Pair Correlation Between Merck and Salesforce

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

Pair Volatility

Considering 30-days investment horizon, Merck Co Inc is expected to generate 0.8 times more return on investment than Salesforce. However, Merck Co Inc is 1.26 times less risky than Salesforce. It trades about -0.01 of its potential returns per unit of risk. salesforce inc is currently generating about -0.13 per unit of risk. If you would invest  6,051  in Merck Co Inc on November 8, 2016 and sell it today you would lose (45.00) from holding Merck Co Inc or give up 0.74% of portfolio value over 30 days.
Correlation Coefficient
Pair Corralation between Merck and Salesforce
-0.21

Parameters

Time Period1 Month [change]
DirectionNegative MRK Moved Down vs CRM
StrengthInsignificant
Accuracy95.65%
ValuesDaily Returns

Diversification

Very good diversification

Overlapping area represents amount of risk that can be diversified away by holding Merck Co. Inc. and salesforce.com inc. in the same portfolio assuming nothing else is changed. The correlation between historical prices or returns on salesforce inc 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 Salesforce. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of salesforce inc has no effect on the direction of Merck i.e. Merck and Salesforce 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
 1.01 (0.02)(0.24) 0.03  1.11 (0.17)(1.13) 1.22 (1.60) 7.67 
 1.53 (0.12) 0.00  0.51  0.00 (0.27) 0.00  3.43 (2.99) 8.35 

Comparative Volatility

 Predicted Return Density 
Benchmark  Embed   Returns 

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.

salesforce inc

  

Risk-adjusted Performance

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