Illumina, Inc. (ILMN)
Quantitative Summary
DeterministicAt 29.6x earnings — a 55% discount to the sector average of 65.2x — ILMN is in the lower valuation range. Financial health metrics are strong: Piotroski 7/9, Altman Z 4.3 (above 3.0 safe zone threshold). DCF fair value of $108 implies 15% downside based on model assumptions.
Generated deterministically from quant metrics and financial statements. Not a recommendation.
Algorithmic Teardown
AI-GeneratedIllumina demonstrates robust capital efficiency with an ROIC of 18.5% significantly exceeding its WACC of 13.3%, generating a +5.2% spread that indicates strong value creation potential despite recent revenue contraction of -0.7%. The DuPont decomposition reveals this return is driven primarily by high net margins at 19.6% and elevated leverage via an equity multiplier of 2.44x, rather than asset turnover which sits modestly at 0.65x. Credit metrics further underscore financial stability; the Altman Z-Score of 4.4 signals a low probability of bankruptcy while the Beneish M-Score of -2.50 suggests earnings are unlikely to be manipulated, and a Piotroski F-Score of 7/9 reflects strong fundamental quality relative to peers.
Valuation analysis presents a divergence between market pricing and intrinsic value models. While the current P/E multiple of 23.4x trades at a discount to the sector average of 36.8x, suggesting some mean reversion has occurred, the DCF fair value calculation implies a -13.4% downside from current levels based on an assumed ten-year free cash flow growth rate of 17.5%. This discrepancy indicates that while the stock appears cheap relative to historical sector norms, specific model inputs regarding future cash generation may not yet be fully reflected in the price or could imply over-optimism about long-term expansion capabilities given the recent revenue decline.
Risk factors appear elevated by factor-based metrics and insider activity. The security exhibits negative Fama-French alpha of -8.48% annually, accompanied by a Value Factor (HML) of -0.462 indicating a growth tilt that has underperformed value strategies, alongside a Profitability Factor (RMW) delta of -0.764 highlighting weak profitability relative to the factor universe. Compounding these quantitative signals is insider flow data showing $407,001 in net selling over the past 90 days, which aligns with the negative momentum factors and warrants close monitoring for potential capital preservation concerns among management or major shareholders.
Generated by LLM from quantitative data inputs. May contain inaccuracies. Not investment advice.
DCF Sandbox
Interactive5-year two-stage DCF. Terminal growth 3%. Default sliders match the pre-computed base case. Drag to explore scenarios. Not investment advice.
The growth rate the market implicitly expects over the next 10 years to justify today's price. Compare with historical growth of -1% YoY revenue.
Sensitivity Matrix
| TG ↓ / WACC → | 11.2% | 13.2% | 15.2% |
|---|---|---|---|
| 2% | $125 | $100 | $83 |
| 3% | $137 | $108 | $88 |
| 4% | $153 | $117 | $94 |
Center = base case. Green = >10% upside, Red = >10% downside vs $162.55.
Pre-computed DCF: WACC=13.2%, terminal growth 3%. Fair value $108 (-15.1%). Not investment advice.
Valuation Context
Currently trading 48% below its 5-year average P/E of 43.0x.
Price Chart with Moving Averages
Technical Setup
AI GeneratedThe current price level of $144.83 for Illumina, Inc. sits within a context where Short-Term Moving Averages appear to be intersecting with Long-Term counterparts, suggesting a potential shift in momentum that often precedes significant capital rotation. When these averages converge or cross, it frequently indicates that institutional algorithms are recalibrating their exposure based on evolving valuation metrics rather than immediate retail sentiment. The absence of sustained volume expansion accompanying recent price movements may imply that large market participants are currently accumulating positions quietly or waiting for a clearer directional signal before committing substantial liquidity to either side. Institutional positioning often relies heavily on the stability of support levels, and if the stock is holding near these technical thresholds without breaking down, it could suggest defensive accumulation by entities seeking exposure to the healthcare sector at discounted valuations. Conversely, any failure to maintain above critical moving average lines might signal that larger players are reducing leverage or rotating capital toward assets with stronger relative strength profiles. The interplay between price action and volume trends here serves as a barometer for market depth; thin trading alongside volatile swings can indicate uncertainty among sophisticated traders regarding the company's near-term catalysts, while heavy turnover would typically confirm a decisive change in consensus outlook. Ultimately, these technical patterns reflect the dynamic process of large capital reallocating assets rather than providing a definitive direction on future price performance.
Quant Health Deep Dive
Profitability & Value Creation
DuPont Analysis — ROE Decomposition
Breaking down Return on Equity to see how the company generates its ROE — efficiency, margins, or leverage.
Balance Sheet Health
Insider Activity (Last 90 Days)
Open-market buys vs sells by company insiders. Source: yfinance.
Earnings Surprise History
EPS estimates vs actuals for the most recent reported quarters. Source: yfinance.
Risk Profile
Sharpe = risk-adjusted return (higher is better). Max drawdown = largest peak-to-trough decline. 1,200+ trading days.
Underwater (Drawdown from Peak)
How far below the all-time high the price has been over time. Deeper = more pain for holders.
Rolling 60-Day Beta vs S&P 500 (VOO)
How the stock's sensitivity to market moves changes over time. β > 1 = more volatile than the market.
Fama-French 5-Factor Exposure
Academic factor model decomposition — what's really driving this stock's returns.
Fama-French 5-Factor Model. Data: Kenneth French Data Library. Regression over 3 years of daily returns.
Fundamentals
Passive Flow Attribution
ETF Draft EffectWhen investors buy or sell ETFs like ARKG or ARKK, the fund manager is mechanically forced to buy or sell ILMN shares regardless of Illumina, Inc.'s individual fundamentals. We estimate $2.0B of passive capital is structurally linked to ILMN through 8 tracked ETFs. Index rebalances and ETF creation/redemption cycles can create noticeable volume spikes unrelated to company news.
Passive exposure = Σ (ETF AUM × stock weight in ETF) across 8 tracked ETFs. Actual passive ownership is larger (includes mutual funds). Not investment advice.
ETF Contagion Visualizer
Simulate a price drop in Illumina, Inc. to visualize passive redemption contagion across ETFs and collateral stocks.
If Illumina, Inc. (ILMN) experiences a significant drawdown, ETF redemptions can create collateral selling pressure on co-held stocks. Our model identifies CRISPR THERAPEUTICS AG (CRSP) as the most exposed collateral stock, sharing 2 ETFs with ILMN. This is the "Passive Contagion" effect described in the Inelastic Market Hypothesis.
Contagion model based on shared ETF exposure and constituent weights across 19 tracked ETFs. Estimated selling pressure is a simplified model — actual impact depends on market liquidity, ETF redemption mechanics, and market-maker activity.
ILMN Ownership Dynamics
Passive funds hold 1 in every 10 ILMN shares, reducing daily market volatility.
Illumina, Inc. (ILMN) exerts measurable gravity on the passive index market, currently representing 4.5% of the ARK Genomic Revolution ETF (ARKG) and 1.4% of the ARK Innovation ETF (ARKK). Across 19 tracked ETFs, approximately 16M shares (10.3% of float) are held by passive funds and rarely trade on the open market. This level of passive ownership means index rebalances can create outsized volume events.
ETFs with Highest ILMN Exposure
Float lock-up computed from 19 ETFs tracked by SecuritiesDB. Actual passive ownership is higher (includes mutual funds, pension funds, etc.).
ILMN Institutional Volume Profile
252-day volume distribution by price level. The Point of Control (POC) marks — the price where the most institutional volume transacted — an implicit support/resistance floor.
The highest-volume price zone for Illumina, Inc. over the past year sits near $98.41 (16% of 252-day volume). The current price of $162.55 trades 65.2% above this institutional floor — a sign of upside momentum, though a pullback to the POC zone is a common reversion target. The highly concentrated volume profile (16% at POC) indicates strong consensus on fair value — institutional participants have repeatedly transacted near this price.
Volume Profile computed from 252 trading days of OHLCV data. Volume allocated to price bins proportionally based on daily high-low range. Not investment advice.
ILMN Capital Efficiency
How efficiently does Illumina, Inc. convert operating profits into free cash? The FCF Conversion ratio measures the gap between accounting earnings and real cash generation.
Illumina, Inc. converts 64% of its EBITDA into free cash flow, an exceptional conversion rate indicating an asset-light business model with minimal capital reinvestment drag. The positive ROIC-WACC spread of 5.3% confirms that reinvested capital creates shareholder value.
Capital efficiency = Free Cash Flow ÷ EBITDA. Reinvestment = (EBITDA − FCF) ÷ EBITDA. Metrics from latest annual filings. Not investment advice.
Fails-to-Deliver (FTD) History
SEC-reported settlement failures. Elevated FTDs can indicate high short-selling pressure, operational settlement issues, or naked shorting activity.
| Date | Failed Shares | Close Price | Notional Value |
|---|---|---|---|
| 2026-05-12 | 151 | $142.51 | $21,519.01 |
| 2026-05-06 | 11 | $139.07 | $1,529.77 |
| 2026-05-05 | 16 | $139.37 | $2,229.92 |
| 2026-04-15 | 3 | $130.32 | $390.96 |
| 2026-04-14 | 316 | $126.96 | $40,119.36 |
| 2026-04-06 | 2 | $127.38 | $254.76 |
| 2026-03-31 | 256 | $120.81 | $30,927.36 |
| 2026-03-27 | 1,080 | $124.40 | $134,352 |
| 2026-03-25 | 54 | $125.98 | $6,802.92 |
| 2026-03-24 | 367 | $123.79 | $45,430.93 |
| 2026-03-19 | 34,132 | $122.95 | $4.2M |
| 2026-03-18 | 5 | $120.84 | $604.2 |
| 2026-03-17 | 5,765 | $119.28 | $687,649.2 |
| 2026-03-09 | 725 | $124.62 | $90,349.5 |
| 2026-03-05 | 48 | $128.97 | $6,190.56 |
| 2026-03-04 | 309 | $129.56 | $40,034.04 |
| 2026-03-03 | 52 | $132.89 | $6,910.28 |
| 2026-03-02 | 20,583 | $134.46 | $2.8M |
| 2026-02-25 | 2,422 | $122.90 | $297,663.8 |
| 2026-02-18 | 3,739 | $116.51 | $435,630.89 |
| 2026-02-17 | 3,969 | $116.81 | $463,618.89 |
| 2026-01-26 | 13,833 | $150.28 | $2.1M |
| 2026-01-23 | 2,919 | $153.95 | $449,380.05 |
| 2026-01-22 | 2,969 | $152.48 | $452,713.12 |
| 2026-01-21 | 2,959 | $147.17 | $435,476.03 |
| 2026-01-20 | 68 | $141.65 | $9,632.2 |
| 2026-01-14 | 4,824 | $146.99 | $709,079.76 |
| 2026-01-13 | 6,899 | $145.55 | $1.0M |
| 2026-01-12 | 19,335 | $141.07 | $2.7M |
| 2026-01-08 | 840 | $150.14 | $126,117.6 |
Source: SEC Regulation SHO FTD data. Data is reported with a ~30 day delay. High FTD quantities relative to average daily volume may indicate settlement stress.
Price Correlations
Statistical correlation of daily returns with other stocks. High correlations indicate stocks that move together; negative correlations can offer diversification.
| Peer | 252-Day (1Y) | 126-Day (6M) | Direction |
|---|---|---|---|
| WTGXX | NaN | NaN | |
| A | 0.585 | 0.429 | Moderate |
| TXG | 0.579 | 0.430 | Moderate |
| MTD | 0.572 | 0.397 | Moderate |
| TMO | 0.563 | 0.408 | Moderate |
| DHR | 0.506 | 0.299 | Moderate |
| IQV | 0.501 | 0.297 | Moderate |
| PACB | 0.474 | 0.497 | Moderate |
| WAT | 0.451 | 0.284 | Moderate |
| VCYT | 0.432 | 0.347 | Moderate |
Pearson correlation of daily log returns. 252d ≈ 1 trading year. Computed from price history. Not investment advice.
Compare ILMN to Peers
Quant metrics computed deterministically from financial statements and price data. Updated: 2026-06-02.
SecuritiesDB provides programmatic data aggregation for informational purposes only. None of the metrics, summaries, or algorithmic flags constitute a recommendation to buy or sell any security.