Cerner (CERN)

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, or increase in value over 5 years of Cerner is 44.1%, which is smaller, thus worse compared to the benchmark SPY (85.7%) in the same period.
• During the last 3 years, the total return, or performance is 34.9%, which is smaller, thus worse than the value of 75.8% from the benchmark.

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.'

• The compounded annual growth rate (CAGR) over 5 years of Cerner is 7.6%, which is lower, thus worse compared to the benchmark SPY (13.2%) in the same period.
• Compared with SPY (20.8%) in the period of the last 3 years, the compounded annual growth rate (CAGR) of 10.5% is smaller, thus worse.

Volatility:

'Volatility is a statistical measure of the dispersion of returns for a given security or market index. Volatility can either be measured by using the standard deviation or variance between returns from that same security or market index. Commonly, the higher the volatility, the riskier the security. In the securities markets, volatility is often associated with big swings in either direction. For example, when the stock market rises and falls more than one percent over a sustained period of time, it is called a 'volatile' market.'

• The historical 30 days volatility over 5 years of Cerner is 24%, which is higher, thus worse compared to the benchmark SPY (17.1%) in the same period.
• Compared with SPY (15.3%) in the period of the last 3 years, the 30 days standard deviation of 23.5% 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.'

• The downside risk over 5 years of Cerner is 16.5%, which is larger, thus worse compared to the benchmark SPY (11.8%) in the same period.
• Looking at downside risk in of 15.5% in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to SPY (10.3%).

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.'

• Compared with the benchmark SPY (0.63) in the period of the last 5 years, the risk / return profile (Sharpe) of 0.21 of Cerner is lower, thus worse.
• During the last 3 years, the risk / return profile (Sharpe) is 0.34, which is lower, thus worse than the value of 1.2 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 (0.91) in the period of the last 5 years, the ratio of annual return and downside deviation of 0.31 of Cerner is smaller, thus worse.
• Looking at ratio of annual return and downside deviation in of 0.52 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (1.78).

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 Ulcer Ratio of 12 in the last 5 years of Cerner, we see it is relatively larger, thus worse in comparison to the benchmark SPY (8.45 )
• Looking at Ulcer Index in of 9.41 in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (3.51 ).

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.'

• Looking at the maximum drop from peak to valley of -33.5 days in the last 5 years of Cerner, we see it is relatively lower, thus worse in comparison to the benchmark SPY (-24.5 days)
• Looking at maximum drop from peak to valley in of -31.8 days in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (-18.8 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 (488 days) in the period of the last 5 years, the maximum time in days below previous high water mark of 428 days of Cerner is smaller, thus better.
• Compared with SPY (87 days) in the period of the last 3 years, the maximum days under water of 228 days is greater, thus worse.

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.'

• Compared with the benchmark SPY (120 days) in the period of the last 5 years, the average time in days below previous high water mark of 128 days of Cerner is greater, thus worse.
• Compared with SPY (20 days) in the period of the last 3 years, the average time in days below previous high water mark of 86 days is higher, thus worse.