Pair Correlation Between Microsoft and Merck

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

Pair Volatility

Given the investment horizon of 30 days, Microsoft Corporation is expected to under-perform the Merck. But the stock apears to be less risky and, when comparing its historical volatility, Microsoft Corporation is 1.46 times less risky than Merck. The stock trades about -0.02 of its potential returns per unit of risk. The Merck Co Inc is currently generating about -0.01 of returns per unit of risk over similar time horizon. If you would invest  6,005  in Merck Co Inc on November 6, 2016 and sell it today you would lose (30.00) from holding Merck Co Inc or give up 0.5% of portfolio value over 30 days.
Correlation Coefficient
Pair Corralation between Microsoft and Merck
-0.12

Parameters

Time Period1 Month [change]
DirectionNegative MSFT Moved Down vs MRK
StrengthInsignificant
Accuracy100.0%
ValuesDaily Returns

Diversification

Good diversification

Overlapping area represents amount of risk that can be diversified away by holding Microsoft Corp. and Merck Co. Inc. in the same portfolio assuming nothing else is changed. The correlation between historical prices or returns on Merck Co Inc and Microsoft 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 Microsoft Corporation are associated (or correlated) with Merck. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Merck Co Inc has no effect on the direction of Microsoft i.e. Microsoft and Merck 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
 0.99  0.18 (0.09)(0.14) 1.29 (0.10)(0.92) 1.69 (1.83) 5.37 
 1.12  0.16 (0.05)(2.08) 1.04 (0.04)(1.27) 2.09 (1.60) 7.67 

Comparative Volatility

 Predicted Return Density 
Benchmark  Embed   Returns 

Microsoft

  

Risk-adjusted Performance

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

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.