Merck Correlations

MRK Stock

USD 121.41 2.17 1.82%

The current 90-days correlation between Merck Company and Takeda Pharmaceutical Co is 0.47 (i.e., Very 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

Very poor diversification

The correlation between Merck Company and DJI is 0.81 (i.e., Very poor 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.

Build AI portfolio with Merck Stock

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 real.

Moving together with Merck Stock

0.94	RO	Roche Holding AG	Pair Corr
0.94	RHO6	Roche Holding	Pair Corr
0.75	H6D	Haleon PLC	Pair Corr
0.64	PFE	Pfizer Inc CDR	Pair Corr
0.63	PFE	Pfizer Inc	Pair Corr
0.77	DYF1	Dynavax Technologies Earnings Call This Week	Pair Corr
0.71	LDZU	ASPEN PHARUNADR 1	Pair Corr
0.77	SFZN	Siegfried Holding Earnings Call This Week	Pair Corr
0.81	CVG	CSPC Pharmaceutical	Pair Corr
0.88	TEV	Teva Pharmaceutical	Pair Corr
0.9	VTRS	Viatris Sell-off Trend	Pair Corr
0.74	VTYX	Ventyx Biosciences	Pair Corr
0.72	MRK	Merck KGaA	Pair Corr
0.89	BRM	Bristol Myers Squibb	Pair Corr
0.84	ELAN	Elanco Animal Health	Pair Corr
0.86	C43	Cosmo Pharmaceuticals	Pair Corr
0.75	HHU	ALLERGY THER PLC	Pair Corr
0.91	JNJ	Johnson Johnson	Pair Corr

Moving against Merck Stock

0.6	21P	Aurora Cannabis	Pair Corr
0.57	KG	Kestrel Group Symbol Change	Pair Corr
0.54	IQ70	1CM INC	Pair Corr
0.51	NXS	Next Science	Pair Corr
0.51	BSFA	ANI Pharmaceuticals	Pair Corr
0.92	BGM	Qilian International Earnings Call This Week	Pair Corr
0.85	EOLS	Evolus Inc	Pair Corr
0.85	3ZQ0	AYURCANN HOLDINGS	Pair Corr
0.66	ACB	Aurora Cannabis	Pair Corr
0.59	ETON	Eton Pharmaceuticals	Pair Corr

Related Correlations Analysis

	COR	REGN	IDXX	HLN	CI	ELV	BDX	ARGX	TAK
COR		-0.2	0.04	0.16	0.1	-0.42	0.02	0.32	0.0	COR
REGN	-0.2		-0.16	0.53	0.7	0.46	0.53	-0.5	0.56	REGN
IDXX	0.04	-0.16		-0.74	-0.45	0.07	-0.58	0.38	-0.7	IDXX
HLN	0.16	0.53	-0.74		0.77	0.1	0.81	-0.56	0.91	HLN
CI	0.1	0.7	-0.45	0.77		0.31	0.75	-0.54	0.69	CI
ELV	-0.42	0.46	0.07	0.1	0.31		0.4	-0.73	0.32	ELV
BDX	0.02	0.53	-0.58	0.81	0.75	0.4		-0.65	0.88	BDX
ARGX	0.32	-0.5	0.38	-0.56	-0.54	-0.73	-0.65		-0.72	ARGX
TAK	0.0	0.56	-0.7	0.91	0.69	0.32	0.88	-0.72		TAK
	COR	REGN	IDXX	HLN	CI	ELV	BDX	ARGX	TAK

Correlation Matchups

Over a given time period, the two securities move together when the Correlation Coefficient is positive. Conversely, the two assets move in opposite directions when the Correlation Coefficient is negative. Determining your positions' relationship to each other is valuable for analyzing and projecting your portfolio's future expected return and risk.

High positive correlations

TAK	+ 0.91	HLN
TAK	+ 0.88	BDX
BDX	+ 0.81	HLN
CI	+ 0.77	HLN
BDX	+ 0.75	CI
CI	+ 0.7	REGN

High negative correlations

HLN	- 0.74	IDXX
ARGX	- 0.73	ELV
TAK	- 0.72	ARGX
TAK	- 0.7	IDXX
ARGX	- 0.65	BDX
BDX	- 0.58	IDXX

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
COR	1.18	(0.01)	(0.03)	(0.02)	2.33	(1.04)	2.01	(2.62)	10.81
REGN	1.58	0.30	0.16	0.76	1.45	(1.95)	3.40	(3.11)	8.86
IDXX	1.27	(0.24)	0.00	(0.17)	0.00	0.00	3.61	(3.18)	10.16
HLN	1.00	0.22	0.14	0.94	0.97	(1.10)	2.81	(1.81)	6.06
CI	1.22	0.15	0.10	0.26	1.15	(1.41)	3.15	(2.24)	7.49
ELV	1.64	0.14	0.06	0.15	2.79	(1.78)	3.78	(2.51)	19.95
BDX	1.21	0.27	0.26	0.34	0.68	(1.55)	4.06	(1.77)	7.13
ARGX	1.17	(0.08)	0.00	0.61	0.00	0.00	2.29	(3.07)	7.34
TAK	0.89	0.43	0.51	1.75	0.00	(1.12)	2.49	(1.05)	4.49

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