Pair Correlation Between Merck and Agilent Technologies

This module allows you to analyze existing cross correlation between Merck Co Inc and Agilent Technologies Inc. You can compare the effects of market volatilities on Merck and Agilent Technologies 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 Merck with a short position of Agilent Technologies. See also your portfolio center.Please also check ongoing floating volatility patterns of Merck and Agilent Technologies.
Investment Horizon     30 Days    Login   to change
 Merck Co. Inc.  vs   Agilent Technologies Inc.
 Daily Returns (%) 
Benchmark  Embed   Timeline 

Pair Volatility

If you would invest  5,884  in Merck Co Inc on November 2, 2016 and sell it today you would earn a total of  258.00  from holding Merck Co Inc or generate 4.38% return on investment over 30 days.
Correlation Coefficient
Pair Corralation between Merck and Agilent Technologies
0.0

Parameters

Time Period1 Month [change]
DirectionFlat 
StrengthInsignificant
Accuracy4.55%
ValuesDaily Returns

Diversification

Pay attention

Overlapping area represents amount of risk that can be diversified away by holding Merck Co. Inc. and Agilent Technologies Inc. in the same portfolio assuming nothing else is changed. The correlation between historical prices or returns on Agilent Technologies and Merck 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 Merck Co Inc are associated (or correlated) with Agilent Technologies. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Agilent Technologies has no effect on the direction of Merck i.e. Merck and Agilent Technologies 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
 1.10  0.10 (0.03) 0.90  0.96 (0.02)(1.34) 2.09 (1.60) 7.67 
 0.00  0.00  0.00  0.00  0.00  0.00  0.00  0.00  0.00  0.00 

Comparative Volatility

Merck Co Inc

  

Risk-adjusted Performance

Compared to the overall equity markets, risk-adjusted returns on investments in Merck Co Inc are ranked lower than 8 (%) of all global equities and portfolios over the last 30 days.