Celgene (CELG)

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.'

• Looking at the total return of 0% in the last 5 years of Celgene, we see it is relatively lower, thus worse in comparison to the benchmark SPY (97.4%)
• Looking at total return, or increase in value in of -10.5% in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (44.7%).

CAGR:

'The compound annual growth rate (CAGR) is a useful measure of growth over multiple time periods. It can be thought of as the growth rate that gets you from the initial investment value to the ending investment value if you assume that the investment has been compounding over the time period.'

• The annual performance (CAGR) over 5 years of Celgene is 0%, which is lower, thus worse compared to the benchmark SPY (14.6%) in the same period.
• Looking at compounded annual growth rate (CAGR) in of -3.6% in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (13.2%).

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.'

• The volatility over 5 years of Celgene is 30.9%, which is larger, thus worse compared to the benchmark SPY (21%) in the same period.
• Looking at 30 days standard deviation in of 29.2% in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (17.4%).

DownVol:

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

• Looking at the downside risk of 21.6% in the last 5 years of Celgene, we see it is relatively larger, thus worse in comparison to the benchmark SPY (15%)
• Looking at downside risk in of 21% in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to SPY (12.1%).

Sharpe:

'The Sharpe ratio was developed by Nobel laureate William F. Sharpe, and is used to help investors understand the return of an investment compared to its risk. The ratio is the average return earned in excess of the risk-free rate per unit of volatility or total risk. Subtracting the risk-free rate from the mean return allows an investor to better isolate the profits associated with risk-taking activities. One intuition of this calculation is that a portfolio engaging in 'zero risk' investments, such as the purchase of U.S. Treasury bills (for which the expected return is the risk-free rate), has a Sharpe ratio of exactly zero. Generally, the greater the value of the Sharpe ratio, the more attractive the risk-adjusted return.'

• The Sharpe Ratio over 5 years of Celgene is -0.08, which is lower, thus worse compared to the benchmark SPY (0.58) 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 0.61 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.'

• The downside risk / excess return profile over 5 years of Celgene is -0.12, which is lower, thus worse compared to the benchmark SPY (0.8) in the same period.
• During the last 3 years, the ratio of annual return and downside deviation is -0.29, which is lower, thus worse than the value of 0.88 from the benchmark.

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 Downside risk index of 28 in the last 5 years of Celgene, we see it is relatively higher, thus worse in comparison to the benchmark SPY (9.33 )
• During the last 3 years, the Downside risk index is 32 , which is greater, thus worse than the value of 8.63 from the benchmark.

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.'

• 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 lower, thus worse.
• Compared with SPY (-22.1 days) in the period of the last 3 years, the maximum reduction from previous high 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). Many assume Max DD Duration is the length of time between new highs during which the Max DD (magnitude) occurred. But that isn’t always the case. The Max DD duration is the longest time between peaks, period. So it could be the time when the program also had its biggest peak to valley loss (and usually is, because the program needs a long time to recover from the largest loss), but it doesn’t have to be'

• The maximum time in days below previous high water mark over 5 years of Celgene is 537 days, which is greater, thus worse compared to the benchmark SPY (488 days) in the same period.
• Compared with SPY (325 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.'

• The average days under water over 5 years of Celgene is 237 days, which is larger, thus worse compared to the benchmark SPY (122 days) in the same period.
• Compared with SPY (89 days) in the period of the last 3 years, the average days below previous high of 206 days is larger, thus worse.