Description

Regeneron Pharmaceuticals, Inc., a biopharmaceutical company, discovers, invents, develops, manufactures, and commercializes medicines for treating various medical conditions worldwide. The company's products include EYLEA injection to treat wet age-related macular degeneration and diabetic macular edema (DME); myopic choroidal neovascularization; and diabetic retinopathy in patients with DME, as well as macular edema following retinal vein occlusion, including macular edema following central retinal vein occlusion and macular edema following branch retinal vein occlusion. It also provides Dupixent injection to treat atopic dermatitis in adults, and asthma in adults and adolescents; Praluent injection for heterozygous familial hypercholesterolemia or clinical atherosclerotic cardiovascular disease in adults; and Kevzara solution for subcutaneous injection for treating rheumatoid arthritis in adults. In addition, the company offers Libtayo injection to treat metastatic or locally advanced cutaneous squamous cell carcinoma; ARCALYST injection for cryopyrin-associated periodic syndromes, including familial cold auto-inflammatory syndrome and muckle-wells syndrome; and ZALTRAP injection for intravenous infusion to treat metastatic colorectal cancer. Further, it is developing various product candidates for treating patients with eye diseases, allergic and inflammatory diseases, cancer, cardiovascular and metabolic diseases, neuromuscular diseases, infectious diseases, and other diseases. The company has collaboration and license agreements with Sanofi; Bayer; Teva; Mitsubishi Tanabe Pharma; Alnylam Pharmaceuticals, Inc.; Roche Pharmaceuticals; and Vyriad, Inc., as well as has an agreement with the U.S. Department of Health and Human Services. It has collaborations with Zai Lab Limited; Intellia Therapeutics, Inc.; and BioNTech. Regeneron Pharmaceuticals, Inc. was founded in 1988 and is headquartered in Tarrytown, New York.

Statistics (YTD)

What do these metrics mean? [Read More] [Hide]

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:
  • Compared with the benchmark SPY (113.6%) in the period of the last 5 years, the total return, or performance of -11.9% of Regeneron Pharmaceuticals is lower, thus worse.
  • Looking at total return in of -9.9% in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (69%).

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.'

Using this definition on our asset we see for example:
  • Looking at the annual return (CAGR) of -2.5% in the last 5 years of Regeneron Pharmaceuticals, we see it is relatively smaller, thus worse in comparison to the benchmark SPY (16.5%)
  • Looking at annual performance (CAGR) in of -3.4% in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (19.3%).

Volatility:

'Volatility is a statistical measure of the dispersion of returns for a given security or market index. Volatility can either be measured by using the standard deviation or variance between returns from that same security or market index. Commonly, the higher the volatility, the riskier the security. In the securities markets, volatility is often associated with big swings in either direction. For example, when the stock market rises and falls more than one percent over a sustained period of time, it is called a 'volatile' market.'

Which means for our asset as example:
  • Compared with the benchmark SPY (17.6%) in the period of the last 5 years, the 30 days standard deviation of 30.1% of Regeneron Pharmaceuticals is larger, thus worse.
  • During the last 3 years, the 30 days standard deviation is 31.1%, which is higher, thus worse than the value of 17.5% 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.'

Using this definition on our asset we see for example:
  • Looking at the downside risk of 21.6% in the last 5 years of Regeneron Pharmaceuticals, we see it is relatively larger, thus worse in comparison to the benchmark SPY (12.1%)
  • Compared with SPY (11.6%) in the period of the last 3 years, the downside deviation of 22.3% 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:
  • Looking at the ratio of return and volatility (Sharpe) of -0.17 in the last 5 years of Regeneron Pharmaceuticals, we see it is relatively lower, thus worse in comparison to the benchmark SPY (0.8)
  • Looking at ratio of return and volatility (Sharpe) in of -0.19 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (0.96).

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:
  • Looking at the downside risk / excess return profile of -0.23 in the last 5 years of Regeneron Pharmaceuticals, we see it is relatively smaller, thus worse in comparison to the benchmark SPY (1.15)
  • During the last 3 years, the ratio of annual return and downside deviation is -0.27, which is lower, thus worse than the value of 1.45 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.'

Applying this definition to our asset in some examples:
  • Looking at the Ulcer Ratio of 20 in the last 5 years of Regeneron Pharmaceuticals, we see it is relatively larger, thus worse in comparison to the benchmark SPY (8.48 )
  • Looking at Ulcer Index in of 22 in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to SPY (5.31 ).

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.'

Which means for our asset as example:
  • Looking at the maximum drop from peak to valley of -59.7 days in the last 5 years of Regeneron Pharmaceuticals, we see it is relatively lower, thus worse in comparison to the benchmark SPY (-24.5 days)
  • During the last 3 years, the maximum DrawDown is -59.7 days, which is lower, thus worse than the value of -18.8 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:
  • Looking at the maximum days under water of 274 days in the last 5 years of Regeneron Pharmaceuticals, we see it is relatively lower, thus better in comparison to the benchmark SPY (488 days)
  • Compared with SPY (199 days) in the period of the last 3 years, the maximum days under water of 210 days is higher, 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.'

Using this definition on our asset we see for example:
  • The average time in days below previous high water mark over 5 years of Regeneron Pharmaceuticals is 73 days, which is lower, thus better compared to the benchmark SPY (120 days) in the same period.
  • Compared with SPY (47 days) in the period of the last 3 years, the average time in days below previous high water mark of 48 days is larger, thus worse.

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