Automatic Data Processing (ADP)

TotalReturn:

'Total return is the amount of value an investor earns from a security over a specific period, typically one year, when all distributions are reinvested. Total return is expressed as a percentage of the amount invested. For example, a total return of 20% means the security increased by 20% of its original value due to a price increase, distribution of dividends (if a stock), coupons (if a bond) or capital gains (if a fund). Total return is a strong measure of an investment’s overall performance.'

• Looking at the total return of 62.7% in the last 5 years of Automatic Data Processing, we see it is relatively lower, thus worse in comparison to the benchmark SPY (102.5%)
• Compared with SPY (74.7%) in the period of the last 3 years, the total return, or increase in value of 3.1% is smaller, thus worse.

CAGR:

'The compound annual growth rate isn't a true return rate, but rather a representational figure. It is essentially a number that describes the rate at which an investment would have grown if it had grown the same rate every year and the profits were reinvested at the end of each year. In reality, this sort of performance is unlikely. However, CAGR can be used to smooth returns so that they may be more easily understood when compared to alternative investments.'

• The compounded annual growth rate (CAGR) over 5 years of Automatic Data Processing is 10.3%, which is lower, thus worse compared to the benchmark SPY (15.2%) in the same period.
• During the last 3 years, the annual performance (CAGR) is 1%, which is lower, thus worse than the value of 20.6% from the benchmark.

Volatility:

'Volatility is a rate at which the price of a security increases or decreases for a given set of returns. Volatility is measured by calculating the standard deviation of the annualized returns over a given period of time. It shows the range to which the price of a security may increase or decrease. Volatility measures the risk of a security. It is used in option pricing formula to gauge the fluctuations in the returns of the underlying assets. Volatility indicates the pricing behavior of the security and helps estimate the fluctuations that may happen in a short period of time.'

• The 30 days standard deviation over 5 years of Automatic Data Processing is 21.1%, which is greater, thus worse compared to the benchmark SPY (17.1%) in the same period.
• Looking at volatility in of 19.2% in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to SPY (15.6%).

DownVol:

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

• Looking at the downside deviation of 15.2% in the last 5 years of Automatic Data Processing, we see it is relatively greater, thus worse in comparison to the benchmark SPY (11.8%)
• Looking at downside volatility in of 14.5% in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (10.4%).

Sharpe:

'The Sharpe ratio is the measure of risk-adjusted return of a financial portfolio. Sharpe ratio is a measure of excess portfolio return over the risk-free rate relative to its standard deviation. Normally, the 90-day Treasury bill rate is taken as the proxy for risk-free rate. A portfolio with a higher Sharpe ratio is considered superior relative to its peers. The measure was named after William F Sharpe, a Nobel laureate and professor of finance, emeritus at Stanford University.'

• Compared with the benchmark SPY (0.74) in the period of the last 5 years, the ratio of return and volatility (Sharpe) of 0.37 of Automatic Data Processing is smaller, thus worse.
• During the last 3 years, the ratio of return and volatility (Sharpe) is -0.08, which is lower, thus worse than the value of 1.16 from the benchmark.

Sortino:

'The Sortino ratio, a variation of the Sharpe ratio only factors in the downside, or negative volatility, rather than the total volatility used in calculating the Sharpe ratio. The theory behind the Sortino variation is that upside volatility is a plus for the investment, and it, therefore, should not be included in the risk calculation. Therefore, the Sortino ratio takes upside volatility out of the equation and uses only the downside standard deviation in its calculation instead of the total standard deviation that is used in calculating the Sharpe ratio.'

• The excess return divided by the downside deviation over 5 years of Automatic Data Processing is 0.51, which is lower, thus worse compared to the benchmark SPY (1.08) in the same period.
• Looking at ratio of annual return and downside deviation in of -0.1 in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (1.73).

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.'

• Looking at the Ulcer Ratio of 9.52 in the last 5 years of Automatic Data Processing, we see it is relatively greater, thus worse in comparison to the benchmark SPY (8.42 )
• Looking at Ulcer Ratio in of 10 in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (3.63 ).

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.'

• The maximum drop from peak to valley over 5 years of Automatic Data Processing is -23 days, which is higher, thus better compared to the benchmark SPY (-24.5 days) in the same period.
• Looking at maximum drop from peak to valley in of -23 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 Maximum Drawdown Duration is an extension of the Maximum Drawdown. However, this metric does not explain the drawdown in dollars or percentages, rather in days, weeks, or months. It is the length of time the account was in the Max Drawdown. A Max Drawdown measures a retrenchment from when an equity curve reaches a new high. It’s the maximum an account lost during that retrenchment. This method is applied because a valley can’t be measured until a new high occurs. Once the new high is reached, the percentage change from the old high to the bottom of the largest trough is recorded.'

• Looking at the maximum days under water of 414 days in the last 5 years of Automatic Data Processing, we see it is relatively lower, thus better in comparison to the benchmark SPY (488 days)
• Compared with SPY (87 days) in the period of the last 3 years, the maximum days below previous high of 414 days is higher, thus worse.

AveDuration:

'The Average Drawdown Duration is an extension of the Maximum Drawdown. However, this metric does not explain the drawdown in dollars or percentages, rather in days, weeks, or months. 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.'

• Compared with the benchmark SPY (120 days) in the period of the last 5 years, the average days below previous high of 99 days of Automatic Data Processing is lower, thus better.
• Compared with SPY (21 days) in the period of the last 3 years, the average days under water of 136 days is larger, thus worse.