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.'

• Looking at the total return of 44.1% in the last 5 years of Cerner, we see it is relatively lower, thus worse in comparison to the benchmark SPY (97.4%)
• During the last 3 years, the total return is 34.9%, which is lower, thus worse than the value of 44.7% 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.'

• Looking at the annual return (CAGR) of 7.6% in the last 5 years of Cerner, we see it is relatively lower, thus worse in comparison to the benchmark SPY (14.6%)
• Looking at compounded annual growth rate (CAGR) in of 10.5% in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (13.2%).

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.'

• Looking at the 30 days standard deviation of 24% in the last 5 years of Cerner, we see it is relatively greater, thus worse in comparison to the benchmark SPY (21%)
• Looking at 30 days standard deviation in of 23.5% in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to SPY (17.4%).

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 risk of 16.5% in the last 5 years of Cerner, we see it is relatively larger, thus worse in comparison to the benchmark SPY (15%)
• Compared with SPY (12.1%) in the period of the last 3 years, the downside volatility of 15.5% is larger, thus worse.

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 (0.58) in the period of the last 5 years, the Sharpe Ratio of 0.21 of Cerner is lower, thus worse.
• Compared with SPY (0.61) in the period of the last 3 years, the risk / return profile (Sharpe) of 0.34 is lower, thus worse.

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.'

• Looking at the excess return divided by the downside deviation of 0.31 in the last 5 years of Cerner, we see it is relatively lower, thus worse in comparison to the benchmark SPY (0.8)
• During the last 3 years, the ratio of annual return and downside deviation is 0.52, which is smaller, 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.'

• The Ulcer Index over 5 years of Cerner is 12 , which is higher, thus worse compared to the benchmark SPY (9.33 ) in the same period.
• Looking at Ulcer Ratio in of 9.41 in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to SPY (8.63 ).

MaxDD:

'Maximum drawdown measures the loss in any losing period during a fund’s investment record. It is defined as the percent retrenchment from a fund’s peak value to the fund’s valley value. The drawdown is in effect from the time the fund’s retrenchment begins until a new fund high is reached. The maximum drawdown encompasses both the period from the fund’s peak to the fund’s valley (length), and the time from the fund’s valley to a new fund high (recovery). It measures the largest percentage drawdown that has occurred in any fund’s data record.'

• Compared with the benchmark SPY (-33.7 days) in the period of the last 5 years, the maximum DrawDown of -33.5 days of Cerner is larger, thus better.
• Looking at maximum DrawDown 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 (-22.1 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.'

• The maximum days under water over 5 years of Cerner is 428 days, which is smaller, thus better compared to the benchmark SPY (488 days) in the same period.
• During the last 3 years, the maximum days below previous high is 228 days, which is lower, thus better than the value of 325 days from the benchmark.

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.'

• The average days under water over 5 years of Cerner is 128 days, which is higher, 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 time in days below previous high water mark of 86 days is smaller, thus better.