Merck Backtesting

With this equity back-testing module your can estimate the performance of a buy and hold strategy of Merck Co Inc 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
Investment Horizon     30 Days    Login   to change

Merck 'What if' Analysis

November 8, 2016
No Change 0.00  0.0%
In 30 days
December 8, 2016
If you would invest  0.00  in Merck on November 8, 2016 and sell it all today you would earn a total of 0.00 from holding Merck Co Inc or generate 0.0% return on investment in Merck over 30 days. Merck is related to or competes with JOHNSON AND, NOVARTIS AG, SANOFI-AVENTIS SA, GLAXOSMITHKLINE P, BRISTOL MYERS, and LILLY ELI. Merck Co Inc offers therapeutic and preventive agents to treat cardiovascular type 2 diabetes asthma nasal allergy sympt...

Merck Upside/Downside Indicators


Merck Market Premium Indicators

Merck Co Inc lagged returns against current returns

 Current and Lagged Values 
Benchmark  Embed   Timeline 

Merck regressed lagged prices vs. current prices

 Current vs Lagged Prices 
Benchmark  Embed   Timeline 

Merck Co Inc Backtested Returns

Macroaxis considers Merck to be not too risky. Merck Co Inc has Sharpe Ratio of -0.0136 which conveys that Merck Co Inc had -0.0136% of return per unit of risk over the last 1 month. 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-eight different technical indicators which can help you to evaluate volatility that cannot be diversified away. Please be advised to verify Merck Co Inc Downside Deviation of 1.18, Mean Deviation of 1.01 and Risk Adjusted Performance of 0.011 to check out risk estimate we provide. Macroaxis gives Merck performance score of 0 on a scale of 0 to 100. The company secures Beta (Market Risk) of 0.0835 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 Co Inc 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-eight different technical indicators which can help you to evaluate its performance. Merck Co Inc has expected return of -0.0219%. Please be advised to verify Merck Co Inc Value At Risk as well as the relationship between Skewness and Day Median Price to decide if Merck Co Inc past performance will be repeated at some point in the near future.
Advice Volatility Trend Exposure 
15 days auto-correlation 0.51 

Modest predictability

Merck Co Inc has modest predictability. Overlapping area represents amount of predictability between Merck time series from November 8, 2016 to November 23, 2016 and November 23, 2016 to December 8, 2016. 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 Co Inc price movement. The serial correlation of 0.51 indicates that about 51.0% of current Merck price fluctuation can be explain by its past prices.
Correlation Coefficient 0.51
Spearman Rank Test 0.47
Price Variance 0.62
Lagged Price Variance 1.51

Merck Lagged Returns

 Regressed Prices 
Benchmark  Embed   Timeline 

Merck Performance vs NYSE

The median price of Merck for the period between Tue, Nov 8, 2016 and Thu, Dec 8, 2016 is 61.87 with a coefficient of variation of 2.29. The daily time series for the period is distributed with a sample standard deviation of 1.42, arithmetic mean of 61.98, and mean deviation of 1.14. The Stock received some media coverage during the period.
Price Growth (%)  
Benchmark  Embed   Timeline