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 of -12.2% in the last 5 years of BioMarin Pharmaceutical, we see it is relatively smaller, thus worse in comparison to the benchmark SPY (67.9%)
• Compared with SPY (38.6%) in the period of the last 3 years, the total return, or increase in value of 16.6% is lower, 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.'

• Compared with the benchmark SPY (10.9%) in the period of the last 5 years, the annual performance (CAGR) of -2.6% of BioMarin Pharmaceutical is smaller, thus worse.
• Compared with SPY (11.5%) in the period of the last 3 years, the annual performance (CAGR) of 5.3% is smaller, thus worse.

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.'

• Looking at the 30 days standard deviation of 38.6% in the last 5 years of BioMarin Pharmaceutical, we see it is relatively larger, thus worse in comparison to the benchmark SPY (18.7%)
• Compared with SPY (21.5%) in the period of the last 3 years, the historical 30 days volatility of 35.8% is greater, thus worse.

DownVol:

'Downside risk is the financial risk associated with losses. That is, it is the risk of the actual return being below the expected return, or the uncertainty about the magnitude of that difference. 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.'

• Looking at the downside deviation of 26.4% in the last 5 years of BioMarin Pharmaceutical, we see it is relatively larger, thus worse in comparison to the benchmark SPY (13.6%)
• During the last 3 years, the downside deviation is 24.6%, which is greater, thus worse than the value of 15.7% from the benchmark.

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.'

• The ratio of return and volatility (Sharpe) over 5 years of BioMarin Pharmaceutical is -0.13, which is smaller, thus worse compared to the benchmark SPY (0.45) in the same period.
• Looking at risk / return profile (Sharpe) in of 0.08 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (0.42).

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 ratio of annual return and downside deviation of -0.19 in the last 5 years of BioMarin Pharmaceutical, we see it is relatively lower, thus worse in comparison to the benchmark SPY (0.62)
• During the last 3 years, the downside risk / excess return profile is 0.11, which is lower, thus worse than the value of 0.57 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 Index of 40 in the last 5 years of BioMarin Pharmaceutical, we see it is relatively larger, thus worse in comparison to the benchmark SPY (5.82 )
• Looking at Ulcer Index in of 17 in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to SPY (6.87 ).

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 BioMarin Pharmaceutical is -56.9 days, which is smaller, thus worse compared to the benchmark SPY (-33.7 days) in the same period.
• Looking at maximum reduction from previous high in of -39.4 days in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (-33.7 days).

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.'

• Compared with the benchmark SPY (187 days) in the period of the last 5 years, the maximum days below previous high of 1228 days of BioMarin Pharmaceutical is larger, thus worse.
• Compared with SPY (139 days) in the period of the last 3 years, the maximum time in days below previous high water mark of 402 days is larger, thus worse.

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.'

• The average time in days below previous high water mark over 5 years of BioMarin Pharmaceutical is 605 days, which is higher, thus worse compared to the benchmark SPY (43 days) in the same period.
• Compared with SPY (39 days) in the period of the last 3 years, the average days below previous high of 154 days is greater, thus worse.