BioMarin Pharmaceutical (BMRN)

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, or performance of -52.7% in the last 5 years of BioMarin Pharmaceutical, we see it is relatively lower, thus worse in comparison to the benchmark SPY (113%)
• Compared with SPY (63.7%) in the period of the last 3 years, the total return of -33.2% is lower, thus worse.

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.'

• Looking at the annual performance (CAGR) of -13.9% in the last 5 years of BioMarin Pharmaceutical, we see it is relatively smaller, thus worse in comparison to the benchmark SPY (16.4%)
• Compared with SPY (18%) in the period of the last 3 years, the annual performance (CAGR) of -12.7% is smaller, thus worse.

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.'

• Compared with the benchmark SPY (17.5%) in the period of the last 5 years, the volatility of 35.4% of BioMarin Pharmaceutical is higher, thus worse.
• Looking at historical 30 days volatility in of 31.2% in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to SPY (17.3%).

DownVol:

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

• Looking at the downside volatility of 27.8% in the last 5 years of BioMarin Pharmaceutical, we see it is relatively larger, thus worse in comparison to the benchmark SPY (12.1%)
• During the last 3 years, the downside volatility is 23.2%, which is greater, thus worse than the value of 11.5% from the benchmark.

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 ratio of return and volatility (Sharpe) over 5 years of BioMarin Pharmaceutical is -0.46, which is smaller, thus worse compared to the benchmark SPY (0.79) in the same period.
• Compared with SPY (0.9) in the period of the last 3 years, the risk / return profile (Sharpe) of -0.49 is lower, thus worse.

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.'

• Looking at the excess return divided by the downside deviation of -0.59 in the last 5 years of BioMarin Pharmaceutical, we see it is relatively smaller, thus worse in comparison to the benchmark SPY (1.15)
• During the last 3 years, the ratio of annual return and downside deviation is -0.65, which is smaller, thus worse than the value of 1.35 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.'

• Looking at the Ulcer Ratio of 34 in the last 5 years of BioMarin Pharmaceutical, we see it is relatively greater, thus worse in comparison to the benchmark SPY (8.48 )
• During the last 3 years, the Downside risk index is 30 , which is larger, thus worse than the value of 5.31 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.'

• The maximum reduction from previous high over 5 years of BioMarin Pharmaceutical is -56 days, which is smaller, thus worse compared to the benchmark SPY (-24.5 days) in the same period.
• During the last 3 years, the maximum drop from peak to valley is -53.9 days, which is smaller, thus worse than the value of -18.8 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 BioMarin Pharmaceutical is 1255 days, which is larger, thus worse compared to the benchmark SPY (488 days) in the same period.
• During the last 3 years, the maximum time in days below previous high water mark is 625 days, which is greater, thus worse than the value of 199 days from the benchmark.

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.'

• Looking at the average days below previous high of 628 days in the last 5 years of BioMarin Pharmaceutical, we see it is relatively larger, thus worse in comparison to the benchmark SPY (120 days)
• Looking at average days under water in of 272 days in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to SPY (47 days).