Merck Correlations

MRK Stock

USD 94.73 0.71 0.76%

The current 90-days correlation between Merck Company and AbbVie Inc is 0.33 (i.e., Weak diversification). A perfect positive correlation (i.e., a correlation coefficient of +1) implies that as Merck moves, either up or down, the other security will move in the same direction. Alternatively, perfect negative correlation means that if Merck Company moves in either direction, the perfectly negatively correlated security will move in the opposite direction.

Merck Correlation With Market

Good diversification

The correlation between Merck Company and DJI is -0.04 (i.e., Good diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Merck Company and DJI in the same portfolio, assuming nothing else is changed.

Check out Correlation Analysis to better understand how to build diversified portfolios, which includes a position in Merck Company. Also, note that the market value of any company could be closely tied with the direction of predictive economic indicators such as signals in metropolitan statistical area.

Moving together with Merck Stock

0.63	DSGN	Design Therapeutics	Pair Corr
0.72	EYEN	Eyenovia	Pair Corr
0.62	INBX	Inhibrx Symbol Change	Pair Corr
0.61	LFCR	Lifecore Biomedical	Pair Corr
0.7	ANNX	Annexon Earnings Call This Week	Pair Corr
0.61	CRNX	Crinetics Pharmaceuticals	Pair Corr

Moving against Merck Stock

0.7	OPT	Opthea	Pair Corr
0.79	CYTH	Cyclo Therapeutics	Pair Corr
0.77	LUCD	Lucid Diagnostics Buyout Trend	Pair Corr
0.76	FNA	Paragon 28	Pair Corr
0.76	NVRO	Nevro Corp	Pair Corr
0.75	CPIX	Cumberland Pharmaceuticals	Pair Corr
0.71	INMD	InMode	Pair Corr
0.53	MASI	Masimo	Pair Corr
0.53	NYXH	Nyxoah	Pair Corr
0.45	LUNG	Pulmonx Corp	Pair Corr
0.33	NPCE	Neuropace	Pair Corr

Related Correlations Analysis

	ABBV	PFE	LLY	BMY	AMGN	GILD	JNJ
ABBV		0.17	0.77	0.57	0.94	0.96	0.96	ABBV
PFE	0.17		0.15	0.48	0.16	0.16	0.2	PFE
LLY	0.77	0.15		0.3	0.77	0.77	0.81	LLY
BMY	0.57	0.48	0.3		0.63	0.58	0.6	BMY
AMGN	0.94	0.16	0.77	0.63		0.94	0.97	AMGN
GILD	0.96	0.16	0.77	0.58	0.94		0.98	GILD
JNJ	0.96	0.2	0.81	0.6	0.97	0.98		JNJ
	ABBV	PFE	LLY	BMY	AMGN	GILD	JNJ

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Risk-Adjusted Indicators

There is a big difference between Merck Stock performing well and Merck Company doing well as a business compared to the competition. There are so many exceptions to the norm that investors cannot definitively determine what's good or bad unless they analyze Merck's multiple risk-adjusted performance indicators across the competitive landscape. These indicators are quantitative in nature and help investors forecast volatility and risk-adjusted expected returns across various positions.

	Mean Deviation	Jensen Alpha	Sortino Ratio	Treynor Ratio	Semi Deviation	Expected Shortfall	Potential Upside	Value @Risk	Maximum Drawdown
ABBV	1.05	0.32	0.39	3.71	0.69	(1.26)	2.37	(1.47)	6.46
PFE	1.03	0.09	0.13	0.59	1.14	(1.09)	2.20	(2.04)	7.11
LLY	1.51	0.13	0.07	0.15	2.14	(1.56)	2.45	(4.21)	10.31
BMY	1.19	0.11	0.10	8.09	1.76	(1.07)	3.18	(2.80)	7.43
AMGN	1.05	0.27	0.20	0.47	1.25	(1.06)	2.22	(2.59)	9.76
GILD	1.10	0.27	0.24	1.08	1.06	(1.20)	2.28	(2.23)	9.83
JNJ	0.88	0.17	0.22	3.02	0.90	(0.93)	1.79	(1.81)	5.95

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