Regeneron Pharmaceuticals Backtesting

REGN -- USA Stock  

Quarterly Earning Report: November 5, 2019  

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.
Horizon     30 Days    Login   to change
SymbolX
Backtest

Regeneron Pharmaceuticals 'What if' Analysis

July 18, 2019
0.00
No Change 0.00  0.0 
In 2 months and 31 days
October 16, 2019
0.00
If you would invest  0.00  in Regeneron Pharmaceuticals on July 18, 2019 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 90 days. Regeneron Pharmaceuticals is related to or competes with Vertex Pharmaceuticals, Dr Reddys, Zoetis, Perrigo Company, Origin Agritech. Regeneron Pharmaceuticals, Inc., a biopharmaceutical company, discovers, invents, develops, manufactures, and commercial...

Regeneron Pharmaceuticals Upside/Downside Indicators

Downside Deviation1.87
Information Ratio0.0328
Maximum Drawdown8.75
Value At Risk(2.96)
Potential Upside2.59

Regeneron Pharmaceuticals Market Premium Indicators

Risk Adjusted Performance0.0286
Jensen Alpha0.056
Total Risk Alpha0.0765
Sortino Ratio0.0306
Treynor Ratio0.0354

Regeneron Pharmaceuticals Backtested Returns

We consider Regeneron Pharmaceuticals very steady. Regeneron Pharmaceuticals maintains Sharpe Ratio (i.e. Efficiency) of 0.0109 which implies the corporation had 0.0109% of return per unit of risk over the last 3 months. Our philosophy towards forecasting volatility of a stock is to use all available market data together with stock specific technical indicators that cannot be diversified away. We have found twenty-one technical indicators for Regeneron Pharmaceuticals which you can use to evaluate future volatility of the company. Please check Regeneron Pharmaceuticals Risk Adjusted Performance of 0.0286, Coefficient Of Variation of 4030.6 and Semi Deviation of 1.83 to confirm if risk estimate we provide are consistent with the epected return of 0.0195%. The organization holds Beta of 0.9434 which implies Regeneron Pharmaceuticals returns are very sensitive to returns on the market. as market goes up or down, Regeneron Pharmaceuticals is expected to follow. Although it is extremely important to respect Regeneron Pharmaceuticals current trending patterns, it is better to be realistic regarding the information on 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. By analyzing Regeneron Pharmaceuticals technical indicators you can presently evaluate if the expected return of 0.0195% will be sustainable into the future. Regeneron Pharmaceuticals right now holds a risk of 1.7833%. Please check Regeneron Pharmaceuticals Downside Deviation, Jensen Alpha as well as the relationship between Jensen Alpha and Downside Variance to decide if Regeneron Pharmaceuticals will be following its historical price patterns.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation(0.43) 
correlation synergy

Modest reverse predictability

Regeneron Pharmaceuticals has modest reverse predictability. Overlapping area represents the amount of predictability between Regeneron Pharmaceuticals time series from July 18, 2019 to September 1, 2019 and September 1, 2019 to October 16, 2019. 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 -0.43 indicates that just about 43.0% of current Regeneron Pharmaceuticals price fluctuation can be explain by its past prices. Given that Regeneron Pharmaceuticals has negative autocorrelation for selected time horizon, investors may consider taking a contrarian position regarding future price movement of Regeneron Pharmaceuticals for similar time interval.
Correlation Coefficient-0.43
Spearman Rank Test0.09
Residual Average0.0
Price Variance61.98

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 Portfolio Suggestion module to get suggestions outside of your existing asset allocation including your own model portfolios.
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