Merck Backtesting

MRK -- USA Stock  

USD 85.16  1.19  1.42%

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

June 23, 2019
0.00
No Change 0.00  0.0%
In 3 months and 1 day
September 21, 2019
0.00
If you would invest  0.00  in Merck on June 23, 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 Eli Lilly, Astrazeneca PLC, Johnson Johnson, Hutchison China, Novartis, GW Pharmaceuticals, and Bristol Myers. It operates through four segments Pharmaceutical, Animal Health, Healthcare Services, and Alliances

Merck Upside/Downside Indicators

Downside Deviation1.67
Information Ratio(0.018255)
Maximum Drawdown6.13
Value At Risk(2.13)
Potential Upside1.51

Merck Market Premium Indicators

Risk Adjusted Performance0.0064
Jensen Alpha(0.014318)
Total Risk Alpha(0.031809)
Sortino Ratio(0.014182)
Treynor Ratio(0.010523)

Merck Backtested Returns

We consider Merck very steady. Merck has Sharpe Ratio of 0.0016 which conveys that the firm had 0.0016% of return per unit of risk over the last 3 months. Our philosophy towards estimating volatility of a stock is to use all available market data together with stock specific technical indicators that cannot be diversified away. We have found twenty-eight technical indicators for Merck which you can use to evaluate future volatility of the firm. Please verify Merck Company Downside Deviation of 1.67, Risk Adjusted Performance of 0.0064 and Mean Deviation of 0.9715 to check out if risk estimate we provide are consistent with the epected return of 0.002%. The company secures Beta (Market Risk) of 0.4942 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. Although it is extremely important to respect Merck price patterns, it is better to be realistic regarding the information on equity historical price patterns. The philosophy towards estimating future performance of any stock is to evaluate the business as a whole together with its past performance including all available fundamental and technical indicators. By analyzing Merck technical indicators you can presently evaluate if the expected return of 0.002% will be sustainable into the future. Merck right now secures a risk of 1.3036%. Please verify Merck Company Value At Risk as well as the relationship between Skewness and Day Median Price to decide if Merck Company will be following its current price movements.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation(0.13) 
correlation synergy

Insignificant reverse predictability

Merck Company has insignificant reverse predictability. Overlapping area represents the amount of predictability between Merck time series from June 23, 2019 to August 7, 2019 and August 7, 2019 to September 21, 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 -0.13 indicates that less than 13.0% 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-0.13
Spearman Rank Test0.09
Residual Average0.0
Price Variance2.42

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 

Current Sentiment - MRK

Merck Investor Sentiment

Predominant part of Macroaxis users are now bullish on Merck Company. What is your trading attitude regarding investing in Merck Company? Are you bullish or bearish?
Bullish
Bearish
98% Bullish
2% Bearish
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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 Content Syndication module to quickly integrate customizable finance content to your own investment portal.
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