Pair Correlation Between Merck and JPMorgan Chase

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

Pair Volatility

Considering 30-days investment horizon, Merck Co Inc is expected to under-perform the JPMorgan Chase. But the stock apears to be less risky and, when comparing its historical volatility, Merck Co Inc is 1.05 times less risky than JPMorgan Chase. The stock trades about -0.01 of its potential returns per unit of risk. The JPMorgan Chase Co is currently generating about 0.48 of returns per unit of risk over similar time horizon. If you would invest  6,988  in JPMorgan Chase Co on November 6, 2016 and sell it today you would earn a total of  1,312  from holding JPMorgan Chase Co or generate 18.78% return on investment over 30 days.
Correlation Coefficient
Pair Corralation between Merck and JPMorgan Chase
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 Merck Co. Inc. and JPMorgan Chase Co. in the same portfolio assuming nothing else is changed. The correlation between historical prices or returns on JPMorgan Chase Co 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 JPMorgan Chase. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of JPMorgan Chase Co has no effect on the direction of Merck i.e. Merck and JPMorgan Chase 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
 1.12  0.16 (0.05)(2.08) 1.04 (0.04)(1.27) 2.09 (1.60) 7.67 
 1.39  0.92  0.62 (9.59) 0.00  0.39 (1.79) 4.60 (0.91) 7.11 

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.

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 33 (%) of all global equities and portfolios over the last 30 days.