AstraZeneca PLC (AZN)

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 (67.7%) in the period of the last 5 years, the total return of 142.4% of AstraZeneca PLC is higher, thus better.
• Compared with SPY (37%) in the period of the last 3 years, the total return, or increase in value of 53.1% is higher, thus better.

CAGR:

'Compound annual growth rate (CAGR) is a business and investing specific term for the geometric progression ratio that provides a constant rate of return over the time period. CAGR is not an accounting term, but it is often used to describe some element of the business, for example revenue, units delivered, registered users, etc. CAGR dampens the effect of volatility of periodic returns that can render arithmetic means irrelevant. It is particularly useful to compare growth rates from various data sets of common domain such as revenue growth of companies in the same industry.'

• The annual performance (CAGR) over 5 years of AstraZeneca PLC is 19.4%, which is greater, thus better compared to the benchmark SPY (10.9%) in the same period.
• Looking at annual return (CAGR) in of 15.2% in the period of the last 3 years, we see it is relatively larger, thus better in comparison to SPY (11.1%).

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 (21.4%) in the period of the last 5 years, the 30 days standard deviation of 26% of AstraZeneca PLC is greater, thus worse.
• During the last 3 years, the 30 days standard deviation is 29%, which is higher, thus worse than the value of 24.8% 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.'

• Compared with the benchmark SPY (15.5%) in the period of the last 5 years, the downside volatility of 17.8% of AstraZeneca PLC is greater, thus worse.
• Compared with SPY (17.9%) in the period of the last 3 years, the downside deviation of 20.2% 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.'

• Looking at the ratio of return and volatility (Sharpe) of 0.65 in the last 5 years of AstraZeneca PLC, we see it is relatively greater, thus better in comparison to the benchmark SPY (0.39)
• Looking at Sharpe Ratio in of 0.44 in the period of the last 3 years, we see it is relatively greater, thus better in comparison to SPY (0.34).

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 ratio of annual return and downside deviation over 5 years of AstraZeneca PLC is 0.95, which is higher, thus better compared to the benchmark SPY (0.54) in the same period.
• Compared with SPY (0.48) in the period of the last 3 years, the ratio of annual return and downside deviation of 0.63 is greater, thus better.

Ulcer:

'The Ulcer Index is a technical indicator that measures downside risk, in terms of both the depth and duration of price declines. The index increases in value as the price moves farther away from a recent high and falls as the price rises to new highs. The indicator is usually calculated over a 14-day period, with the Ulcer Index showing the percentage drawdown a trader can expect from the high over that period. The greater the value of the Ulcer Index, the longer it takes for a stock to get back to the former high.'

• Looking at the Ulcer Ratio of 8.67 in the last 5 years of AstraZeneca PLC, we see it is relatively larger, thus worse in comparison to the benchmark SPY (8.47 )
• Compared with SPY (10 ) in the period of the last 3 years, the Ulcer Ratio of 10 is higher, thus worse.

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 (-33.7 days) in the period of the last 5 years, the maximum reduction from previous high of -24.9 days of AstraZeneca PLC is larger, thus better.
• During the last 3 years, the maximum reduction from previous high is -24.9 days, which is greater, thus better than the value of -33.7 days from the benchmark.

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.'

• The maximum time in days below previous high water mark over 5 years of AstraZeneca PLC is 237 days, which is greater, thus worse compared to the benchmark SPY (231 days) in the same period.
• During the last 3 years, the maximum time in days below previous high water mark is 237 days, which is larger, thus worse than the value of 231 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.'

• Looking at the average days below previous high of 53 days in the last 5 years of AstraZeneca PLC, we see it is relatively smaller, thus better in comparison to the benchmark SPY (54 days)
• Compared with SPY (58 days) in the period of the last 3 years, the average days under water of 70 days is higher, thus worse.