Description

Alexion Pharmaceuticals, Inc. develops and commercializes various therapeutic products. The company offers ULTOMIRIS (ALXN1210/ravulizumab-cwvz), a C5 inhibitor for the treatment of paroxysmal nocturnal hemoglobinuria (PNH) and atypical hemolytic uremic syndrome (aHUS); and SOLIRIS (eculizumab), a monoclonal antibody for the treatment of PNH, aHUS, generalized myasthenia gravis (gMG), and neuromyelitis optica spectrum disorder (NMOSD). It also provides Strensiq (asfotase alfa), a targeted enzyme replacement therapy for patients with hypophosphatasia; and Kanuma (sebelipase alfa) for the treatment of patients with lysosomal acid lipase deficiency. In addition, the company is developing ALXN1210 (Intravenous) that is in Phase III clinical trials for the treatment of gMG and NMOSD; ALXN1210 (Subcutaneous), which is in Phase III clinical trials for PNH and aHUS; ALXN1810 (Subcutaneous) that is in Phase I clinical trial for renal diseases; and ALXN1720 (Subcutaneous), which is in Phase I clinical trial for the treatment of disease states involving dysregulated terminal complement activity. Further, it is developing ALXN1840 (WTX101) that is in Phase III clinical trials for the treatment of Wilson disease; and ALXN1830 and ABY-039, which are in Phase I clinical trials for neonatal Fc receptor. The company serves distributors, pharmacies, hospitals, hospital buying groups, and other healthcare providers in the United States and internationally. Alexion Pharmaceuticals, Inc. has collaboration and license agreement with Halozyme Therapeutics, Inc.; collaborations with Caelum Biosciences, Inc., Dicerna Pharmaceuticals, Inc. and Zealand Pharma A/S; strategic agreement with Caelum Biosciences, Inc.; agreement with Stealth BioTherapeutics Corp.; and a partnership with Affibody AB. The company was founded in 1992 and is headquartered in Boston, Massachusetts.

Statistics (YTD)

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TotalReturn:

'The total return on a portfolio of investments takes into account not only the capital appreciation on the portfolio, but also the income received on the portfolio. The income typically consists of interest, dividends, and securities lending fees. This contrasts with the price return, which takes into account only the capital gain on an investment.'

Using this definition on our asset we see for example:
  • The total return over 5 years of Alexion Pharmaceuticals is 43.4%, which is lower, thus worse compared to the benchmark SPY (115.1%) in the same period.
  • Looking at total return, or increase in value in of 35% in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (71.1%).

CAGR:

'Compound annual growth rate (CAGR) is a business and investing specific term for the geometric progression ratio that provides a constant rate of return over the time period. CAGR is not an accounting term, but it is often used to describe some element of the business, for example revenue, units delivered, registered users, etc. CAGR dampens the effect of volatility of periodic returns that can render arithmetic means irrelevant. It is particularly useful to compare growth rates from various data sets of common domain such as revenue growth of companies in the same industry.'

Which means for our asset as example:
  • Compared with the benchmark SPY (16.6%) in the period of the last 5 years, the annual performance (CAGR) of 7.5% of Alexion Pharmaceuticals is lower, thus worse.
  • During the last 3 years, the compounded annual growth rate (CAGR) is 10.5%, which is smaller, thus worse than the value of 19.7% 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.'

Applying this definition to our asset in some examples:
  • Compared with the benchmark SPY (17.5%) in the period of the last 5 years, the 30 days standard deviation of 38.3% of Alexion Pharmaceuticals is larger, thus worse.
  • During the last 3 years, the volatility is 39%, which is larger, thus worse than the value of 17.5% from the benchmark.

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:
  • The downside deviation over 5 years of Alexion Pharmaceuticals is 25.1%, which is larger, thus worse compared to the benchmark SPY (12.1%) in the same period.
  • Compared with SPY (11.5%) in the period of the last 3 years, the downside volatility of 24.9% is larger, thus worse.

Sharpe:

'The Sharpe ratio (also known as the Sharpe index, the Sharpe measure, and the reward-to-variability ratio) is a way to examine the performance of an investment by adjusting for its risk. The ratio measures the excess return (or risk premium) per unit of deviation in an investment asset or a trading strategy, typically referred to as risk, named after William F. Sharpe.'

Which means for our asset as example:
  • Compared with the benchmark SPY (0.8) in the period of the last 5 years, the risk / return profile (Sharpe) of 0.13 of Alexion Pharmaceuticals is smaller, thus worse.
  • During the last 3 years, the risk / return profile (Sharpe) is 0.21, which is lower, thus worse than the value of 0.98 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:
  • Looking at the ratio of annual return and downside deviation of 0.2 in the last 5 years of Alexion Pharmaceuticals, we see it is relatively lower, thus worse in comparison to the benchmark SPY (1.17)
  • Looking at downside risk / excess return profile in of 0.32 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (1.49).

Ulcer:

'Ulcer Index is a method for measuring investment risk that addresses the real concerns of investors, unlike the widely used standard deviation of return. UI is a measure of the depth and duration of drawdowns in prices from earlier highs. Using Ulcer Index instead of standard deviation can lead to very different conclusions about investment risk and risk-adjusted return, especially when evaluating strategies that seek to avoid major declines in portfolio value (market timing, dynamic asset allocation, hedge funds, etc.). The Ulcer Index was originally developed in 1987. Since then, it has been widely recognized and adopted by the investment community. According to Nelson Freeburg, editor of Formula Research, Ulcer Index is “perhaps the most fully realized statistical portrait of risk there is.'

Which means for our asset as example:
  • The Ulcer Ratio over 5 years of Alexion Pharmaceuticals is 19 , which is larger, thus worse compared to the benchmark SPY (8.48 ) in the same period.
  • During the last 3 years, the Ulcer Ratio is 19 , 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.'

Applying this definition to our asset in some examples:
  • The maximum reduction from previous high over 5 years of Alexion Pharmaceuticals is -48.5 days, which is smaller, thus worse compared to the benchmark SPY (-24.5 days) in the same period.
  • During the last 3 years, the maximum reduction from previous high is -46.5 days, which is lower, thus worse than the value of -18.8 days from the benchmark.

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.'

Using this definition on our asset we see for example:
  • Looking at the maximum days below previous high of 816 days in the last 5 years of Alexion Pharmaceuticals, we see it is relatively greater, thus worse in comparison to the benchmark SPY (488 days)
  • During the last 3 years, the maximum days under water is 423 days, which is greater, thus worse than the value of 199 days from the benchmark.

AveDuration:

'The Average 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. 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.'

Using this definition on our asset we see for example:
  • The average days under water over 5 years of Alexion Pharmaceuticals is 292 days, which is greater, thus worse compared to the benchmark SPY (120 days) in the same period.
  • Looking at average time in days below previous high water mark in of 140 days in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (47 days).

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 Alexion Pharmaceuticals are hypothetical and do not account for slippage, fees or taxes.