Description

Automatic Data Processing, Inc. - Common Stock

Statistics (YTD)

What do these metrics mean? [Read More] [Hide]

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.'

Using this definition on our asset we see for example:
  • The total return, or performance over 5 years of Automatic Data Processing is 81.8%, which is lower, thus worse compared to the benchmark SPY (83.6%) in the same period.
  • Compared with SPY (36.9%) in the period of the last 3 years, the total return, or increase in value of 27.1% is smaller, thus worse.

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.'

Applying this definition to our asset in some examples:
  • Looking at the annual return (CAGR) of 12.7% in the last 5 years of Automatic Data Processing, we see it is relatively lower, thus worse in comparison to the benchmark SPY (12.9%)
  • During the last 3 years, the compounded annual growth rate (CAGR) is 8.3%, which is smaller, thus worse than the value of 11.1% from the benchmark.

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.'

Using this definition on our asset we see for example:
  • The historical 30 days volatility over 5 years of Automatic Data Processing is 26.2%, which is greater, thus worse compared to the benchmark SPY (18.8%) in the same period.
  • Looking at 30 days standard deviation in of 30.1% in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to SPY (22.4%).

DownVol:

'The downside volatility is similar to the volatility, or standard deviation, but only takes losing/negative periods into account.'

Using this definition on our asset we see for example:
  • Compared with the benchmark SPY (13.7%) in the period of the last 5 years, the downside deviation of 18.8% of Automatic Data Processing is greater, thus worse.
  • During the last 3 years, the downside deviation is 21.8%, which is greater, thus worse than the value of 16.5% from the benchmark.

Sharpe:

'The Sharpe ratio was developed by Nobel laureate William F. Sharpe, and is used to help investors understand the return of an investment compared to its risk. The ratio is the average return earned in excess of the risk-free rate per unit of volatility or total risk. Subtracting the risk-free rate from the mean return allows an investor to better isolate the profits associated with risk-taking activities. One intuition of this calculation is that a portfolio engaging in 'zero risk' investments, such as the purchase of U.S. Treasury bills (for which the expected return is the risk-free rate), has a Sharpe ratio of exactly zero. Generally, the greater the value of the Sharpe ratio, the more attractive the risk-adjusted return.'

Using this definition on our asset we see for example:
  • The risk / return profile (Sharpe) over 5 years of Automatic Data Processing is 0.39, which is lower, thus worse compared to the benchmark SPY (0.55) in the same period.
  • Looking at Sharpe Ratio in of 0.19 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (0.38).

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.'

Applying this definition to our asset in some examples:
  • The ratio of annual return and downside deviation over 5 years of Automatic Data Processing is 0.54, which is smaller, thus worse compared to the benchmark SPY (0.76) in the same period.
  • During the last 3 years, the ratio of annual return and downside deviation is 0.27, which is lower, thus worse than the value of 0.52 from the benchmark.

Ulcer:

'Ulcer Index is a method for measuring investment risk that addresses the real concerns of investors, unlike the widely used standard deviation of return. UI is a measure of the depth and duration of drawdowns in prices from earlier highs. Using Ulcer Index instead of standard deviation can lead to very different conclusions about investment risk and risk-adjusted return, especially when evaluating strategies that seek to avoid major declines in portfolio value (market timing, dynamic asset allocation, hedge funds, etc.). The Ulcer Index was originally developed in 1987. Since then, it has been widely recognized and adopted by the investment community. According to Nelson Freeburg, editor of Formula Research, Ulcer Index is “perhaps the most fully realized statistical portrait of risk there is.'

Applying this definition to our asset in some examples:
  • Looking at the Ulcer Ratio of 8.86 in the last 5 years of Automatic Data Processing, we see it is relatively greater, thus worse in comparison to the benchmark SPY (5.78 )
  • During the last 3 years, the Ulcer Ratio is 11 , which is greater, thus worse than the value of 7.07 from the benchmark.

MaxDD:

'A maximum drawdown is the maximum loss from a peak to a trough of a portfolio, before a new peak is attained. Maximum Drawdown is an indicator of downside risk over a specified time period. It can be used both as a stand-alone measure or as an input into other metrics such as 'Return over Maximum Drawdown' and the Calmar Ratio. Maximum Drawdown is expressed in percentage terms.'

Applying this definition to our asset in some examples:
  • Compared with the benchmark SPY (-33.7 days) in the period of the last 5 years, the maximum drop from peak to valley of -39.5 days of Automatic Data Processing is lower, thus worse.
  • Compared with SPY (-33.7 days) in the period of the last 3 years, the maximum drop from peak to valley of -39.5 days is smaller, thus worse.

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) in days.'

Applying this definition to our asset in some examples:
  • Looking at the maximum time in days below previous high water mark of 153 days in the last 5 years of Automatic Data Processing, we see it is relatively larger, thus worse in comparison to the benchmark SPY (139 days)
  • During the last 3 years, the maximum days below previous high is 153 days, which is greater, thus worse than the value of 139 days from the benchmark.

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.'

Using this definition on our asset we see for example:
  • Looking at the average days below previous high of 37 days in the last 5 years of Automatic Data Processing, we see it is relatively larger, thus worse in comparison to the benchmark SPY (37 days)
  • During the last 3 years, the average days under water is 38 days, which is lower, thus better than the value of 45 days from the benchmark.

Performance (YTD)

Historical returns have been extended using synthetic data.

Allocations
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Allocations

Returns (%)

  • Note that yearly returns do not equal the sum of monthly returns due to compounding.
  • Performance results of Automatic Data Processing are hypothetical, do not account for slippage, fees or taxes, and are based on backtesting, which has many inherent limitations, some of which are described in our Terms of Use.