Description of Regeneron Pharmaceuticals

Regeneron Pharmaceuticals, Inc. - Common Stock

Statistics of Regeneron Pharmaceuticals (YTD)

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

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:
  • Looking at the total return, or increase in value of -2.6% in the last 5 years of Regeneron Pharmaceuticals, we see it is relatively lower, thus worse in comparison to the benchmark SPY (66%)
  • During the last 3 years, the total return, or increase in value is -21.9%, which is lower, thus worse than the value of 45.6% from the benchmark.

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:
  • Looking at the compounded annual growth rate (CAGR) of -0.5% in the last 5 years of Regeneron Pharmaceuticals, we see it is relatively lower, thus worse in comparison to the benchmark SPY (10.7%)
  • Looking at compounded annual growth rate (CAGR) in of -7.9% in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (13.3%).

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.'

Which means for our asset as example:
  • Looking at the volatility of 33.4% in the last 5 years of Regeneron Pharmaceuticals, we see it is relatively higher, thus worse in comparison to the benchmark SPY (13.4%)
  • Looking at 30 days standard deviation in of 31.6% in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (12.3%).

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 deviation of 31.6% in the last 5 years of Regeneron Pharmaceuticals, we see it is relatively higher, thus worse in comparison to the benchmark SPY (14.6%)
  • Compared with SPY (13.8%) in the period of the last 3 years, the downside volatility of 29.3% is larger, 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.'

Using this definition on our asset we see for example:
  • Looking at the Sharpe Ratio of -0.09 in the last 5 years of Regeneron Pharmaceuticals, we see it is relatively lower, thus worse in comparison to the benchmark SPY (0.61)
  • Looking at risk / return profile (Sharpe) in of -0.33 in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (0.88).

Sortino:

'The Sortino ratio improves upon the Sharpe ratio by isolating downside volatility from total volatility by dividing excess return by the downside deviation. The Sortino ratio is a variation of the Sharpe ratio that differentiates harmful volatility from total overall volatility by using the asset's standard deviation of negative asset returns, called downside deviation. The Sortino ratio takes the asset's return and subtracts the risk-free rate, and then divides that amount by the asset's downside deviation. The ratio was named after Frank A. Sortino.'

Applying this definition to our asset in some examples:
  • The excess return divided by the downside deviation over 5 years of Regeneron Pharmaceuticals is -0.1, which is smaller, thus worse compared to the benchmark SPY (0.56) in the same period.
  • Compared with SPY (0.78) in the period of the last 3 years, the excess return divided by the downside deviation of -0.35 is smaller, 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 Ulcer Index of 30 in the last 5 years of Regeneron Pharmaceuticals, we see it is relatively higher, thus worse in comparison to the benchmark SPY (3.99 )
  • Compared with SPY (4.04 ) in the period of the last 3 years, the Ulcer Index of 26 is higher, thus worse.

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:
  • Looking at the maximum DrawDown of -52 days in the last 5 years of Regeneron Pharmaceuticals, we see it is relatively lower, thus worse in comparison to the benchmark SPY (-19.3 days)
  • During the last 3 years, the maximum drop from peak to valley is -45.9 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). 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'

Using this definition on our asset we see for example:
  • The maximum time in days below previous high water mark over 5 years of Regeneron Pharmaceuticals is 995 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 521 days, which is higher, thus worse than the value of 139 days from the benchmark.

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:
  • Compared with the benchmark SPY (41 days) in the period of the last 5 years, the average days below previous high of 412 days of Regeneron Pharmaceuticals is greater, thus worse.
  • Looking at average days under water in of 199 days in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to SPY (36 days).

Performance of Regeneron Pharmaceuticals (YTD)

Historical returns have been extended using synthetic data.

Allocations of Regeneron Pharmaceuticals
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Allocations

Returns of Regeneron Pharmaceuticals (%)

  • "Year" returns in the table above are not equal to the sum of monthly returns due to compounding.
  • Performance results of Regeneron 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.