Regeneron Pharmaceuticals (REGN)

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.'

• Looking at the total return, or increase in value of 35.2% in the last 5 years of Regeneron Pharmaceuticals, we see it is relatively smaller, thus worse in comparison to the benchmark SPY (121.6%)
• Compared with SPY (64.5%) in the period of the last 3 years, the total return, or increase in value of 56.1% is lower, thus worse.

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.'

• The annual performance (CAGR) over 5 years of Regeneron Pharmaceuticals is 6.2%, which is lower, thus worse compared to the benchmark SPY (17.3%) in the same period.
• Compared with SPY (18.1%) in the period of the last 3 years, the annual performance (CAGR) of 16% is lower, thus worse.

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.'

• Compared with the benchmark SPY (18.7%) in the period of the last 5 years, the volatility of 33.2% of Regeneron Pharmaceuticals is larger, thus worse.
• Looking at historical 30 days volatility in of 34.4% in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (22.5%).

DownVol:

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

• Looking at the downside volatility of 21.9% in the last 5 years of Regeneron Pharmaceuticals, we see it is relatively greater, thus worse in comparison to the benchmark SPY (13.5%)
• During the last 3 years, the downside deviation is 22.7%, which is higher, thus worse than the value of 16.4% from the benchmark.

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.'

• The ratio of return and volatility (Sharpe) over 5 years of Regeneron Pharmaceuticals is 0.11, which is smaller, thus worse compared to the benchmark SPY (0.79) in the same period.
• Compared with SPY (0.69) in the period of the last 3 years, the ratio of return and volatility (Sharpe) of 0.39 is smaller, 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.'

• Compared with the benchmark SPY (1.09) in the period of the last 5 years, the excess return divided by the downside deviation of 0.17 of Regeneron Pharmaceuticals is lower, thus worse.
• Looking at downside risk / excess return profile in of 0.6 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (0.95).

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.'

• The Downside risk index over 5 years of Regeneron Pharmaceuticals is 26 , which is larger, thus worse compared to the benchmark SPY (5.58 ) in the same period.
• Compared with SPY (6.83 ) in the period of the last 3 years, the Downside risk index of 19 is higher, 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.'

• The maximum reduction from previous high over 5 years of Regeneron Pharmaceuticals is -48.1 days, which is smaller, thus worse compared to the benchmark SPY (-33.7 days) in the same period.
• During the last 3 years, the maximum reduction from previous high is -37.8 days, which is smaller, thus worse than the value of -33.7 days from the benchmark.

MaxDuration:

'The Maximum 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. It is the length of time the account was in the Max Drawdown. A Max Drawdown measures a retrenchment from when an equity curve reaches a new high. It’s the maximum an account lost during that retrenchment. This method is applied because a valley can’t be measured until a new high occurs. Once the new high is reached, the percentage change from the old high to the bottom of the largest trough is recorded.'

• Looking at the maximum time in days below previous high water mark of 707 days in the last 5 years of Regeneron Pharmaceuticals, we see it is relatively larger, thus worse in comparison to the benchmark SPY (139 days)
• During the last 3 years, the maximum days below previous high is 260 days, which is larger, 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.'

• Looking at the average days below previous high of 239 days in the last 5 years of Regeneron Pharmaceuticals, we see it is relatively greater, thus worse in comparison to the benchmark SPY (33 days)
• Looking at average days below previous high in of 96 days in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to SPY (35 days).