Merck Correlations

MRK Stock

USD 101.64 1.48 1.44%

The current 90-days correlation between Merck Company and AbbVie Inc is 0.3 (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

Average diversification

The correlation between Merck Company and DJI is 0.16 (i.e., Average 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

0.91	HLN	Haleon plc	Pair Corr
0.87	JNJ	Johnson Johnson Sell-off Trend	Pair Corr
0.82	PFE	Pfizer Inc Aggressive Push	Pair Corr
0.86	ANRO	Alto Neuroscience,	Pair Corr
0.83	SHG	Shinhan Financial	Pair Corr
0.85	BCH	Banco De Chile	Pair Corr
0.7	BA	Boeing Fiscal Year End 29th of January 2025	Pair Corr

Moving against Merck Stock

0.79	FNMFO	Federal National Mortgage	Pair Corr
0.78	AXP	American Express Fiscal Year End 24th of January 2025	Pair Corr
0.77	TRV	The Travelers Companies Fiscal Year End 17th of January 2025	Pair Corr
0.61	KB	KB Financial Group	Pair Corr
0.48	CIB	Bancolombia SA ADR	Pair Corr
0.41	ITCL	Banco Ita Chile	Pair Corr
0.36	AVAL	Grupo Aval	Pair Corr
0.9	CSCO	Cisco Systems Sell-off Trend	Pair Corr
0.86	BAC	Bank of America Aggressive Push	Pair Corr
0.86	CVX	Chevron Corp Sell-off Trend	Pair Corr
0.84	AA	Alcoa Corp Fiscal Year End 15th of January 2025	Pair Corr
0.79	T	ATT Inc Fiscal Year End 22nd of January 2025	Pair Corr
0.79	WMT	Walmart Aggressive Push	Pair Corr
0.77	DIS	Walt Disney Sell-off Trend	Pair Corr
0.69	HPQ	HP Inc	Pair Corr
0.64	CAT	Caterpillar Fiscal Year End 3rd of February 2025	Pair Corr
0.59	HD	Home Depot	Pair Corr

Related Correlations Analysis

	ABBV	PFE	LLY	BMY	AMGN	GILD	JNJ
ABBV		0.71	0.58	-0.6	0.76	-0.35	0.63	ABBV
PFE	0.71		0.9	-0.82	0.86	-0.61	0.85	PFE
LLY	0.58	0.9		-0.85	0.83	-0.71	0.86	LLY
BMY	-0.6	-0.82	-0.85		-0.82	0.83	-0.88	BMY
AMGN	0.76	0.86	0.83	-0.82		-0.55	0.8	AMGN
GILD	-0.35	-0.61	-0.71	0.83	-0.55		-0.77	GILD
JNJ	0.63	0.85	0.86	-0.88	0.8	-0.77		JNJ
	ABBV	PFE	LLY	BMY	AMGN	GILD	JNJ

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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

LLY	+ 0.9	PFE
AMGN	+ 0.86	PFE
JNJ	+ 0.86	LLY
JNJ	+ 0.85	PFE
AMGN	+ 0.83	LLY
GILD	+ 0.83	BMY

High negative correlations

JNJ	- 0.88	BMY
BMY	- 0.85	LLY
AMGN	- 0.82	BMY
BMY	- 0.82	PFE
JNJ	- 0.77	GILD
GILD	- 0.71	LLY

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	(0.10)	0.00	(0.46)	0.00	0.00	2.30	(2.11)	18.93
PFE	1.06	(0.17)	0.00	(0.28)	0.00	0.00	2.17	(2.45)	8.17
LLY	1.35	(0.31)	0.00	(0.62)	0.00	0.00	2.71	(3.55)	9.21
BMY	1.29	0.30	0.13	3.38	1.19	(1.49)	2.23	(2.07)	14.39
AMGN	1.10	(0.34)	0.00	(0.22)	0.00	0.00	1.67	(4.16)	9.43
GILD	0.89	0.20	0.10	0.55	1.02	(0.93)	2.17	(1.82)	10.80
JNJ	0.61	(0.11)	0.00	(0.37)	0.00	0.00	1.40	(1.42)	3.25

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