Celgene (CELG)

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.'

• The total return over 5 years of Celgene is 0%, which is lower, thus worse compared to the benchmark SPY (67.1%) in the same period.
• Looking at total return, or performance in of -10.5% in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (61.5%).

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.'

• Compared with the benchmark SPY (10.8%) in the period of the last 5 years, the annual return (CAGR) of 0% of Celgene is lower, thus worse.
• During the last 3 years, the annual performance (CAGR) is -3.6%, which is smaller, thus worse than the value of 17.3% from the benchmark.

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 volatility of 30.9% in the last 5 years of Celgene, we see it is relatively higher, thus worse in comparison to the benchmark SPY (21.4%)
• Looking at volatility in of 29.2% in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to SPY (20%).

DownVol:

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

• Compared with the benchmark SPY (15.4%) in the period of the last 5 years, the downside risk of 21.6% of Celgene is greater, thus worse.
• During the last 3 years, the downside volatility is 21%, which is larger, thus worse than the value of 13.9% 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 Sharpe Ratio over 5 years of Celgene is -0.08, which is lower, thus worse compared to the benchmark SPY (0.39) in the same period.
• During the last 3 years, the ratio of return and volatility (Sharpe) is -0.21, which is lower, thus worse than the value of 0.74 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.'

• The ratio of annual return and downside deviation over 5 years of Celgene is -0.12, which is lower, thus worse compared to the benchmark SPY (0.54) in the same period.
• Compared with SPY (1.06) in the period of the last 3 years, the ratio of annual return and downside deviation of -0.29 is lower, thus worse.

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.'

• Compared with the benchmark SPY (9.21 ) in the period of the last 5 years, the Ulcer Ratio of 28 of Celgene is higher, thus worse.
• Looking at Ulcer Index in of 32 in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (9.87 ).

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 (-33.7 days) in the period of the last 5 years, the maximum DrawDown of -59.6 days of Celgene is smaller, thus worse.
• Compared with SPY (-24.5 days) in the period of the last 3 years, the maximum DrawDown of -59.6 days is lower, thus worse.

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.'

• Looking at the maximum days below previous high of 537 days in the last 5 years of Celgene, we see it is relatively greater, thus worse in comparison to the benchmark SPY (311 days)
• Compared with SPY (311 days) in the period of the last 3 years, the maximum days under water of 537 days is greater, 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.'

• Compared with the benchmark SPY (66 days) in the period of the last 5 years, the average days below previous high of 237 days of Celgene is greater, thus worse.
• During the last 3 years, the average days under water is 206 days, which is larger, thus worse than the value of 82 days from the benchmark.