BioMarin Pharmaceutical (BMRN)

TotalReturn:

'Total return, when measuring performance, is the actual rate of return of an investment or a pool of investments over a given evaluation period. Total return includes interest, capital gains, dividends and distributions realized over a given period of time. Total return accounts for two categories of return: income including interest paid by fixed-income investments, distributions or dividends and capital appreciation, representing the change in the market price of an asset.'

• The total return, or increase in value over 5 years of BioMarin Pharmaceutical is -4%, which is smaller, thus worse compared to the benchmark SPY (154.3%) in the same period.
• Compared with SPY (32.9%) in the period of the last 3 years, the total return, or increase in value of -12.7% is smaller, 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.'

• The annual performance (CAGR) over 5 years of BioMarin Pharmaceutical is -0.8%, which is lower, thus worse compared to the benchmark SPY (20.6%) in the same period.
• Compared with SPY (10%) in the period of the last 3 years, the annual return (CAGR) of -4.4% is lower, 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.'

• Compared with the benchmark SPY (18.4%) in the period of the last 5 years, the volatility of 36.1% of BioMarin Pharmaceutical is larger, thus worse.
• Looking at volatility in of 31.3% in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to SPY (17%).

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 (12.4%) in the period of the last 5 years, the downside volatility of 27.4% of BioMarin Pharmaceutical is larger, thus worse.
• Compared with SPY (12%) in the period of the last 3 years, the downside risk of 22.9% 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.'

• The risk / return profile (Sharpe) over 5 years of BioMarin Pharmaceutical is -0.09, which is lower, thus worse compared to the benchmark SPY (0.99) in the same period.
• During the last 3 years, the ratio of return and volatility (Sharpe) is -0.22, which is lower, thus worse than the value of 0.44 from the benchmark.

Sortino:

'The Sortino ratio improves upon the Sharpe ratio by isolating downside volatility from total volatility by dividing excess return by the downside deviation. The Sortino ratio is a variation of the Sharpe ratio that differentiates harmful volatility from total overall volatility by using the asset's standard deviation of negative asset returns, called downside deviation. The Sortino ratio takes the asset's return and subtracts the risk-free rate, and then divides that amount by the asset's downside deviation. The ratio was named after Frank A. Sortino.'

• Compared with the benchmark SPY (1.46) in the period of the last 5 years, the ratio of annual return and downside deviation of -0.12 of BioMarin Pharmaceutical is lower, thus worse.
• Looking at excess return divided by the downside deviation in of -0.3 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (0.62).

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 BioMarin Pharmaceutical is 35 , which is greater, thus worse compared to the benchmark SPY (8.29 ) in the same period.
• During the last 3 years, the Ulcer Ratio is 25 , which is higher, thus worse than the value of 8.63 from the benchmark.

MaxDD:

'A maximum drawdown is the maximum loss from a peak to a trough of a portfolio, before a new peak is attained. Maximum Drawdown is an indicator of downside risk over a specified time period. It can be used both as a stand-alone measure or as an input into other metrics such as 'Return over Maximum Drawdown' and the Calmar Ratio. Maximum Drawdown is expressed in percentage terms.'

• Compared with the benchmark SPY (-24.5 days) in the period of the last 5 years, the maximum reduction from previous high of -53.3 days of BioMarin Pharmaceutical is smaller, thus worse.
• During the last 3 years, the maximum drop from peak to valley is -47.8 days, which is smaller, thus worse than the value of -22.1 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.'

• Compared with the benchmark SPY (488 days) in the period of the last 5 years, the maximum days under water of 1172 days of BioMarin Pharmaceutical is larger, thus worse.
• During the last 3 years, the maximum days under water is 536 days, which is greater, thus worse than the value of 325 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.'

• Compared with the benchmark SPY (119 days) in the period of the last 5 years, the average days below previous high of 558 days of BioMarin Pharmaceutical is larger, thus worse.
• Compared with SPY (89 days) in the period of the last 3 years, the average days below previous high of 204 days is higher, thus worse.