Processing
Processing. Please wait...

Theme Landscape

Investment horizon:

30 Days Login to change

This theme covers companies specialized in biotechnology production and delivery of pharmaceuticals services in USA. To change this theme or its current investment horizon please use the panel above and then hit the 'Optimize This Theme' button to continue

Risk and return landscape for Biotech

Saving Account

Market

Theme Equities

Hypothetical Portfolio

Filter Theme

Optimize This Theme

Daily Expected Return (%)

Change Benchmark

Embed

Export

Risk [Daily Volatility] (%)

Build more portfolios

Check other themes

Change country

Assets rated by market efficiency

		Efficiency (Sharpe Ratio)	Risk (Volatility)	Expected Return	Current Price	Advice *
MNKD	MannKind Corp	0.53%	4.85%	2.57%	6.55	Sell
SNTS	Santarus Inc	0.31%	2.93%	0.92%	22.56	Strong Buy
ILMN	Illumina Inc	0.31%	1.71%	0.55%	70.31	Strong Buy
IMGN	ImmunoGen Inc	0.28%	3.02%	0.84%	17.89	Strong Buy
PDLI	PDL BioPharma Inc	0.26%	1.52%	0.40%	8.37	Strong Buy
JAZZ	Jazz Pharmaceuticals Public Limited Company	0.22%	2.39%	0.53%	63.75	Strong Hold
NPSP	NPS Pharmaceuticals Inc	0.21%	2.07%	0.44%	14.91	Buy
QCOR	Questcor Pharmaceuticals Inc	0.19%	4.56%	0.90%	34.86	Buy
CRL	Charles River Laboratories International Inc	0.14%	1.17%	0.17%	44.39	Strong Buy
ACAD	ACADIA Pharmaceuticals Inc	0.10%	2.95%	0.31%	14.19	Strong Hold
IBIO	iBio Inc	0.04%	4.66%	0.21%	0.43	Strong Sell
INCY	Incyte Corporation	0.03%	2.28%	0.07%	23.00	Strong Buy
VPHM	ViroPharma Inc	0.01%	2.09%	0.03%	27.04	Strong Hold
ARNA	Arena Pharmaceuticals Inc	0.01%	3.34%	0.03%	8.30	Hold
LXRX	Lexicon Pharmaceuticals Inc	0.05%	3.02%	0.16%	2.19	Strong Hold
MDVN	Medivation Inc	0.13%	2.09%	0.26%	48.86	Strong Hold
SGEN	Seattle Genetics Inc	0.13%	2.12%	0.27%	34.95	Strong Buy
ADXS	Advaxis Inc	0.18%	10.64%	1.90%	0.04	Strong Hold
ACOR	Acorda Therapeutics Inc	0.44%	1.80%	0.77%	32.67	Hold

* Advice is based on 30 days investment horizon and default level of risk. Use Portfolio Analizer to fine-tune all your assumptions. Check your current assumptions here

Total return distribution analysis

Predicted Return Density

Embed

Export

Returns

Market

Portfolio

Alpha (Return Over Market)

0.05

Beta (Market Sensitivity)

1.25

Efficiency (Sharpe Ratio)

0.22

Risk (Volatility)

1.22

Expected Return

0.28

Technical analysis of total daily returns

Risk Adjusted Performance	0.1097
Market Risk Adjusted Performance	0.1867
Mean Deviation	0.8954
Semi-Deviation	1.26
Downside Deviation	1.54
Coefficient Of Variation	552.15
Standard Deviation	1.27
Variance	1.63
Information Ratio	0.0377
Jensen Alpha	0.0048
Total Risk Alpha	(0.16)
Sortino Ratio	0.0313
Treynor Ratio	0.1767
Maximum Drawdown	4.26
Value At Risk	(2.06)

Biotech Correlation Analysis

	SNTS	LXRX	INCY	IMGN	ILMN	ACOR	MNKD	PDLI	MDVN	ACAD	SGEN	JAZZ	IBIO	NPSP	CRL	VPHM	ARNA
SNTS		0.43	-0.15	0.12	0.15	-0.14	0.17	0.21	0.08	0.23	0.07	0.21	0.05	0.21	0.17	0.14	0.59
LXRX	0.43		0.06	0.13	-0.17	-0.18	0.3	0.14	-0.1	0.26	0.0	-0.24	0.05	-0.06	0.07	0.01	0.25
INCY	-0.15	0.06		0.32	0.24	0.15	0.01	0.11	0.11	0.43	0.53	0.09	-0.3	0.14	0.34	0.46	-0.32
IMGN	0.12	0.13	0.32		0.29	0.2	0.27	0.23	0.43	0.63	0.51	0.33	0.0	0.29	0.0	0.36	0.04
ILMN	0.15	-0.17	0.24	0.29		0.16	-0.06	-0.06	0.01	0.19	0.66	0.21	-0.3	0.37	0.3	0.18	0.04
ACOR	-0.14	-0.18	0.15	0.2	0.16		0.04	0.12	0.12	0.06	0.27	0.06	-0.16	0.37	0.46	0.66	0.14
MNKD	0.17	0.3	0.01	0.27	-0.06	0.04		-0.17	0.07	0.11	0.23	0.37	0.38	0.38	-0.23	0.18	0.14
PDLI	0.21	0.14	0.11	0.23	-0.06	0.12	-0.17		0.7	0.39	0.26	-0.01	-0.57	0.17	0.1	0.26	-0.14
MDVN	0.08	-0.1	0.11	0.43	0.01	0.12	0.07	0.7		0.19	0.32	0.13	-0.26	0.4	-0.1	0.21	-0.12
ACAD	0.23	0.26	0.43	0.63	0.19	0.06	0.11	0.39	0.19		0.32	0.27	-0.3	0.13	0.05	0.33	0.0
SGEN	0.07	0.0	0.53	0.51	0.66	0.27	0.23	0.26	0.32	0.32		0.45	-0.24	0.63	0.23	0.56	-0.14
JAZZ	0.21	-0.24	0.09	0.33	0.21	0.06	0.37	-0.01	0.13	0.27	0.45		0.23	0.37	-0.21	0.29	0.21
IBIO	0.05	0.05	-0.3	0.0	-0.3	-0.16	0.38	-0.57	-0.26	-0.3	-0.24	0.23		-0.04	-0.41	-0.22	0.27
NPSP	0.21	-0.06	0.14	0.29	0.37	0.37	0.38	0.17	0.4	0.13	0.63	0.37	-0.04		0.01	0.53	-0.06
CRL	0.17	0.07	0.34	0.0	0.3	0.46	-0.23	0.1	-0.1	0.05	0.23	-0.21	-0.41	0.01		0.51	-0.01
VPHM	0.14	0.01	0.46	0.36	0.18	0.66	0.18	0.26	0.21	0.33	0.56	0.29	-0.22	0.53	0.51		-0.05
ARNA	0.59	0.25	-0.32	0.04	0.04	0.14	0.14	-0.14	-0.12	0.0	-0.14	0.21	0.27	-0.06	-0.01	-0.05

Click cells to compare fundamentals

Compare Fundamentals

Check Volatility

Backtest As Portfolio

Correlation Matchups

High positive correlations

MDVN	+ 0.7	PDLI
SGEN	+ 0.66	ILMN
VPHM	+ 0.66	ACOR
ACAD	+ 0.63	IMGN
NPSP	+ 0.63	SGEN
ARNA	+ 0.59	SNTS
VPHM	+ 0.56	SGEN
SGEN	+ 0.53	INCY

Insignificant Correlation

SGEN	- 0.0	LXRX
IBIO	- 0.0	IMGN
CRL	- 0.0	IMGN
ARNA	- 0.0	ACAD

ARNA	+ 0.0	ACAD
CRL	+ 0.0	IMGN
IBIO	+ 0.0	IMGN
SGEN	+ 0.0	LXRX

High negative correlations

IBIO	- 0.57	PDLI
CRL	- 0.41	IBIO
ARNA	- 0.32	INCY
IBIO	- 0.3	ACAD
IBIO	- 0.3	ILMN
IBIO	- 0.3	INCY
IBIO	- 0.26	MDVN
IBIO	- 0.24	SGEN

Weakest Diversification

Strongest Diversification

Weakest Diversification

Assets performance indicators

	Mean Deviation	Jensen Alpha	Sortino Ratio	Treynor Ratio	Semi Deviation	Information Ratio	Expected Shortfall	Potential Upside	Value At Risk	Maximum Drawdown
SNTS	2.15	0.45	0.38	0.34	1.30	0.25	(2.84)	4.11	(2.63)	12.90	Backtest
ADXS	6.75	(4.32)	(0.09)	(0.14)	24.36	(0.19)	(20.00)	20.00	(20.00)	40.00	Backtest
LXRX	1.95	(0.27)	(0.08)	(0.28)	4.00	(0.11)	(1.96)	3.08	(2.50)	10.96	Backtest
INCY	1.88	(0.09)	(0.05)	0.07	2.29	(0.05)	(1.95)	3.74	(2.93)	7.96	Backtest
IMGN	2.23	0.71	0.23	1.19	2.27	0.21	(2.70)	4.48	(3.18)	14.64	Backtest
ILMN	1.39	0.19	0.25	0.27	0.79	0.21	(1.62)	3.37	(1.69)	6.80	Backtest
ACOR	1.53	(0.78)	(0.36)	78.38	3.06	(0.52)	(0.87)	1.26	(3.88)	6.15	Backtest
MNKD	3.65	2.85	0.93	(1.49)	0.82	0.48	(4.54)	11.31	(2.24)	10.73	Backtest
PDLI	1.13	0.20	0.16	0.36	0.92	0.14	(1.32)	1.95	(1.94)	6.37	Backtest
MDVN	1.69	(0.36)	(0.19)	(0.52)	2.73	(0.21)	(1.57)	3.32	(3.68)	7.36	Backtest
ACAD	2.30	0.10	0.04	0.26	2.64	0.04	(2.40)	5.66	(3.16)	9.31	Backtest
QCOR	3.36	0.50	0.18	0.39	3.18	0.15	(4.17)	8.54	(3.99)	22.52	Backtest
SGEN	1.64	(0.64)	(0.19)	(0.14)	2.70	(0.21)	(1.62)	3.29	(3.69)	8.80	Backtest
JAZZ	1.67	0.48	0.09	2.08	2.11	0.14	(1.52)	3.51	(1.94)	10.67	Backtest
IBIO	3.85	0.97	0.01	(0.05)	4.12	0.0067	(4.92)	6.98	(5.00)	15.87	Backtest
NPSP	1.73	0.24	0.11	0.40	1.77	0.12	(1.87)	3.23	(3.20)	6.88	Backtest
CRL	0.90	0.03	(0.01)	0.22	1.23	(0.0084)	(0.93)	1.77	(2.16)	4.76	Backtest
VPHM	1.59	(0.20)	(0.05)	0.02	2.87	(0.07)	(1.38)	2.27	(2.33)	7.79	Backtest
ARNA	1.98	0.03	(0.05)	(2.35)	2.96	(0.04)	(2.45)	2.98	(3.05)	13.96	Backtest

Content

Thanks for checking out Macroaxis

Tell us what you like and what you don't like. We promise we'll not only listen but write you back

Contact Us

Macroaxis is user-driven community of investors. We appreciate any feedback or comment you can provide. Please fill out our quick survey to help us provide your with a better service and user experience

Fill Out Quick Survey

Most of the functionality on our site is free to use. However we do provide premium service to sophisticated investors. Our premium subscription will give you unprecedented capabilities to optimize your portfolios using robust financial analysis toolkit, fast mean-variance optimization engine, and proven portfolio theory

Go Premium