Pair Correlation Between JPMorgan Chase and Merck

This module allows you to analyze existing cross correlation between JPMorgan Chase Co and Merck Co Inc. You can compare the effects of market volatilities on JPMorgan Chase and Merck and check how they will diversify away market risk if combined in the same portfolio for a given time horizon. You can also utilize pair trading strategies of matching a long position in JPMorgan Chase with a short position of Merck. See also your portfolio center.Please also check ongoing floating volatility patterns of JPMorgan Chase and Merck.
Investment Horizon     30 Days    Login   to change
 JPMorgan Chase Co.  vs   Merck Co. Inc.
 Daily Returns (%) 
Benchmark  Embed   Timeline 

Pair Volatility

Considering 30-days investment horizon, JPMorgan Chase Co is expected to generate 1.05 times more return on investment than Merck. However, JPMorgan Chase is 1.05 times more volatile than Merck Co Inc. It trades about 0.5 of its potential returns per unit of risk. Merck Co Inc is currently generating about -0.01 per unit of risk. If you would invest  7,003  in JPMorgan Chase Co on November 8, 2016 and sell it today you would earn a total of  1,404  from holding JPMorgan Chase Co or generate 20.05% return on investment over 30 days.
Correlation Coefficient
Pair Corralation between JPMorgan Chase and Merck
0.51

Parameters

Time Period1 Month [change]
DirectionPositive 
StrengthWeak
Accuracy100.0%
ValuesDaily Returns

Diversification

Very weak diversification

Overlapping area represents amount of risk that can be diversified away by holding JPMorgan Chase Co. and Merck Co. Inc. in the same portfolio assuming nothing else is changed. The correlation between historical prices or returns on Merck Co Inc and JPMorgan Chase is a relative statistical measure of the degree to which these equity instruments tend to move together. The correlation coefficient measures the extent to which returns on JPMorgan Chase Co are associated (or correlated) with Merck. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Merck Co Inc has no effect on the direction of JPMorgan Chase i.e. JPMorgan Chase and Merck go up and down completely randomly.

Pair indicators

Mean
Deviation
Jensen
Alpha
Sortino
Ratio
Treynor
Ratio
Semi
Deviation
Information
Ratio
Expected
Shortfall
Potential
Upside
Value
At Risk
Maximum
Drawdown
 1.22  0.88  0.48 (6.43) 0.00  0.33 (1.52) 4.60 (0.65) 7.11 
 1.01 (0.02)(0.24) 0.03  1.11 (0.17)(1.13) 1.22 (1.60) 7.67 

Comparative Volatility

 Predicted Return Density 
Benchmark  Embed   Returns 

JPMorgan Chase Co

  

Risk-adjusted Performance

Compared to the overall equity markets, risk-adjusted returns on investments in JPMorgan Chase Co are ranked lower than 34 (%) of all global equities and portfolios over the last 30 days.

Merck Co Inc

  

Risk-adjusted Performance

Over the last 30 days Merck Co Inc has generated negative risk-adjusted returns adding no value to investors with long positions.