Merck Correlations

MRK Stock

USD 125.26 0.59 0.47%

The current 90-days correlation between Merck Company and Amgen Inc is 0.07 (i.e., Significant diversification). A perfect positive correlation (i.e., a correlation coefficient of +1) implies that as Merck moves, either up or down, the other security will move in the same direction. Alternatively, perfect negative correlation means that if Merck Company moves in either direction, the perfectly negatively correlated security will move in the opposite direction.

Merck Correlation With Market

Significant diversification

The correlation between Merck Company and DJI is 0.04 (i.e., Significant diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Merck Company and DJI in the same portfolio, assuming nothing else is changed.

Check out Correlation Analysis to better understand how to build diversified portfolios, which includes a position in Merck Company. Also, note that the market value of any company could be closely tied with the direction of predictive economic indicators such as signals in metropolitan statistical area.

Moving against Merck Stock

0.5	RDY	Dr Reddys Laboratories	Pair Corr
0.31	TIL	Instil Bio	Pair Corr
0.4	IRMD	Iradimed	Pair Corr
0.36	ASRT	Assertio Therapeutics	Pair Corr
0.33	ANIK	Anika Therapeutics	Pair Corr

Related Correlations Analysis

	AMGN	444859BR2	AQUI	MLGO	VIASP	91324PDZ2	GFF	COKE
AMGN		0.77	0.0	0.15	0.11	0.61	0.17	0.83	AMGN
444859BR2	0.77		0.0	0.2	-0.05	0.58	-0.11	0.81	444859BR2
AQUI	0.0	0.0		0.0	0.0	0.0	0.0	0.0	AQUI
MLGO	0.15	0.2	0.0		0.41	0.15	-0.51	0.4	MLGO
VIASP	0.11	-0.05	0.0	0.41		0.22	-0.25	0.22	VIASP
91324PDZ2	0.61	0.58	0.0	0.15	0.22		-0.08	0.58	91324PDZ2
GFF	0.17	-0.11	0.0	-0.51	-0.25	-0.08		-0.19	GFF
COKE	0.83	0.81	0.0	0.4	0.22	0.58	-0.19		COKE
	AMGN	444859BR2	AQUI	MLGO	VIASP	91324PDZ2	GFF	COKE

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Correlation Matchups

Over a given time period, the two securities move together when the Correlation Coefficient is positive. Conversely, the two assets move in opposite directions when the Correlation Coefficient is negative. Determining your positions' relationship to each other is valuable for analyzing and projecting your portfolio's future expected return and risk.

High positive correlations

COKE	+ 0.83	AMGN
COKE	+ 0.81	444859BR2
444859BR2	+ 0.77	AMGN
91324PDZ2	+ 0.61	AMGN
91324PDZ2	+ 0.58	444859BR2
COKE	+ 0.58	91324PDZ2

High negative correlations

GFF	- 0.51	MLGO
GFF	- 0.25	VIASP
COKE	- 0.19	GFF
GFF	- 0.11	444859BR2
GFF	- 0.08	91324PDZ2
VIASP	- 0.05	444859BR2

Risk-Adjusted Indicators

There is a big difference between Merck Stock performing well and Merck Company doing well as a business compared to the competition. There are so many exceptions to the norm that investors cannot definitively determine what's good or bad unless they analyze Merck's multiple risk-adjusted performance indicators across the competitive landscape. These indicators are quantitative in nature and help investors forecast volatility and risk-adjusted expected returns across various positions.

	Mean Deviation	Jensen Alpha	Sortino Ratio	Treynor Ratio	Semi Deviation	Expected Shortfall	Potential Upside	Value @Risk	Maximum Drawdown
AMGN	1.11	0.26	0.23	0.26	0.82	(1.31)	2.37	(1.73)	15.61
444859BR2	0.47	0.06	0.01	(2.81)	0.44	(0.55)	1.29	(0.85)	3.02
AQUI	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00
MLGO	28.91	9.08	0.76	0.78	10.81	(53.22)	12.87	(20.75)	711.84
VIASP	1.68	0.05	0.01	0.18	2.99	(1.50)	4.33	(4.97)	16.82
91324PDZ2	1.10	0.00	(0.03)	0.00	2.12	(1.04)	1.91	(1.76)	4.67
GFF	1.93	0.01	0.03	0.06	2.30	(1.95)	3.84	(3.97)	12.66
COKE	1.45	0.45	0.22	2.30	1.44	(1.72)	2.30	(2.01)	24.04

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