Description

Biogen Inc. discovers, develops, manufactures, and delivers therapies for treating neurological and neurodegenerative diseases worldwide. The company offers TECFIDERA, AVONEX, PLEGRIDY, TYSABRI, and FAMPYRA for multiple sclerosis (MS); SPINRAZA for the treatment of spinal muscular atrophy; and FUMADERM to treat plaque psoriasis. It also provides BENEPALI, an etanercept biosimilar referencing ENBREL; IMRALDI, an adalimumab biosimilar referencing HUMIRA; and FLIXABI, an infliximab biosimilar referencing REMICADE. In addition, the company offers RITUXAN for the treatment of non-Hodgkin's lymphoma, chronic lymphocytic leukemia (CLL), rheumatoid arthritis, two forms of ANCA-associated vasculitis, and pemphigus vulgaris; RITUXAN HYCELA for non-Hodgkin's lymphoma and CLL; GAZYVA to treat CLL and follicular lymphoma; and OCREVUS for the treatment of relapsing MS and primary progressive MS; and other anti-CD20 therapies. Further, it is involved in developing Opicinumab, BIIB061, and BIIB091 for MS and neuroimmunology; Aducanumab, BAN2401, BIIB092, BIIB076, and BIIB080 to treat Alzheimer's disease and dementia; BIIB067, BIIB078, BIIB110, and BIIB100 to treat neuromuscular disorders; BIIB054 and BIIB094 for treating movement disorders; BIIB111 and BIIB112 for ophthalmology; Dapirolizumab pegol and BIIB059 to treat immunology and others; BIIB104 for neurocognitive disorders; BIIB093, TMS-007, and Natalizumab to treat acute neurology; BIIB074 and BIIB095 for pain; and SB11 biosimilar, which are under various stages of development. The company offers products through its sales force and marketing groups. Biogen Inc. has collaboration agreements with Genentech, Inc.; Ionis Pharmaceuticals, Inc.; Eisai Co., Ltd.; Alkermes Pharma Ireland Limited; Bristol-Myers Squibb Company; Acorda Therapeutics, Inc.; AbbVie Inc.; Skyhawk Therapeutics, Inc.; Neurimmune SubOne AG; and Sangamo Therapeutics Inc. The company was founded in 1978 and is headquartered in Cambridge, Massachusetts.

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.'

Which means for our asset as example:
  • Compared with the benchmark SPY (81.9%) in the period of the last 5 years, the total return, or performance of -23% of Biogen is lower, thus worse.
  • Looking at total return, or increase in value in of -14.1% in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (46.1%).

CAGR:

'The compound annual growth rate (CAGR) is a useful measure of growth over multiple time periods. It can be thought of as the growth rate that gets you from the initial investment value to the ending investment value if you assume that the investment has been compounding over the time period.'

Which means for our asset as example:
  • Compared with the benchmark SPY (12.7%) in the period of the last 5 years, the compounded annual growth rate (CAGR) of -5.1% of Biogen is smaller, thus worse.
  • During the last 3 years, the compounded annual growth rate (CAGR) is -4.9%, which is lower, thus worse than the value of 13.5% 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:
  • The historical 30 days volatility over 5 years of Biogen is 47.6%, which is higher, thus worse compared to the benchmark SPY (19.8%) in the same period.
  • During the last 3 years, the volatility is 53.4%, which is higher, thus worse than the value of 23% from the benchmark.

DownVol:

'Downside risk is the financial risk associated with losses. That is, it is the risk of the actual return being below the expected return, or the uncertainty about the magnitude of that difference. 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.'

Applying this definition to our asset in some examples:
  • Looking at the downside deviation of 29.1% in the last 5 years of Biogen, we see it is relatively higher, thus worse in comparison to the benchmark SPY (14.5%)
  • Compared with SPY (16.8%) in the period of the last 3 years, the downside risk of 29.1% is higher, thus worse.

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.'

Applying this definition to our asset in some examples:
  • Compared with the benchmark SPY (0.52) in the period of the last 5 years, the risk / return profile (Sharpe) of -0.16 of Biogen is lower, thus worse.
  • During the last 3 years, the ratio of return and volatility (Sharpe) is -0.14, which is lower, thus worse than the value of 0.48 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.'

Using this definition on our asset we see for example:
  • Compared with the benchmark SPY (0.7) in the period of the last 5 years, the downside risk / excess return profile of -0.26 of Biogen is lower, thus worse.
  • During the last 3 years, the excess return divided by the downside deviation is -0.26, which is lower, thus worse than the value of 0.65 from the benchmark.

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.'

Which means for our asset as example:
  • Compared with the benchmark SPY (6.08 ) in the period of the last 5 years, the Downside risk index of 28 of Biogen is higher, thus worse.
  • Compared with SPY (6.77 ) in the period of the last 3 years, the Ulcer Ratio of 26 is larger, thus worse.

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:
  • Compared with the benchmark SPY (-33.7 days) in the period of the last 5 years, the maximum DrawDown of -54.8 days of Biogen is smaller, thus worse.
  • Looking at maximum DrawDown in of -54.8 days in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (-33.7 days).

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.'

Using this definition on our asset we see for example:
  • Looking at the maximum time in days below previous high water mark of 720 days in the last 5 years of Biogen, we see it is relatively larger, thus worse in comparison to the benchmark SPY (139 days)
  • Compared with SPY (119 days) in the period of the last 3 years, the maximum days below previous high of 235 days is larger, thus worse.

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.'

Applying this definition to our asset in some examples:
  • The average time in days below previous high water mark over 5 years of Biogen is 243 days, which is greater, thus worse compared to the benchmark SPY (35 days) in the same period.
  • During the last 3 years, the average days under water is 71 days, which is greater, thus worse than the value of 27 days from the benchmark.

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 Biogen 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.