Regeneron Pharmaceuticals Backtesting

REGN -- USA Stock  

USD 364.75  2.89  0.79%

With this equity back-testing module your can estimate the performance of a buy and hold strategy of Regeneron Pharmaceuticals and determine expected loss or profit from investing in Regeneron Pharmaceuticals over given investment horizon. Additionally take a look at Regeneron Pharmaceuticals Hype Analysis, Regeneron Pharmaceuticals Correlation, Regeneron Pharmaceuticals Valuation, Regeneron Pharmaceuticals Volatility as well as analyze Regeneron Pharmaceuticals Alpha and Beta and Regeneron Pharmaceuticals Performance.
 Time Horizon     30 Days    Login   to change
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Regeneron Pharmaceuticals 'What if' Analysis

June 17, 2018
0.00
No Change 0.00  0.0%
In 30 days
July 17, 2018
0.00
If you would invest  0.00  in Regeneron Pharmaceuticals on June 17, 2018 and sell it all today you would earn a total of 0.00 from holding Regeneron Pharmaceuticals or generate 0.0% return on investment in Regeneron Pharmaceuticals over 30 days. Regeneron Pharmaceuticals is related to or competes with China Cord, NantKwest, DelMar Pharmaceuticals, Denali Therapeutics, Dova Pharmaceuticals, Dicerna Pharmaceuticals, and DYNAVAX TECHNOLOG. Regeneron Pharmaceuticals, Inc., a biopharmaceutical company, discovers, invents, develops, manufactures, and commercial...

Regeneron Pharmaceuticals Upside/Downside Indicators

Downside Deviation1.43
Information Ratio0.3523
Maximum Drawdown5.97
Value At Risk1.46
Potential Upside3.01
  

Regeneron Pharmaceuticals Market Premium Indicators

Risk Adjusted Performance0.2714
Jensen Alpha0.5811
Total Risk Alpha0.3496
Sortino Ratio0.3763
Treynor Ratio1.03

Regeneron Pharmaceuticals Backtested Returns

Macroaxis considers Regeneron Pharmaceuticals not too risky given 1 month investment horizon. Regeneron Pharmaceuticals maintains Sharpe Ratio (i.e. Efficiency) of 0.4523 which implies Regeneron Pharmaceuticals had 0.4523% of return per unit of risk over the last 1 month. Our philosophy towards forecasting volatility of a stock is to use all available market data together with company specific technical indicators that cannot be diversified away. By analyzing Regeneron Pharmaceuticals technical indicators you can presently evaluate if the expected return of 0.7029% is justified by implied risk. Please employ Regeneron Pharmaceuticals Coefficient Of Variation of 227.54, Semi Deviation of 0.4855 and Risk Adjusted Performance of 0.2714 to confirm if our risk estimates are consistent with your expectations. On a scale of 0 to 100 Regeneron Pharmaceuticals holds performance score of 29. The organization holds Beta of 0.642 which implies as returns on market increase, Regeneron Pharmaceuticals returns are expected to increase less than the market. However during bear market, the loss on holding Regeneron Pharmaceuticals will be expected to be smaller as well.. Although it is vital to follow to Regeneron Pharmaceuticals current trending patterns, it is good to be conservative about what you can actually do with the information regarding equity existing price patterns. The philosophy towards forecasting future performance of any stock is to evaluate the business as a whole together with its past performance including all available fundamental and technical indicators. We have found twenty-one technical indicators for Regeneron Pharmaceuticals which you can use to evaluate performance of the company. Please employ Regeneron Pharmaceuticals Downside Deviation, Jensen Alpha as well as the relationship between Jensen Alpha and Downside Variance to make a quick decision on weather Regeneron Pharmaceuticals historical price patterns will revert.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation 0.46 

Average predictability

Regeneron Pharmaceuticals has average predictability. Overlapping area represents the amount of predictability between Regeneron Pharmaceuticals time series from June 17, 2018 to July 2, 2018 and July 2, 2018 to July 17, 2018. The more autocorrelation exist between current time interval and its lagged values, the more accurately you can make projection about the future pattern of Regeneron Pharmaceuticals price movement. The serial correlation of 0.46 indicates that about 46.0% of current Regeneron Pharmaceuticals price fluctuation can be explain by its past prices.
Correlation Coefficient 0.46
Spearman Rank Test 0.22
Price Variance 35.33
Lagged Price Variance 90.68

Regeneron Pharmaceuticals lagged returns against current returns

 Current and Lagged Values 
      Timeline 

Regeneron Pharmaceuticals regressed lagged prices vs. current prices

 Current vs Lagged Prices 
      Timeline 

Regeneron Pharmaceuticals Lagged Returns

 Regressed Prices 
      Timeline 

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Additionally take a look at Regeneron Pharmaceuticals Hype Analysis, Regeneron Pharmaceuticals Correlation, Regeneron Pharmaceuticals Valuation, Regeneron Pharmaceuticals Volatility as well as analyze Regeneron Pharmaceuticals Alpha and Beta and Regeneron Pharmaceuticals Performance. Please also try Transaction History module to view history of all your transactions and understand their impact on performance.