Zogenix, Inc. (ZGNX) Discounted Future Market Cap

Zogenix, Inc.

ZGNX (NASDAQ)

(%)

Valuation
Zogenix, Inc. Discounted Future Market Cap

"""
    Model: Discounted Future Market Cap

# Render model description
model.render_description(r"""
## Discounted Future Market Cap

This model estimates the intrinsic value of a common share by projecting the Future Market Capitalization using the estimated PE Ratio and then discounting it to the Present using an Annual Required Rate of Return.
""")

# Initialize assumptions
assumptions.init({
    "data": {
        "%discount_rate": None,
        "beta": data.get("profile:beta", default=1),
        "%risk_free_rate": data.get("treasury:year10"),
        "%market_premium": data.get("risk:totalEquityRiskPremium"),
        "pe_ratio": data.get("quote:close") / data.get("income:eps"),
        "%revenue_growth_rate": None,
        "%net_income_margin": None,
        "historical_years": 10,
        "projection_years": 5,
    },
    "hierarchies": [{
        "parent": "%discount_rate",
        "children": ["beta", "%risk_free_rate", "%market_premium"]
    }]
})

# Calculate cost of equity
cost_of_equity = assumptions.get("%risk_free_rate") + assumptions.get("beta") * assumptions.get("%market_premium")
assumptions.set("%discount_rate", cost_of_equity)

# Compute metrics
data.compute({
    "%grossMargin": "income:grossProfit / income:revenue",
    "%operating_margin": "income:operatingIncome / income:revenue",
    "%netMargin": "income:netIncome / income:revenue",
    "%revenueGrowthRate": "function:growth:income:revenue",
    "%netIncomeGrowthRate": "function:growth:income:netIncome",
    "%totalStockholdersEquityGrowthRate": "function:growth:balance:totalStockholdersEquity",

# Calculating NOPAT (Net Operating Profit After Taxes)
    "%taxRate": "income:incomeTaxExpense / income:incomeBeforeTax",
    "incomeTax": "income:operatingIncome * %taxRate",
    "nopat": "income:operatingIncome - incomeTax",

# Calculating Invested Capital
    "investedCapital": [
        "balance:totalNonCurrentAssets", "-", "balance:cashAndCashEquivalents", "+",
        "balance:totalCurrentAssets", "-", "balance:totalCurrentLiabilities"
    ],
    "%roic": "nopat / investedCapital",
})

assumptions.set("%net_income_margin",
                data.average(f"%netMargin:{-assumptions.get('historical_years')}->0"))  # Historical average
assumptions.set("%revenue_growth_rate",
                data.average(f"%revenueGrowthRate:{-assumptions.get('historical_years')}->0"))  # Historical average

# Calculate a linear regression for forecasting revenues
data.compute({
    "linearRegressionRevenue": f"function:linear_regression:income:revenue start:{-assumptions.get('historical_years')}",
}, forecast=assumptions.get("projection_years"))

# Compute forecasted values and ratios
data.compute({
    "income:revenue": f"function:compound:{data.get('linearRegressionRevenue:1')} rate:{assumptions.get('%revenue_growth_rate')} offset:-1",
    "%revenueGrowthRate": "function:growth:income:revenue",
    "income:netIncome": f"income:revenue * {assumptions.get('%net_income_margin')}",
}, forecast=assumptions.get("projection_years"))

projected_revenue = data.get("revenue")
projected_net_income = data.get(f"income:netIncome:{assumptions.get('projection_years')}")

shares_outstanding = data.get("income:weightedAverageShsOut")
future_market_cap = assumptions.get("pe_ratio") * projected_net_income
discounted_future_market_cap = future_market_cap / (
            (1 + assumptions.get("%discount_rate")) ** assumptions.get("projection_years"))

stock_value = discounted_future_market_cap / shares_outstanding

# Set the final value
model.set_final_value({
    "value": stock_value,
    "units": "$"
})

# Render results
model.render_results([
    [stock_value, "Present Value", "$"],
    [projected_net_income, "Estimated net income", "$"],
    [future_market_cap, "Estimated market capitalization", "$"],
    [discounted_future_market_cap, "Market capitalization discounted to present", "$"],
    [shares_outstanding, "Shares Outstanding", "#"],
    [data.get("income:eps"), "Earnings Per Share (EPS)", "$"],
    [data.get("quote:close"), "Market Price", "$"],
    [data.get("ratio:priceEarningsRatio"), "Price to Earnings (PE) Ratio", "#"]
])

# Render chart
model.render_chart({
    "data": {
        "income:revenue": "Revenue",
        "income:netIncome": "Net Income",
        "linearRegressionRevenue": "Linear Regression Revenue"
    },
    "start": -assumptions.get("historical_years"),
    "end": "*",
    "properties": {
        "title": "Historical and forecasted data",
        "number_format": "M",
        "set_editable": [
            "income:revenue",
            "income:netIncome"
        ],
        "hidden_keys": ["linearRegressionRevenue"]
    }
})

# Render table for estimated future values
model.render_table({
    "data": {
        "income:revenue": "Revenue",
        "%revenueGrowthRate": "Revenue Growth Rate",
        "income:netIncome": "Net Income",
    },
    "start": -1,
    "end": "*",
    "properties": {
        "title": "Estimated Future Values",
        "order": "ascending",
        "number_format": "M"
    }
})

# Render historical values table
model.render_table({
    "data": {
        "income:revenue": "Revenue",
        "income:costOfRevenue": "Cost of Revenue",
        "income:grossProfit": "Gross Profit",
        "%grossMargin": "Gross Margin",
        "income:operatingIncome": "Operating Income",
        "%operating_margin": "Operating Margin",
        "income:netIncome": "Net Income",
        "%netMargin": "Net Margin",
    },
    "start": -assumptions.get("historical_years"),
    "end": 0,
    "properties": {
        "title": "Historical Values",
        "display_averages": True,
        "order": "descending",
        "number_format": "M"
    },
})

# Render historical growth rates table
model.render_table({
    "data": {
        "income:revenue": "Revenue",
        "%revenueGrowthRate": "Revenue Growth Rate",
        "income:netIncome": "Net Income",
        "%netMargin": "Net Margin",
        "%netIncomeGrowthRate": "Net Income Growth Rate",
        "balance:totalStockholdersEquity": "Stockholders Equity",
        "%totalStockholdersEquityGrowthRate": "Equity Growth Rate",
        "%roic": "Return on Invested Capital (ROIC)",
        "nopat": "After-tax Operating Income",
        "%taxRate": "Income Tax Rate",
        "investedCapital": "Invested Capital",
    },
    "start": -assumptions.get("historical_years"),
    "end": 0,
    "properties": {
        "title": "Historical Growth Rates",
        "display_averages": True,
        "order": "descending",
        "number_format": "M"
    },
})

# Set description for assumptions
assumptions.set_description({
    "%discount_rate": r"""
        ## Discount Rate

`Discount Rate` = `Cost of Equity` = `Risk Free Rate` + `Beta` * `Market Premium`

The cost of equity is the theoretical rate of return that an equity investment should generate. It is calculated using the CAPM formula.

[Read More](https://www.investopedia.com/terms/c/costofequity.asp#mntl-sc-block_1-0-20)
    """,

"beta": r"""
        ## Beta

Beta is a value that measures the price fluctuations (volatility) of a stock with respect to fluctuations in the overall stock market.
    """,

"%risk_free_rate": r"""
        ## Risk-Free Rate

The risk-free rate represents the interest an investor would expect from an absolutely risk-free investment over a specified period of time.
        By default, it is equal to the current yield of the U.S. 10 Year Treasury Bond.
    """,

"%market_premium": r"""
        ## Market Premium

Market risk premium represents the excess returns over the risk-free rate that investors expect for taking on the incremental risks connected to the equities market.
    """,

"pe_ratio": r"""
        ## Price to Earnings (PE) Ratio

Estimated Price to Earnings (PE) Ratio at the end of the projection period.

`Future Market Cap` = `PE Ratio` * `Projected Net Income`
    """,

"%revenue_growth_rate": r"""
        ## Revenue Growth Rate

The annual revenue growth rate is applied to projected revenue starting from the second projection year onward.
    """,

"%net_income_margin": r"""
        ## Net Income Margin

Net Income expressed as a percentage of Revenue.
    """,

"historical_years": r"""
        ## Historical Years

The number of historical years used to calculate averages for historical data.
    """,

"projection_years": r"""
        ## Projection Years

The number of years for projecting the analysis into the future.
    """,
})

print("End of model.")

Estimated Value

USD

Market Price USD

* Values are not guaranteed, please do your own
research before making investment decisions.

Discounted Future Market Cap

Interactive Assumptions

Discount Rate Discount Rate `Discount Rate` = `Cost of Equity` = `Risk Free Rate` + `Beta` * `Market Premium` The cost of equity is the theoretical rate of return that an equity investment should generate. It is calculated using the CAPM formula. Read More	%
↳ Beta Beta Beta is a value that measures the price fluctuations (volatility) of a stock with respect to fluctuations in the overall stock market.	#
↳ Risk Free Rate Risk-Free Rate The risk-free rate represents the interest an investor would expect from an absolutely risk-free investment over a specified period of time. By default, it is equal to the current yield of the U.S. 10 Year Treasury Bond.	%
↳ Market Premium Market Premium Market risk premium represents the excess returns over the risk-free rate that investors expect for taking on the incremental risks connected to the equities market.	%
Pe Ratio Price to Earnings (PE) Ratio Estimated Price to Earnings (PE) Ratio at the end of the projection period. `Future Market Cap` = `PE Ratio` * `Projected Net Income`	#
Revenue Growth Rate Revenue Growth Rate The annual revenue growth rate is applied to projected revenue starting from the second projection year onward.	%
Net Income Margin Net Income Margin Net Income expressed as a percentage of Revenue.	%
Historical Years Historical Years The number of historical years used to calculate averages for historical data.	#
Projection Years Projection Years The number of years for projecting the analysis into the future.	#

Results
Present Value	1.41 Thou. USD
Estimated net income	-17.76 Bil. USD
Estimated market capitalization	116.4 Bil. USD
Market capitalization discounted to present	78.74 Bil. USD
Shares Outstanding	56 Mil.
Earnings Per Share (EPS)	-4.07 USD
Market Price	26.68 USD
Price to Earnings (PE) Ratio	-6.3

Historical and forecasted data

In Millions of USD

{"sectionId": "section-chart-1", "sectionType": "chart", "title": "Historical and forecasted data", "dates": [2015, 2016, 2017, 2018, 2019, 2020, 2021, 2022, 2023, 2024, 2025, 2026, 2027, 2028, 2029], "series": [{"label": "Revenue", "mappingKey": "income:revenue", "data": [27.18, 28.85, 9.82, 0.0, 3.65, 13.64, 81.69, null, null, null, {"y": 55.28, "oy": 55.28, "e": true, "c": 2025, "g": -32.33, "og": -32.33}, {"y": 108.7, "oy": 108.7, "e": true, "c": 2026, "g": 96.67, "og": 96.67}, {"y": 213.8, "oy": 213.8, "e": true, "c": 2027, "g": 96.67, "og": 96.67}, {"y": 420.5, "oy": 420.5, "e": true, "c": 2028, "g": 96.67, "og": 96.67}, {"y": 827.1, "oy": 827.1, "e": true, "c": 2029, "g": 96.67, "og": 96.67}], "dataType": ".", "numberFormat": "M", "hidden": false}, {"label": "Net Income", "mappingKey": "income:netIncome", "data": [26.14, -69.71, -126.8, -123.9, -419.5, -209.4, -227.4, null, null, null, {"y": -1186, "oy": -1186, "e": true, "c": 2025, "g": 421.9, "og": 421.9}, {"y": -2334, "oy": -2334, "e": true, "c": 2026, "g": 96.67, "og": 96.67}, {"y": -4590, "oy": -4590, "e": true, "c": 2027, "g": 96.67, "og": 96.67}, {"y": -9028, "oy": -9028, "e": true, "c": 2028, "g": 96.67, "og": 96.67}, {"y": -17756, "oy": -17756, "e": true, "c": 2029, "g": 96.67, "og": 96.67}], "dataType": ".", "numberFormat": "M", "hidden": false}, {"label": "Linear Regression Revenue", "mappingKey": "linearRegressionRevenue", "data": [9.95, 14.48, 19.01, 23.55, 28.08, 32.61, 37.15, 41.68, 46.22, 50.75, 55.28, 59.82, 64.35, 68.88, 73.42], "dataType": ".", "numberFormat": "M", "hidden": true}], "editableDates": {"2025": 36, "2026": 37, "2027": 38, "2028": 39, "2029": 40}, "properties": {"number_format": "M", "display_table": true}, "width": "full"}

Edit Chart Values	2025	2026	2027	2028	2029

↳ Growth Rate

Estimated Future Values

amounts of USD except for #	LTM	2025	2026	2027	2028	2029
Revenue	81.69	55.28	108.7	213.8	420.5	827.1
Revenue Growth Rate			96.67%	96.67%	96.67%	96.67%
Net Income	-227.4	-1,187	-2,334	-4,591	-9,029	-17,757

Historical Values

amounts of USD except for #	Average	LTM	2021	2020	2019	2018	2017	2016	2015
Revenue	35.22	81.69	81.69	13.64	3.65	0	9.82	28.85	27.18
Cost of Revenue	11.02	4.83	4.83	0.542	0	0	10.73	22.47	22.7
Gross Profit	25.77	76.86	76.86	13.1	3.65	0	-0.908	6.38	4.48
Gross Margin	59.08%	94.08%	94.08%	96.03%	100%		-9.25%	22.12%	16.49%
Operating Income	-185.4	-212	-212	-247.7	-429.8	-141.2	-119.9	-72.69	-47.73
Operating Margin	-2,252%	-259.5%	-259.6%	-1,816%	-11,780%		-1,221%	-251.9%	-175.6%
Net Income	-172.3	-227.4	-227.4	-209.4	-419.5	-123.9	-126.8	-69.71	26.14
Net Margin	-2,147%	-278.4%	-278.4%	-1,535%	-11,500%		-1,291%	-241.6%	96.18%

Historical Growth Rates

amounts of USD except for #	Average	LTM	2021	2020	2019	2018	2017	2016	2015
Revenue	35.22	81.69	81.69	13.64	3.65	0	9.82	28.85	27.18
Revenue Growth Rate	96.67%		498.8%	274%		-100%	-65.96%	6.14%	-32.94%
Net Income	-172.3	-227.4	-227.4	-209.4	-419.5	-123.9	-126.8	-69.71	26.14
Net Margin	-2,147%	-278.4%	-278.4%	-1,535%	-11,500%		-1,291%	-241.6%	96.18%
Net Income Growth Rate	16.37%		8.61%	-50.09%	238.5%	-2.29%	81.93%	-366.6%	204.5%
Stockholders Equity	262.6	179	179	369.7	245.1	522.8	301.5	120.8	182.8
Equity Growth Rate	52.27%		-51.59%	50.85%	-53.13%	73.39%	149.7%	-33.93%	230.6%
Return on Invested Capital (ROIC)	-77.29%	-78.64%	-78.68%	-56.96%	-171.5%	-30.89%	-113.1%	-59.92%	-28.66%
After-tax Operating Income	-184.7	-212	-212.1	-228.7	-440.4	-161.1	-116.7	-71.7	-34.55
Income Tax Rate	2.84%	-0.024%	-0.046%	7.68%	-2.46%	-14.12%	2.73%	1.36%	27.6%
Invested Capital	257.8	269.6	269.6	401.5	256.8	521.5	103.1	119.6	120.6