Description of Alexion Pharmaceuticals

Alexion Pharmaceuticals, Inc. - Common Stock

Statistics of Alexion Pharmaceuticals (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.'

Using this definition on our asset we see for example:
  • Looking at the total return, or increase in value of -43.5% in the last 5 years of Alexion Pharmaceuticals, we see it is relatively lower, thus worse in comparison to the benchmark SPY (67.2%)
  • Compared with SPY (50.7%) in the period of the last 3 years, the total return, or performance of -9.4% 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.'

Using this definition on our asset we see for example:
  • The annual return (CAGR) over 5 years of Alexion Pharmaceuticals is -10.8%, which is lower, thus worse compared to the benchmark SPY (10.8%) in the same period.
  • Looking at annual return (CAGR) in of -3.3% in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (14.7%).

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.'

Using this definition on our asset we see for example:
  • Looking at the volatility of 37.6% in the last 5 years of Alexion Pharmaceuticals, we see it is relatively larger, thus worse in comparison to the benchmark SPY (13.5%)
  • Looking at volatility in of 37% in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (12.8%).

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.'

Which means for our asset as example:
  • The downside risk over 5 years of Alexion Pharmaceuticals is 37.6%, which is larger, thus worse compared to the benchmark SPY (14.8%) in the same period.
  • Looking at downside volatility in of 37% in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to SPY (14.7%).

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.'

Using this definition on our asset we see for example:
  • Looking at the Sharpe Ratio of -0.35 in the last 5 years of Alexion Pharmaceuticals, we see it is relatively smaller, thus worse in comparison to the benchmark SPY (0.62)
  • Looking at risk / return profile (Sharpe) in of -0.16 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (0.95).

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:
  • Looking at the ratio of annual return and downside deviation of -0.35 in the last 5 years of Alexion Pharmaceuticals, we see it is relatively smaller, thus worse in comparison to the benchmark SPY (0.56)
  • During the last 3 years, the excess return divided by the downside deviation is -0.16, which is smaller, thus worse than the value of 0.83 from the benchmark.

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.'

Which means for our asset as example:
  • The Downside risk index over 5 years of Alexion Pharmaceuticals is 36 , which is higher, thus worse compared to the benchmark SPY (3.99 ) in the same period.
  • During the last 3 years, the Ulcer Index is 18 , which is higher, thus worse than the value of 4.09 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:
  • Compared with the benchmark SPY (-19.3 days) in the period of the last 5 years, the maximum reduction from previous high of -54.8 days of Alexion Pharmaceuticals is lower, thus worse.
  • During the last 3 years, the maximum reduction from previous high is -36 days, which is smaller, thus worse 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.'

Applying this definition to our asset in some examples:
  • The maximum days below previous high over 5 years of Alexion Pharmaceuticals is 1091 days, which is greater, thus worse compared to the benchmark SPY (187 days) in the same period.
  • During the last 3 years, the maximum days below previous high is 549 days, which is greater, thus worse than the value of 139 days from the benchmark.

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:
  • The average time in days below previous high water mark over 5 years of Alexion Pharmaceuticals is 485 days, which is larger, thus worse compared to the benchmark SPY (42 days) in the same period.
  • During the last 3 years, the average days under water is 221 days, which is higher, thus worse than the value of 36 days from the benchmark.

Performance of Alexion Pharmaceuticals (YTD)

Historical returns have been extended using synthetic data.

Allocations of Alexion Pharmaceuticals
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Allocations

Returns of Alexion Pharmaceuticals (%)

  • Note that yearly returns do not equal the sum of monthly returns due to compounding.
  • Performance results of Alexion Pharmaceuticals 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.