Pair Correlation Between Merck and Alphabet

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

Pair Volatility

Considering 30-days investment horizon, Merck Co Inc is expected to under-perform the Alphabet. But the stock apears to be less risky and, when comparing its historical volatility, Merck Co Inc is 1.43 times less risky than Alphabet. The stock trades about -0.23 of its potential returns per unit of risk. The Alphabet Inc is currently generating about 0.18 of returns per unit of risk over similar time horizon. If you would invest  75,361  in Alphabet Inc on November 11, 2016 and sell it today you would earn a total of  3,568  from holding Alphabet Inc or generate 4.73% return on investment over 30 days.
Correlation Coefficient
Pair Corralation between Merck and Alphabet
0.37

Parameters

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

Diversification

Weak diversification

Overlapping area represents amount of risk that can be diversified away by holding Merck Co. Inc. and Alphabet Inc. in the same portfolio assuming nothing else is changed. The correlation between historical prices or returns on Alphabet 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 Alphabet. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Alphabet Inc has no effect on the direction of Merck i.e. Merck and Alphabet 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
 0.80 (0.40) 0.00 (0.27) 0.00 (0.45) 0.00  1.22 (1.60) 2.82 
 1.15 (0.23)(0.12) 0.02  1.58 (0.14)(1.08) 1.66 (2.33) 4.71 

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.

Alphabet Inc

  

Risk-adjusted Performance

Compared to the overall equity markets, risk-adjusted returns on investments in Alphabet Inc are ranked lower than 12 (%) of all global equities and portfolios over the last 30 days.