Description

Merck & Co., Inc. provides healthcare solutions worldwide. The company offers therapeutic and preventive agents for cardiovascular, type 2 diabetes, chronic hepatitis C virus, HIV-1 infection, intra-abdominal, fungal infection, insomnia, and inflammatory diseases; neuromuscular blocking agents; cholesterol modifying medicines; and anti-bacterial and vaginal contraceptive products. It provides products to prevent chemotherapy-induced and post-operative nausea and vomiting; treat non-small-cell lung, ovarian and breast, esophageal, thyroid, cervical, and brain cancers; and prevent diseases caused by human papillomavirus, as well as vaccines for measles, mumps, rubella, varicella, shingles, rotavirus gastroenteritis, and pneumococcal diseases. In addition, the company offers drugs for hepatocellular and merkel cell carcinoma; antibiotic and anti-inflammatory drugs for infectious and respiratory diseases, fertility disorders, and pneumonia in cattle, bovine, and swine; vaccines for poultry; parasiticides for sea lice in salmon; and antibiotics and vaccines for fish. Further, it provides companion animal products; diabetes mellitus treatment and anthelmintic products for dogs and cats; products to treat fleas, ticks, mosquitoes, and sandflies; horse fertility management products for swine; and dog, cat, and horse vaccines. Additionally, the company offers services and solutions that focus on engagement, clinical, and health analytics. Merck & Co., Inc. has collaborations with AstraZeneca PLC; Bayer AG; Eisai Co., Ltd.; Almac Discovery Ltd.; Skyhawk Therapeutics, Inc.; Ridgeback Biotherapeutics; Shanghai Junshi Biosciences Co., Ltd.; and FUJIFILM Corporation. It serves drug wholesalers and retailers, hospitals, and government agencies; managed health care providers; and physicians and physician distributors, veterinarians, and animal producers. The company was founded in 1891 and is headquartered in Kenilworth, New Jersey.

Statistics (YTD)

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TotalReturn:

'Total return is the amount of value an investor earns from a security over a specific period, typically one year, when all distributions are reinvested. Total return is expressed as a percentage of the amount invested. For example, a total return of 20% means the security increased by 20% of its original value due to a price increase, distribution of dividends (if a stock), coupons (if a bond) or capital gains (if a fund). Total return is a strong measure of an investment’s overall performance.'

Using this definition on our asset we see for example:
  • The total return, or performance over 5 years of Merck is 30.9%, which is lower, thus worse compared to the benchmark SPY (110.4%) in the same period.
  • Compared with SPY (72.5%) in the period of the last 3 years, the total return, or performance of -2.7% is smaller, thus worse.

CAGR:

'The compound annual growth rate isn't a true return rate, but rather a representational figure. It is essentially a number that describes the rate at which an investment would have grown if it had grown the same rate every year and the profits were reinvested at the end of each year. In reality, this sort of performance is unlikely. However, CAGR can be used to smooth returns so that they may be more easily understood when compared to alternative investments.'

Applying this definition to our asset in some examples:
  • Compared with the benchmark SPY (16.1%) in the period of the last 5 years, the annual performance (CAGR) of 5.6% of Merck is smaller, thus worse.
  • During the last 3 years, the annual return (CAGR) is -0.9%, which is smaller, thus worse than the value of 20.1% from the benchmark.

Volatility:

'Volatility is a rate at which the price of a security increases or decreases for a given set of returns. Volatility is measured by calculating the standard deviation of the annualized returns over a given period of time. It shows the range to which the price of a security may increase or decrease. Volatility measures the risk of a security. It is used in option pricing formula to gauge the fluctuations in the returns of the underlying assets. Volatility indicates the pricing behavior of the security and helps estimate the fluctuations that may happen in a short period of time.'

Using this definition on our asset we see for example:
  • Compared with the benchmark SPY (17.5%) in the period of the last 5 years, the volatility of 22% of Merck is higher, thus worse.
  • During the last 3 years, the 30 days standard deviation is 22.4%, which is greater, thus worse than the value of 17.5% from the benchmark.

DownVol:

'Risk measures typically quantify the downside risk, whereas the standard deviation (an example of a deviation risk measure) measures both the upside and downside risk. Specifically, downside risk in our definition is the semi-deviation, that is the standard deviation of all negative returns.'

Using this definition on our asset we see for example:
  • Looking at the downside volatility of 15.9% in the last 5 years of Merck, we see it is relatively higher, thus worse in comparison to the benchmark SPY (12.1%)
  • Looking at downside risk in of 16.7% in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to SPY (11.5%).

Sharpe:

'The Sharpe ratio is the measure of risk-adjusted return of a financial portfolio. Sharpe ratio is a measure of excess portfolio return over the risk-free rate relative to its standard deviation. Normally, the 90-day Treasury bill rate is taken as the proxy for risk-free rate. A portfolio with a higher Sharpe ratio is considered superior relative to its peers. The measure was named after William F Sharpe, a Nobel laureate and professor of finance, emeritus at Stanford University.'

Using this definition on our asset we see for example:
  • Looking at the ratio of return and volatility (Sharpe) of 0.14 in the last 5 years of Merck, we see it is relatively lower, thus worse in comparison to the benchmark SPY (0.78)
  • During the last 3 years, the risk / return profile (Sharpe) is -0.15, which is smaller, thus worse than the value of 1.01 from the benchmark.

Sortino:

'The Sortino ratio, a variation of the Sharpe ratio only factors in the downside, or negative volatility, rather than the total volatility used in calculating the Sharpe ratio. The theory behind the Sortino variation is that upside volatility is a plus for the investment, and it, therefore, should not be included in the risk calculation. Therefore, the Sortino ratio takes upside volatility out of the equation and uses only the downside standard deviation in its calculation instead of the total standard deviation that is used in calculating the Sharpe ratio.'

Applying this definition to our asset in some examples:
  • Compared with the benchmark SPY (1.13) in the period of the last 5 years, the excess return divided by the downside deviation of 0.19 of Merck is smaller, thus worse.
  • Compared with SPY (1.53) in the period of the last 3 years, the downside risk / excess return profile of -0.2 is lower, thus worse.

Ulcer:

'The Ulcer Index is a technical indicator that measures downside risk, in terms of both the depth and duration of price declines. The index increases in value as the price moves farther away from a recent high and falls as the price rises to new highs. The indicator is usually calculated over a 14-day period, with the Ulcer Index showing the percentage drawdown a trader can expect from the high over that period. The greater the value of the Ulcer Index, the longer it takes for a stock to get back to the former high.'

Using this definition on our asset we see for example:
  • Looking at the Ulcer Ratio of 14 in the last 5 years of Merck, we see it is relatively greater, thus worse in comparison to the benchmark SPY (8.48 )
  • During the last 3 years, the Downside risk index is 17 , which is higher, thus worse than the value of 5.31 from the benchmark.

MaxDD:

'Maximum drawdown measures the loss in any losing period during a fund’s investment record. It is defined as the percent retrenchment from a fund’s peak value to the fund’s valley value. The drawdown is in effect from the time the fund’s retrenchment begins until a new fund high is reached. The maximum drawdown encompasses both the period from the fund’s peak to the fund’s valley (length), and the time from the fund’s valley to a new fund high (recovery). It measures the largest percentage drawdown that has occurred in any fund’s data record.'

Which means for our asset as example:
  • Looking at the maximum DrawDown of -43.4 days in the last 5 years of Merck, we see it is relatively smaller, thus worse in comparison to the benchmark SPY (-24.5 days)
  • Looking at maximum drop from peak to valley in of -43.4 days in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (-18.8 days).

MaxDuration:

'The Maximum Drawdown Duration is an extension of the Maximum Drawdown. However, this metric does not explain the drawdown in dollars or percentages, rather in days, weeks, or months. It is the length of time the account was in the Max Drawdown. A Max Drawdown measures a retrenchment from when an equity curve reaches a new high. It’s the maximum an account lost during that retrenchment. This method is applied because a valley can’t be measured until a new high occurs. Once the new high is reached, the percentage change from the old high to the bottom of the largest trough is recorded.'

Applying this definition to our asset in some examples:
  • Looking at the maximum days under water of 271 days in the last 5 years of Merck, we see it is relatively lower, thus better in comparison to the benchmark SPY (488 days)
  • Looking at maximum days under water in of 263 days in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (199 days).

AveDuration:

'The Drawdown Duration is the length of any peak to peak period, or the time between new equity highs. The Avg Drawdown Duration is the average amount of time an investment has seen between peaks (equity highs), or in other terms the average of time under water of all drawdowns. So in contrast to the Maximum duration it does not measure only one drawdown event but calculates the average of all.'

Applying this definition to our asset in some examples:
  • Looking at the average days under water of 86 days in the last 5 years of Merck, we see it is relatively lower, thus better in comparison to the benchmark SPY (120 days)
  • Compared with SPY (47 days) in the period of the last 3 years, the average days under water of 79 days is higher, thus worse.

Performance (YTD)

Historical returns have been extended using synthetic data.

Allocations ()

Allocations

Returns (%)

  • Note that yearly returns do not equal the sum of monthly returns due to compounding.
  • Performance results of Merck are hypothetical and do not account for slippage, fees or taxes.