Pair Correlation Between Exxon and Merck

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

Pair Volatility

Considering 30-days investment horizon, Exxon Mobil Corporation is expected to generate 0.85 times more return on investment than Merck. However, Exxon Mobil Corporation is 1.17 times less risky than Merck. It trades about 0.24 of its potential returns per unit of risk. Merck Co Inc is currently generating about -0.23 per unit of risk. If you would invest  8,564  in Exxon Mobil Corporation on November 11, 2016 and sell it today you would earn a total of  336.00  from holding Exxon Mobil Corporation or generate 3.92% return on investment over 30 days.
Correlation Coefficient
Pair Corralation between Exxon and Merck
0.15

Parameters

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

Diversification

Average diversification

Overlapping area represents amount of risk that can be diversified away by holding Exxon Mobil 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 Exxon 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 Exxon Mobil 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 Exxon i.e. Exxon 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
 0.64 (0.14)(0.09) 0.11  0.64 (0.10)(0.68) 1.63 (1.23) 3.04 
 0.80 (0.40) 0.00 (0.27) 0.00 (0.45) 0.00  1.22 (1.60) 2.82 

Comparative Volatility

 Predicted Return Density 
Benchmark  Embed   Returns 

Exxon Mobil

  

Risk-adjusted Performance

Compared to the overall equity markets, risk-adjusted returns on investments in Exxon Mobil Corporation are ranked lower than 16 (%) of all global equities and portfolios over the last 30 days.

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.