Description

Pfizer Inc. develops, manufactures, and sells healthcare products worldwide. It offers medicines and vaccines in various therapeutic areas, including internal medicine, such as cardiovascular metabolic and pain under the Eliquis, Chantix/Champix, and Premarin family brands; oncology, such as biologics, small molecules, immunotherapies, and biosimilars under the Ibrance, Sutent, Xtandi, Xalkori, Inlyta, Braftovi + Mektovi brands; and sterile injectable and anti-infective medicines under the Sulperazon, Medrol, Vfend, and Zithromax brands. The company also provides medicines and vaccines in various therapeutic areas, such as pneumococcal disease, meningococcal disease, and tick-borne encephalitis under the Prevnar 13/Prevenar 13 (pediatric/adult), FSME-IMMUN, Nimenrix, and Trumenba brands; biosimilars for chronic immune and inflammatory diseases under the Xeljanz, Enbrel, Inflectra, and Eucrisa brands; and amyloidosis, hemophilia, and endocrine diseases under the Vyndaqel/Vyndamax, BeneFIX, Genotropin, and Refacto AF/Xyntha brands. In addition, the company is involved in the contract manufacturing business. It serves wholesalers, retailers, hospitals, clinics, government agencies, pharmacies, and individual provider offices, as well as disease control and prevention centers. The company has collaboration and/or co-promotion agreements with Bristol-Myers Squibb Company and Astellas Pharma US, Inc.; licensing agreement with Akcea Therapeutics, Inc; strategic alliance with Verily Life Sciences LLC; collaboration agreements with Merck KGaA and Valneva SE; clinical trial collaboration and supply agreement with IDEAYA Biosciences, Inc.; material transfer and collaboration agreement with BioNTech SE to co-develop COVID-19 vaccine; clinical supply collaboration with Jiangsu Alphamab Biopharmaceuticals Co., Ltd; and research collaboration and license agreement with BioInvent International AB. Pfizer Inc. was founded in 1849 and is headquartered in New York, New York.

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.'

Which means for our asset as example:
  • Compared with the benchmark SPY (97%) in the period of the last 5 years, the total return of -19.4% of Pfizer is smaller, thus worse.
  • Compared with SPY (39.3%) in the period of the last 3 years, the total return of -9.6% is lower, thus worse.

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.'

Applying this definition to our asset in some examples:
  • Compared with the benchmark SPY (14.6%) in the period of the last 5 years, the annual performance (CAGR) of -4.2% of Pfizer is smaller, thus worse.
  • Compared with SPY (11.7%) in the period of the last 3 years, the annual return (CAGR) of -3.3% is lower, thus worse.

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:
  • Looking at the 30 days standard deviation of 26.7% in the last 5 years of Pfizer, we see it is relatively larger, thus worse in comparison to the benchmark SPY (20.9%)
  • Looking at volatility in of 25.7% in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to SPY (17.5%).

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:
  • The downside risk over 5 years of Pfizer is 18.4%, which is higher, thus worse compared to the benchmark SPY (15%) in the same period.
  • During the last 3 years, the downside deviation is 17.2%, which is greater, thus worse than the value of 12.1% from the benchmark.

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:
  • The risk / return profile (Sharpe) over 5 years of Pfizer is -0.25, which is smaller, thus worse compared to the benchmark SPY (0.58) in the same period.
  • Compared with SPY (0.53) in the period of the last 3 years, the risk / return profile (Sharpe) of -0.23 is lower, thus worse.

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 (0.8) in the period of the last 5 years, the downside risk / excess return profile of -0.37 of Pfizer is lower, thus worse.
  • Compared with SPY (0.76) in the period of the last 3 years, the ratio of annual return and downside deviation of -0.34 is lower, 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:
  • Looking at the Downside risk index of 23 in the last 5 years of Pfizer, we see it is relatively higher, thus worse in comparison to the benchmark SPY (9.33 )
  • During the last 3 years, the Ulcer Ratio is 27 , which is higher, thus worse than the value of 10 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:
  • Compared with the benchmark SPY (-33.7 days) in the period of the last 5 years, the maximum DrawDown of -54 days of Pfizer is lower, thus worse.
  • Looking at maximum drop from peak to valley in of -54 days in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (-24.5 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.'

Which means for our asset as example:
  • Looking at the maximum days below previous high of 550 days in the last 5 years of Pfizer, we see it is relatively higher, thus worse in comparison to the benchmark SPY (488 days)
  • Looking at maximum days under water in of 550 days in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to SPY (488 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.'

Using this definition on our asset we see for example:
  • The average time in days below previous high water mark over 5 years of Pfizer is 189 days, which is greater, thus worse compared to the benchmark SPY (123 days) in the same period.
  • Looking at average days below previous high in of 218 days in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to SPY (181 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 Pfizer 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.