Apple (AAPL)

TotalReturn:

'The total return on a portfolio of investments takes into account not only the capital appreciation on the portfolio, but also the income received on the portfolio. The income typically consists of interest, dividends, and securities lending fees. This contrasts with the price return, which takes into account only the capital gain on an investment.'

• Compared with the benchmark SPY (95.4%) in the period of the last 5 years, the total return, or increase in value of 110.5% of Apple is larger, thus better.
• Looking at total return, or performance in of 112.4% in the period of the last 3 years, we see it is relatively greater, thus better in comparison to SPY (85.5%).

CAGR:

'The compound annual growth rate (CAGR) is a useful measure of growth over multiple time periods. It can be thought of as the growth rate that gets you from the initial investment value to the ending investment value if you assume that the investment has been compounding over the time period.'

• Looking at the annual return (CAGR) of 16.1% in the last 5 years of Apple, we see it is relatively higher, thus better in comparison to the benchmark SPY (14.4%)
• Looking at compounded annual growth rate (CAGR) in of 28.7% in the period of the last 3 years, we see it is relatively larger, thus better in comparison to SPY (23%).

Volatility:

'Volatility is a statistical measure of the dispersion of returns for a given security or market index. Volatility can either be measured by using the standard deviation or variance between returns from that same security or market index. Commonly, the higher the volatility, the riskier the security. In the securities markets, volatility is often associated with big swings in either direction. For example, when the stock market rises and falls more than one percent over a sustained period of time, it is called a 'volatile' market.'

• Looking at the 30 days standard deviation of 27.9% in the last 5 years of Apple, we see it is relatively greater, thus worse in comparison to the benchmark SPY (17.1%)
• During the last 3 years, the historical 30 days volatility is 25.7%, which is higher, thus worse than the value of 15.3% from the benchmark.

DownVol:

'Risk measures typically quantify the downside risk, whereas the standard deviation (an example of a deviation risk measure) measures both the upside and downside risk. Specifically, downside risk in our definition is the semi-deviation, that is the standard deviation of all negative returns.'

• The downside risk over 5 years of Apple is 18.8%, which is larger, thus worse compared to the benchmark SPY (11.8%) in the same period.
• During the last 3 years, the downside deviation is 16.8%, which is higher, thus worse than the value of 10.2% from the benchmark.

Sharpe:

'The Sharpe ratio (also known as the Sharpe index, the Sharpe measure, and the reward-to-variability ratio) is a way to examine the performance of an investment by adjusting for its risk. The ratio measures the excess return (or risk premium) per unit of deviation in an investment asset or a trading strategy, typically referred to as risk, named after William F. Sharpe.'

• Looking at the risk / return profile (Sharpe) of 0.49 in the last 5 years of Apple, we see it is relatively lower, thus worse in comparison to the benchmark SPY (0.7)
• During the last 3 years, the ratio of return and volatility (Sharpe) is 1.02, which is lower, thus worse than the value of 1.34 from the benchmark.

Sortino:

'The Sortino ratio measures the risk-adjusted return of an investment asset, portfolio, or strategy. It is a modification of the Sharpe ratio but penalizes only those returns falling below a user-specified target or required rate of return, while the Sharpe ratio penalizes both upside and downside volatility equally. Though both ratios measure an investment's risk-adjusted return, they do so in significantly different ways that will frequently lead to differing conclusions as to the true nature of the investment's return-generating efficiency. The Sortino ratio is used as a way to compare the risk-adjusted performance of programs with differing risk and return profiles. In general, risk-adjusted returns seek to normalize the risk across programs and then see which has the higher return unit per risk.'

• Compared with the benchmark SPY (1.01) in the period of the last 5 years, the ratio of annual return and downside deviation of 0.72 of Apple is smaller, thus worse.
• Looking at excess return divided by the downside deviation in of 1.56 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (2.01).

Ulcer:

'The ulcer index is a stock market risk measure or technical analysis indicator devised by Peter Martin in 1987, and published by him and Byron McCann in their 1989 book The Investors Guide to Fidelity Funds. It's designed as a measure of volatility, but only volatility in the downward direction, i.e. the amount of drawdown or retracement occurring over a period. Other volatility measures like standard deviation treat up and down movement equally, but a trader doesn't mind upward movement, it's the downside that causes stress and stomach ulcers that the index's name suggests.'

• Compared with the benchmark SPY (8.42 ) in the period of the last 5 years, the Ulcer Ratio of 12 of Apple is higher, thus worse.
• Looking at Downside risk index in of 9.71 in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (3.51 ).

MaxDD:

'Maximum drawdown is defined as the peak-to-trough decline of an investment during a specific period. It is usually quoted as a percentage of the peak value. The maximum drawdown can be calculated based on absolute returns, in order to identify strategies that suffer less during market downturns, such as low-volatility strategies. However, the maximum drawdown can also be calculated based on returns relative to a benchmark index, for identifying strategies that show steady outperformance over time.'

• Looking at the maximum DrawDown of -33.4 days in the last 5 years of Apple, we see it is relatively lower, thus worse in comparison to the benchmark SPY (-24.5 days)
• Looking at maximum DrawDown in of -33.4 days in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (-18.8 days).

MaxDuration:

'The Drawdown Duration is the length of any peak to peak period, or the time between new equity highs. The Max Drawdown Duration is the worst (the maximum/longest) amount of time an investment has seen between peaks (equity highs). Many assume Max DD Duration is the length of time between new highs during which the Max DD (magnitude) occurred. But that isn’t always the case. The Max DD duration is the longest time between peaks, period. So it could be the time when the program also had its biggest peak to valley loss (and usually is, because the program needs a long time to recover from the largest loss), but it doesn’t have to be'

• Looking at the maximum days below previous high of 354 days in the last 5 years of Apple, we see it is relatively smaller, thus better in comparison to the benchmark SPY (488 days)
• Looking at maximum time in days below previous high water mark in of 202 days in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to SPY (87 days).

AveDuration:

'The Drawdown Duration is the length of any peak to peak period, or the time between new equity highs. The Avg Drawdown Duration is the average amount of time an investment has seen between peaks (equity highs), or in other terms the average of time under water of all drawdowns. So in contrast to the Maximum duration it does not measure only one drawdown event but calculates the average of all.'

• The average days under water over 5 years of Apple is 91 days, which is lower, thus better compared to the benchmark SPY (119 days) in the same period.
• Compared with SPY (21 days) in the period of the last 3 years, the average time in days below previous high water mark of 54 days is higher, thus worse.