Description of Merck & Company

Merck & Company, Inc. Common Stock (new)

Statistics of Merck & Company (YTD)

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TotalReturn:

'Total return, when measuring performance, is the actual rate of return of an investment or a pool of investments over a given evaluation period. Total return includes interest, capital gains, dividends and distributions realized over a given period of time. Total return accounts for two categories of return: income including interest paid by fixed-income investments, distributions or dividends and capital appreciation, representing the change in the market price of an asset.'

Which means for our asset as example:
  • Looking at the total return, or performance of 75.7% in the last 5 years of Merck & Company, we see it is relatively larger, thus better in comparison to the benchmark SPY (74.4%)
  • During the last 3 years, the total return is 48%, which is higher, thus better than the value of 47.2% from the benchmark.

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.'

Which means for our asset as example:
  • Compared with the benchmark SPY (11.8%) in the period of the last 5 years, the annual return (CAGR) of 11.9% of Merck & Company is greater, thus better.
  • Compared with SPY (13.8%) in the period of the last 3 years, the annual performance (CAGR) of 14% is larger, thus better.

Volatility:

'In finance, volatility (symbol σ) is the degree of variation of a trading price series over time as measured by the standard deviation of logarithmic returns. Historic volatility measures a time series of past market prices. Implied volatility looks forward in time, being derived from the market price of a market-traded derivative (in particular, an option). Commonly, the higher the volatility, the riskier the security.'

Applying this definition to our asset in some examples:
  • Compared with the benchmark SPY (13.6%) in the period of the last 5 years, the volatility of 19.6% of Merck & Company is greater, thus worse.
  • Compared with SPY (12.9%) in the period of the last 3 years, the 30 days standard deviation of 18.5% is larger, thus worse.

DownVol:

'The downside volatility is similar to the volatility, or standard deviation, but only takes losing/negative periods into account.'

Which means for our asset as example:
  • Looking at the downside risk of 20% in the last 5 years of Merck & Company, we see it is relatively larger, thus worse in comparison to the benchmark SPY (14.9%)
  • Looking at downside risk in of 19.5% in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to SPY (14.6%).

Sharpe:

'The Sharpe ratio was developed by Nobel laureate William F. Sharpe, and is used to help investors understand the return of an investment compared to its risk. The ratio is the average return earned in excess of the risk-free rate per unit of volatility or total risk. Subtracting the risk-free rate from the mean return allows an investor to better isolate the profits associated with risk-taking activities. One intuition of this calculation is that a portfolio engaging in 'zero risk' investments, such as the purchase of U.S. Treasury bills (for which the expected return is the risk-free rate), has a Sharpe ratio of exactly zero. Generally, the greater the value of the Sharpe ratio, the more attractive the risk-adjusted return.'

Which means for our asset as example:
  • Compared with the benchmark SPY (0.68) in the period of the last 5 years, the ratio of return and volatility (Sharpe) of 0.48 of Merck & Company is lower, thus worse.
  • During the last 3 years, the ratio of return and volatility (Sharpe) is 0.62, which is lower, thus worse than the value of 0.88 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.'

Which means for our asset as example:
  • The ratio of annual return and downside deviation over 5 years of Merck & Company is 0.47, which is lower, thus worse compared to the benchmark SPY (0.62) in the same period.
  • Compared with SPY (0.77) in the period of the last 3 years, the ratio of annual return and downside deviation of 0.59 is smaller, thus worse.

Ulcer:

'The ulcer index is a stock market risk measure or technical analysis indicator devised by Peter Martin in 1987, and published by him and Byron McCann in their 1989 book The Investors Guide to Fidelity Funds. It's designed as a measure of volatility, but only volatility in the downward direction, i.e. the amount of drawdown or retracement occurring over a period. Other volatility measures like standard deviation treat up and down movement equally, but a trader doesn't mind upward movement, it's the downside that causes stress and stomach ulcers that the index's name suggests.'

Applying this definition to our asset in some examples:
  • The Ulcer Index over 5 years of Merck & Company is 8.18 , which is higher, thus worse compared to the benchmark SPY (3.99 ) in the same period.
  • Looking at Downside risk index in of 7.08 in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (4.1 ).

MaxDD:

'Maximum drawdown is defined as the peak-to-trough decline of an investment during a specific period. It is usually quoted as a percentage of the peak value. The maximum drawdown can be calculated based on absolute returns, in order to identify strategies that suffer less during market downturns, such as low-volatility strategies. However, the maximum drawdown can also be calculated based on returns relative to a benchmark index, for identifying strategies that show steady outperformance over time.'

Applying this definition to our asset in some examples:
  • The maximum reduction from previous high over 5 years of Merck & Company is -21.3 days, which is lower, thus worse compared to the benchmark SPY (-19.3 days) in the same period.
  • During the last 3 years, the maximum reduction from previous high is -18.2 days, which is larger, thus better than the value of -19.3 days from the benchmark.

MaxDuration:

'The Drawdown Duration is the length of any peak to peak period, or the time between new equity highs. The Max Drawdown Duration is the worst (the maximum/longest) amount of time an investment has seen between peaks (equity highs) in days.'

Which means for our asset as example:
  • The maximum days below previous high over 5 years of Merck & Company is 390 days, which is higher, thus worse compared to the benchmark SPY (187 days) in the same period.
  • Looking at maximum days below previous high in of 217 days in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (139 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 time in days below previous high water mark of 95 days in the last 5 years of Merck & Company, we see it is relatively larger, thus worse in comparison to the benchmark SPY (41 days)
  • Compared with SPY (36 days) in the period of the last 3 years, the average time in days below previous high water mark of 49 days is greater, thus worse.

Performance of Merck & Company (YTD)

Historical returns have been extended using synthetic data.

Allocations of Merck & Company
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Allocations

Returns of Merck & Company (%)

  • "Year" returns in the table above are not equal to the sum of monthly returns due to compounding.
  • Performance results of Merck & Company are hypothetical, do not account for slippage, fees or taxes, and are based on backtesting, which has many inherent limitations, some of which are described in our Terms of Use.