Regeneron Pharmaceuticals Risk Analysis And Volatility

REGN -- USA Stock  

Earning Report: November 5, 2019  

We consider Regeneron Pharmaceuticals very steady. Regeneron Pharmaceuticals maintains Sharpe Ratio (i.e. Efficiency) of 0.014 which implies the corporation had 0.014% 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-seven technical indicators for Regeneron Pharmaceuticals which you can use to evaluate future volatility of the company. Please check Regeneron Pharmaceuticals Coefficient Of Variation of 4441.41, Semi Deviation of 1.8 and Risk Adjusted Performance of 0.0264 to confirm if risk estimate we provide are consistent with the epected return of 0.023%.
Interest Expense

90 Days Market Risk

Very steady

Chance of Distress in 24 months

Very Small

90 Days Economic Sensitivity

Almost mirrors market
Horizon     30 Days    Login   to change

Regeneron Pharmaceuticals Market Sensitivity

Regeneron Pharmaceuticals returns are very sensitive to returns on the market. As market goes up or down, Regeneron Pharmaceuticals is expected to follow.
3 Months Beta |Analyze Regeneron Pharmaceuticals Demand Trend
Check current 30 days Regeneron Pharmaceuticals correlation with market (DOW)
β = 0.9335

Regeneron Pharmaceuticals Central Daily Price Deviation

Regeneron Pharmaceuticals Technical Analysis

Transformation
The output start index for this execution was zero with a total number of output elements of sixty-one. Regeneron Pharmaceuticals Average Price is the average of the sum of open, high, low and close daily prices of a bar. It can be used to smooth an indicator that normally takes just the closing price as input. View also all equity analysis or get more info about average price price transform indicator.

Regeneron Pharmaceuticals Projected Return Density Against Market

Given the investment horizon of 30 days, Regeneron Pharmaceuticals has beta of 0.9335 . This implies Regeneron Pharmaceuticals market returns are very sensitive to returns on the market. As the market goes up or down, Regeneron Pharmaceuticals is expected to follow. Moreover, The company has an alpha of 0.0544 implying that it can potentially generate 0.0544% excess return over DOW after adjusting for the inherited market risk (beta).
 Predicted Return Density 
      Returns 
Given the investment horizon of 30 days, the coefficient of variation of Regeneron Pharmaceuticals is 7133.66. The daily returns are destributed with a variance of 2.69 and standard deviation of 1.64. The mean deviation of Regeneron Pharmaceuticals is currently at 1.32. For similar time horizon, the selected benchmark (DOW) has volatility of 0.98
α
Alpha over DOW
=0.05
β
Beta against DOW=0.93
σ
Overall volatility
=1.64
Ir
Information ratio =0.0321

Regeneron Pharmaceuticals Return Volatility

the corporation inherits 1.6403% risk (volatility on return distribution) over the 30 days horizon. the entity inherits 0.9874% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

Regeneron Pharmaceuticals Investment Opportunity

Regeneron Pharmaceuticals has a volatility of 1.64 and is 1.66 times more volatile than DOW. 14  of all equities and portfolios are less risky than Regeneron Pharmaceuticals. Compared to the overall equity markets, volatility of historical daily returns of Regeneron Pharmaceuticals is lower than 14 () of all global equities and portfolios over the last 30 days. Use Regeneron Pharmaceuticals to enhance returns of your portfolios. The stock experiences large bullish trend. Check odds of Regeneron Pharmaceuticals to be traded at $335.84 in 30 days. . Regeneron Pharmaceuticals returns are very sensitive to returns on the market. As market goes up or down, Regeneron Pharmaceuticals is expected to follow.

Regeneron Pharmaceuticals correlation with market

correlation synergy
Very weak diversification
Overlapping area represents the amount of risk that can be diversified away by holding Regeneron Pharmaceuticals Inc and equity matching DJI index in the same portfolio.

Regeneron Pharmaceuticals Current Risk Indicators

Regeneron Pharmaceuticals Suggested Diversification Pairs

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