Amgen (AMGN)

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.'

• Looking at the total return of 50% in the last 5 years of Amgen, we see it is relatively lower, thus worse in comparison to the benchmark SPY (106.2%)
• Compared with SPY (69.9%) in the period of the last 3 years, the total return of 35.9% 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 Amgen is 8.5%, which is lower, thus worse compared to the benchmark SPY (15.6%) in the same period.
• Looking at compounded annual growth rate (CAGR) in of 10.8% in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (19.5%).

Volatility:

'In finance, volatility (symbol σ) is the degree of variation of a trading price series over time as measured by the standard deviation of logarithmic returns. Historic volatility measures a time series of past market prices. Implied volatility looks forward in time, being derived from the market price of a market-traded derivative (in particular, an option). Commonly, the higher the volatility, the riskier the security.'

• The historical 30 days volatility over 5 years of Amgen is 23.4%, which is larger, thus worse compared to the benchmark SPY (17.6%) in the same period.
• During the last 3 years, the 30 days standard deviation is 23.8%, which is greater, thus worse than the value of 17.7% from the benchmark.

DownVol:

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

• Looking at the downside risk of 15.9% in the last 5 years of Amgen, we see it is relatively larger, thus worse in comparison to the benchmark SPY (12.2%)
• Compared with SPY (11.6%) in the period of the last 3 years, the downside risk of 16% is greater, thus worse.

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 Sharpe Ratio of 0.25 of Amgen is smaller, thus worse.
• During the last 3 years, the risk / return profile (Sharpe) is 0.35, which is lower, thus worse than the value of 0.96 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.'

• Compared with the benchmark SPY (1.08) in the period of the last 5 years, the ratio of annual return and downside deviation of 0.38 of Amgen is lower, thus worse.
• Compared with SPY (1.46) in the period of the last 3 years, the excess return divided by the downside deviation of 0.52 is lower, thus worse.

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.'

• The Ulcer Index over 5 years of Amgen is 11 , which is greater, thus worse compared to the benchmark SPY (8.48 ) in the same period.
• Compared with SPY (5.32 ) in the period of the last 3 years, the Ulcer Index of 12 is higher, thus worse.

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.'

• The maximum reduction from previous high over 5 years of Amgen is -24.9 days, which is lower, thus worse compared to the benchmark SPY (-24.5 days) in the same period.
• Compared with SPY (-18.8 days) in the period of the last 3 years, the maximum DrawDown of -24.9 days is lower, 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). 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 244 days in the last 5 years of Amgen, we see it is relatively lower, thus better in comparison to the benchmark SPY (488 days)
• Looking at maximum time in days below previous high water mark in of 230 days in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (199 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.'

• Compared with the benchmark SPY (120 days) in the period of the last 5 years, the average time in days below previous high water mark of 80 days of Amgen is smaller, thus better.
• During the last 3 years, the average time in days below previous high water mark is 74 days, which is greater, thus worse than the value of 46 days from the benchmark.