Merck (Germany) Market Value
| 6MK Stock | EUR 97.10 0.60 0.62% |
| Symbol | Merck |
Merck 'What if' Analysis
In the world of financial modeling, what-if analysis is part of sensitivity analysis performed to test how changes in assumptions impact individual outputs in a model. When applied to Merck's stock what-if analysis refers to the analyzing how the change in your past investing horizon will affect the profitability against the current market value of Merck.
| 11/05/2024 |
| 01/04/2025 |
If you would invest 0.00 in Merck on November 5, 2024 and sell it all today you would earn a total of 0.00 from holding Merck Co or generate 0.0% return on investment in Merck over 60 days. Merck is related to or competes with DAIDO METAL, Boston Beer, Fevertree Drinks, SIERRA METALS, and Virtus Investment. More
Merck Upside/Downside Indicators
Understanding different market momentum indicators often help investors to time their next move. Potential upside and downside technical ratios enable traders to measure Merck's stock current market value against overall market sentiment and can be a good tool during both bulling and bearish trends. Here we outline some of the essential indicators to assess Merck Co upside and downside potential and time the market with a certain degree of confidence.
| Information Ratio | (0.06) | |||
| Maximum Drawdown | 6.88 | |||
| Value At Risk | (1.58) | |||
| Potential Upside | 1.87 |
Merck Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Merck's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Merck's standard deviation. In reality, there are many statistical measures that can use Merck historical prices to predict the future Merck's volatility.| Risk Adjusted Performance | (0.03) | |||
| Jensen Alpha | (0.05) | |||
| Total Risk Alpha | (0.07) | |||
| Treynor Ratio | 0.2393 |
Merck Backtested Returns
Merck has Sharpe Ratio of -0.0202, which conveys that the firm had a -0.0202% return per unit of risk over the last 3 months. Merck exposes twenty-three different technical indicators, which can help you to evaluate volatility embedded in its price movement. Please verify Merck's Risk Adjusted Performance of (0.03), standard deviation of 1.18, and Mean Deviation of 0.9303 to check out the risk estimate we provide. The company secures a Beta (Market Risk) of -0.22, which conveys not very significant fluctuations relative to the market. As returns on the market increase, returns on owning Merck are expected to decrease at a much lower rate. During the bear market, Merck is likely to outperform the market. At this point, Merck has a negative expected return of -0.0242%. Please make sure to verify Merck's treynor ratio, skewness, rate of daily change, as well as the relationship between the value at risk and accumulation distribution , to decide if Merck performance from the past will be repeated at some point in the near future.
Auto-correlation | 0.28 |
Poor predictability
Merck Co has poor predictability. Overlapping area represents the amount of predictability between Merck time series from 5th of November 2024 to 5th of December 2024 and 5th of December 2024 to 4th of January 2025. The more autocorrelation exist between current time interval and its lagged values, the more accurately you can make projection about the future pattern of Merck price movement. The serial correlation of 0.28 indicates that nearly 28.0% of current Merck price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.28 | |
| Spearman Rank Test | 0.34 | |
| Residual Average | 0.0 | |
| Price Variance | 0.92 |
Merck lagged returns against current returns
Autocorrelation, which is Merck stock's lagged correlation, explains the relationship between observations of its time series of returns over different periods of time. The observations are said to be independent if autocorrelation is zero. Autocorrelation is calculated as a function of mean and variance and can have practical application in predicting Merck's stock expected returns. We can calculate the autocorrelation of Merck returns to help us make a trade decision. For example, suppose you find that Merck has exhibited high autocorrelation historically, and you observe that the stock is moving up for the past few days. In that case, you can expect the price movement to match the lagging time series.
Current and Lagged Values |
| Timeline |
Merck regressed lagged prices vs. current prices
Serial correlation can be approximated by using the Durbin-Watson (DW) test. The correlation can be either positive or negative. If Merck stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Merck stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Merck stock over time.
Current vs Lagged Prices |
| Timeline |
Merck Lagged Returns
When evaluating Merck's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Merck stock have on its future price. Merck autocorrelation represents the degree of similarity between a given time horizon and a lagged version of the same horizon over the previous time interval. In other words, Merck autocorrelation shows the relationship between Merck stock current value and its past values and can show if there is a momentum factor associated with investing in Merck Co.
Regressed Prices |
| Timeline |
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Merck financial ratios help investors to determine whether Merck Stock is cheap or expensive when compared to a particular measure, such as profits or enterprise value. In other words, they help investors to determine the cost of investment in Merck with respect to the benefits of owning Merck security.