, 2019
0.00
If you would invest  0.00  in Merck on August 20, 2019 and sell it all today you would earn a total of 0.00 from holding Merck Company or generate 0.0% return on investment in Merck over 90 days. Merck is related to or competes with Allergan Plc, Pfizer, Bristol Myers, Eli Lilly, Johnson Johnson, and Novartis. It operates in Pharmaceutical, Animal Health, Healthcare Services, and Alliances segments

Merck Upside/Downside Indicators

Information Ratio(0.10)
Maximum Drawdown6.54
Value At Risk(2.13)
Potential Upside1.53

Merck Market Premium Indicators

Risk Adjusted Performance(0.00018203)
Jensen Alpha(0.09)
Total Risk Alpha(0.22)
Treynor Ratio(0.030125)

Merck Backtested Returns

Macroaxis considers Merck to be very steady. Merck has Sharpe Ratio of -0.0149 which conveys that the firm had -0.0149% of return per unit of risk over the last 3 months. Macroaxis philosophy towards estimating risk of any stock is to look at both systematic and un-systematic factors of the business, including all available market data and technical indicators. Merck exposes twenty-one different technical indicators which can help you to evaluate volatility that cannot be diversified away. Please be advised to verify Merck Company Risk Adjusted Performance of (0.00018203) and Mean Deviation of 1.0 to check out risk estimate we provide. The company secures Beta (Market Risk) of 0.6077 which conveys that as returns on market increase, Merck returns are expected to increase less than the market. However during bear market, the loss on holding Merck will be expected to be smaller as well. Even though it is essential to pay attention to Merck price patterns, it is always good to be careful when utilizing equity historical price patterns. Macroaxis philosophy towards estimating future performance of any stock is to check both, its past performance charts as well as the business as a whole, including all available technical indicators. Merck exposes twenty-one different technical indicators which can help you to evaluate its performance. Merck has expected return of -0.0195%. Please be advised to verify Merck Company Variance, Value At Risk as well as the relationship between Value At Risk and Skewness to decide if Merck past performance will be repeated at some point in the near future.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation(0.09) 
correlation synergy

Very weak reverse predictability

Merck Company has very weak reverse predictability. Overlapping area represents the amount of predictability between Merck time series from August 20, 2019 to October 4, 2019 and October 4, 2019 to November 18, 2019. The more autocorrelation exist between current time interval and its lagged values, the more accurately you can make projection about the future pattern of Merck price movement. The serial correlation of -0.09 indicates that less than 9.0% of current Merck price fluctuation can be explain by its past prices. Given that Merck Company has negative autocorrelation for selected time horizon, investors may consider taking a contrarian position regarding future price movement of Merck for similar time interval.
Correlation Coefficient-0.09
Spearman Rank Test-0.01
Residual Average0.0
Price Variance1.28

Merck lagged returns against current returns

 Current and Lagged Values 
      Timeline 

Merck regressed lagged prices vs. current prices

 Current vs Lagged Prices 
      Timeline 

Merck Lagged Returns

 Regressed Prices 
      Timeline 

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Please see also Merck Hype Analysis, Merck Correlation, Merck Valuation, Merck Volatility as well as analyze Merck Alpha and Beta and Merck Performance. Please also try Portfolio Volatility module to check portfolio volatility and analyze historical return density to properly model market risk.
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