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.'

• Compared with the benchmark SPY (98.4%) in the period of the last 5 years, the total return, or increase in value of 64.8% of Amgen is smaller, thus worse.
• During the last 3 years, the total return is 32.3%, which is lower, thus worse than the value of 88.6% from the benchmark.

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.'

• Looking at the annual return (CAGR) of 10.6% in the last 5 years of Amgen, we see it is relatively lower, thus worse in comparison to the benchmark SPY (14.7%)
• Looking at annual return (CAGR) in of 9.8% in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (23.7%).

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.'

• Compared with the benchmark SPY (17.1%) in the period of the last 5 years, the historical 30 days volatility of 23.3% of Amgen is larger, thus worse.
• Compared with SPY (15.3%) in the period of the last 3 years, the 30 days standard deviation of 24.8% is greater, thus worse.

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 deviation over 5 years of Amgen is 15.8%, which is greater, thus worse compared to the benchmark SPY (11.8%) in the same period.
• Compared with SPY (10.2%) in the period of the last 3 years, the downside deviation of 16.7% is larger, thus worse.

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.'

• The Sharpe Ratio over 5 years of Amgen is 0.35, which is lower, thus worse compared to the benchmark SPY (0.72) in the same period.
• During the last 3 years, the risk / return profile (Sharpe) is 0.3, which is lower, thus worse than the value of 1.38 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 (1.04) in the period of the last 5 years, the excess return divided by the downside deviation of 0.51 of Amgen is smaller, thus worse.
• Looking at excess return divided by the downside deviation in of 0.44 in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (2.08).

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 Downside risk index over 5 years of Amgen is 11 , which is greater, thus worse compared to the benchmark SPY (8.42 ) in the same period.
• During the last 3 years, the Ulcer Index is 11 , which is greater, thus worse than the value of 3.52 from the benchmark.

MaxDD:

'Maximum drawdown measures the loss in any losing period during a fund’s investment record. It is defined as the percent retrenchment from a fund’s peak value to the fund’s valley value. The drawdown is in effect from the time the fund’s retrenchment begins until a new fund high is reached. The maximum drawdown encompasses both the period from the fund’s peak to the fund’s valley (length), and the time from the fund’s valley to a new fund high (recovery). It measures the largest percentage drawdown that has occurred in any fund’s data record.'

• Compared with the benchmark SPY (-24.5 days) in the period of the last 5 years, the maximum reduction from previous high of -24.9 days of Amgen is smaller, thus worse.
• Looking at maximum DrawDown in of -22.7 days in the period of the last 3 years, we see it is relatively lower, 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 285 days in the last 5 years of Amgen, we see it is relatively smaller, 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 285 days is greater, 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.'

• The average days below previous high over 5 years of Amgen is 93 days, which is lower, thus better compared to the benchmark SPY (120 days) in the same period.
• During the last 3 years, the average days below previous high is 89 days, which is larger, thus worse than the value of 21 days from the benchmark.