Pair Correlation Between Merck and Microsoft

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

Pair Volatility

Considering 30-days investment horizon, Merck Co Inc is expected to under-perform the Microsoft. But the stock apears to be less risky and, when comparing its historical volatility, Merck Co Inc is 1.29 times less risky than Microsoft. The stock trades about -0.23 of its potential returns per unit of risk. The Microsoft Corporation is currently generating about 0.21 of returns per unit of risk over similar time horizon. If you would invest  5,902  in Microsoft Corporation on November 11, 2016 and sell it today you would earn a total of  295.00  from holding Microsoft Corporation or generate 5.0% return on investment over 30 days.
Correlation Coefficient
Pair Corralation between Merck and Microsoft
0.24

Parameters

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

Diversification

Modest diversification

Overlapping area represents amount of risk that can be diversified away by holding Merck Co. Inc. and Microsoft Corp. in the same portfolio assuming nothing else is changed. The correlation between historical prices or returns on Microsoft 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 Microsoft. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Microsoft has no effect on the direction of Merck i.e. Merck and Microsoft 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 
 1.01 (0.08)(0.06) 0.14  1.18 (0.07)(0.99) 1.69 (1.83) 3.53 

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.

Microsoft

  

Risk-adjusted Performance

Compared to the overall equity markets, risk-adjusted returns on investments in Microsoft Corporation are ranked lower than 14 (%) of all global equities and portfolios over the last 30 days.