Merck KGaA (Germany) Market Value
| MRK Stock | 141.85 0.25 0.18% |
| Symbol | Merck |
Merck KGaA '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 KGaA'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 KGaA.
| 12/09/2023 |
| 12/03/2024 |
If you would invest 0.00 in Merck KGaA on December 9, 2023 and sell it all today you would earn a total of 0.00 from holding Merck KGaA or generate 0.0% return on investment in Merck KGaA over 360 days. Merck KGaA is related to or competes with Superior Plus, NMI Holdings, Origin Agritech, SIVERS SEMICONDUCTORS, Talanx AG, and NorAm Drilling. More
Merck KGaA 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 KGaA'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 KGaA upside and downside potential and time the market with a certain degree of confidence.
| Information Ratio | (0.26) | |||
| Maximum Drawdown | 10.92 | |||
| Value At Risk | (2.22) | |||
| Potential Upside | 1.35 |
Merck KGaA Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Merck KGaA's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Merck KGaA's standard deviation. In reality, there are many statistical measures that can use Merck KGaA historical prices to predict the future Merck KGaA's volatility.| Risk Adjusted Performance | (0.14) | |||
| Jensen Alpha | (0.33) | |||
| Total Risk Alpha | (0.56) | |||
| Treynor Ratio | (2.29) |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of Merck KGaA's price to converge to an average value over time is called mean reversion. However, historically, high market prices usually discourage investors that believe in mean reversion to invest, while low prices are viewed as an opportunity to buy.
Merck KGaA Backtested Returns
Merck KGaA has Sharpe Ratio of -0.17, which conveys that the firm had a -0.17% return per unit of risk over the last 3 months. Merck KGaA exposes twenty-three different technical indicators, which can help you to evaluate volatility embedded in its price movement. Please verify Merck KGaA's Standard Deviation of 1.64, mean deviation of 1.07, and Risk Adjusted Performance of (0.14) to check out the risk estimate we provide. The company secures a Beta (Market Risk) of 0.14, which conveys not very significant fluctuations relative to the market. As returns on the market increase, Merck KGaA's returns are expected to increase less than the market. However, during the bear market, the loss of holding Merck KGaA is expected to be smaller as well. At this point, Merck KGaA has a negative expected return of -0.28%. Please make sure to verify Merck KGaA's skewness, as well as the relationship between the rate of daily change and price action indicator , to decide if Merck KGaA performance from the past will be repeated at some point in the near future.
Auto-correlation | -0.31 |
Poor reverse predictability
Merck KGaA has poor reverse predictability. Overlapping area represents the amount of predictability between Merck KGaA time series from 9th of December 2023 to 6th of June 2024 and 6th of June 2024 to 3rd of December 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 KGaA price movement. The serial correlation of -0.31 indicates that nearly 31.0% of current Merck KGaA price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.31 | |
| Spearman Rank Test | -0.31 | |
| Residual Average | 0.0 | |
| Price Variance | 83.54 |
Merck KGaA lagged returns against current returns
Autocorrelation, which is Merck KGaA 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 KGaA's stock expected returns. We can calculate the autocorrelation of Merck KGaA returns to help us make a trade decision. For example, suppose you find that Merck KGaA 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 KGaA 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 KGaA stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Merck KGaA stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Merck KGaA stock over time.
Current vs Lagged Prices |
| Timeline |
Merck KGaA Lagged Returns
When evaluating Merck KGaA's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Merck KGaA stock have on its future price. Merck KGaA 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 KGaA autocorrelation shows the relationship between Merck KGaA stock current value and its past values and can show if there is a momentum factor associated with investing in Merck KGaA.
Regressed Prices |
| Timeline |
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Analyzing currently trending equities could be an opportunity to develop a better portfolio based on different market momentums that they can trigger. Utilizing the top trending stocks is also useful when creating a market-neutral strategy or pair trading technique involving a short or a long position in a currently trending equity.Additional Tools for Merck Stock Analysis
When running Merck KGaA's price analysis, check to measure Merck KGaA's market volatility, profitability, liquidity, solvency, efficiency, growth potential, financial leverage, and other vital indicators. We have many different tools that can be utilized to determine how healthy Merck KGaA is operating at the current time. Most of Merck KGaA's value examination focuses on studying past and present price action to predict the probability of Merck KGaA's future price movements. You can analyze the entity against its peers and the financial market as a whole to determine factors that move Merck KGaA's price. Additionally, you may evaluate how the addition of Merck KGaA to your portfolios can decrease your overall portfolio volatility.