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:

'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.'

Applying this definition to our asset in some examples:
  • Compared with the benchmark SPY (121.8%) in the period of the last 5 years, the total return, or increase in value of -23% of Pfizer is lower, thus worse.
  • Looking at total return in of -48.5% in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (52.8%).

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:
  • Compared with the benchmark SPY (17.3%) in the period of the last 5 years, the annual performance (CAGR) of -5.1% of Pfizer is smaller, thus worse.
  • Compared with SPY (15.3%) in the period of the last 3 years, the annual return (CAGR) of -19.9% is smaller, 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.'

Using this definition on our asset we see for example:
  • The volatility over 5 years of Pfizer is 25.6%, which is greater, thus worse compared to the benchmark SPY (17.9%) in the same period.
  • Looking at historical 30 days volatility in of 24.1% in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to SPY (18.4%).

DownVol:

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

Applying this definition to our asset in some examples:
  • Compared with the benchmark SPY (12.4%) in the period of the last 5 years, the downside risk of 17.5% of Pfizer is larger, thus worse.
  • Compared with SPY (12.4%) in the period of the last 3 years, the downside deviation of 17.6% is higher, thus worse.

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 (0.83) in the period of the last 5 years, the ratio of return and volatility (Sharpe) of -0.3 of Pfizer is lower, thus worse.
  • Compared with SPY (0.7) in the period of the last 3 years, the Sharpe Ratio of -0.93 is lower, thus worse.

Sortino:

'The Sortino ratio measures the risk-adjusted return of an investment asset, portfolio, or strategy. It is a modification of the Sharpe ratio but penalizes only those returns falling below a user-specified target or required rate of return, while the Sharpe ratio penalizes both upside and downside volatility equally. Though both ratios measure an investment's risk-adjusted return, they do so in significantly different ways that will frequently lead to differing conclusions as to the true nature of the investment's return-generating efficiency. The Sortino ratio is used as a way to compare the risk-adjusted performance of programs with differing risk and return profiles. In general, risk-adjusted returns seek to normalize the risk across programs and then see which has the higher return unit per risk.'

Applying this definition to our asset in some examples:
  • Compared with the benchmark SPY (1.19) in the period of the last 5 years, the excess return divided by the downside deviation of -0.43 of Pfizer is smaller, thus worse.
  • During the last 3 years, the downside risk / excess return profile is -1.28, which is lower, thus worse than the value of 1.03 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:
  • Looking at the Ulcer Ratio of 33 in the last 5 years of Pfizer, we see it is relatively greater, thus worse in comparison to the benchmark SPY (8.48 )
  • Compared with SPY (5.55 ) in the period of the last 3 years, the Ulcer Ratio of 36 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:
  • The maximum DrawDown over 5 years of Pfizer is -59 days, which is lower, thus worse compared to the benchmark SPY (-24.5 days) in the same period.
  • Looking at maximum DrawDown in of -55.3 days in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (-18.8 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). Many assume Max DD Duration is the length of time between new highs during which the Max DD (magnitude) occurred. But that isn’t always the case. The Max DD duration is the longest time between peaks, period. So it could be the time when the program also had its biggest peak to valley loss (and usually is, because the program needs a long time to recover from the largest loss), but it doesn’t have to be'

Which means for our asset as example:
  • Compared with the benchmark SPY (488 days) in the period of the last 5 years, the maximum days under water of 854 days of Pfizer is larger, thus worse.
  • Compared with SPY (199 days) in the period of the last 3 years, the maximum days under water of 604 days is larger, thus worse.

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:
  • Compared with the benchmark SPY (119 days) in the period of the last 5 years, the average days below previous high of 313 days of Pfizer is higher, thus worse.
  • Looking at average days under water in of 258 days in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (45 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 and do not account for slippage, fees or taxes.