Merck (Brazil) Market Value
| MRCK34 Stock | BRL 77.23 1.09 1.43% |
| 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.
| 01/09/2023 |
| 11/29/2024 |
If you would invest 0.00 in Merck on January 9, 2023 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 690 days. Merck is related to or competes with Lloyds Banking, Healthpeak Properties, UnitedHealth Group, Sumitomo Mitsui, Hospital Mater, Zoom Video, and Bread Financial. It operates through four segments Pharmaceutical, Animal Health, Healthcare Services, and Alliances 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 | (0.11) | |||
| Maximum Drawdown | 5.71 | |||
| Value At Risk | (2.21) | |||
| Potential Upside | 2.57 |
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 | (0.01) | |||
| Jensen Alpha | (0.06) | |||
| Total Risk Alpha | (0.27) | |||
| Treynor Ratio | (0.38) |
Merck Backtested Returns
Merck has Sharpe Ratio of -0.0689, which conveys that the firm had a -0.0689% 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 Mean Deviation of 1.2, risk adjusted performance of (0.01), and Standard Deviation of 1.5 to check out the risk estimate we provide. The company secures a Beta (Market Risk) of 0.11, which conveys not very significant fluctuations relative to the market. As returns on the market increase, Merck's returns are expected to increase less than the market. However, during the bear market, the loss of holding Merck is expected to be smaller as well. At this point, Merck has a negative expected return of -0.1%. Please make sure to verify Merck's maximum drawdown, potential upside, kurtosis, as well as the relationship between the value at risk and skewness , to decide if Merck performance from the past will be repeated at some point in the near future.
Auto-correlation | -0.11 |
Insignificant reverse predictability
Merck Co has insignificant reverse predictability. Overlapping area represents the amount of predictability between Merck time series from 9th of January 2023 to 20th of December 2023 and 20th of December 2023 to 29th of November 2024. 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 -0.11 indicates that less than 11.0% of current Merck price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.11 | |
| Spearman Rank Test | -0.15 | |
| Residual Average | 0.0 | |
| Price Variance | 29.05 |
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.