Description of Cerner

Cerner Corporation - Common Stock

Statistics of Cerner (YTD)

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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.'

Using this definition on our asset we see for example:
  • Compared with the benchmark SPY (65.6%) in the period of the last 5 years, the total return of 15.4% of Cerner is lower, thus worse.
  • Compared with SPY (48.8%) in the period of the last 3 years, the total return of 9.2% is lower, thus worse.

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.'

Using this definition on our asset we see for example:
  • Compared with the benchmark SPY (10.6%) in the period of the last 5 years, the compounded annual growth rate (CAGR) of 2.9% of Cerner is lower, thus worse.
  • During the last 3 years, the annual return (CAGR) is 3%, which is lower, thus worse than the value of 14.2% 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.'

Using this definition on our asset we see for example:
  • Compared with the benchmark SPY (13.6%) in the period of the last 5 years, the 30 days standard deviation of 24.1% of Cerner is greater, thus worse.
  • Compared with SPY (12.8%) in the period of the last 3 years, the volatility of 24% is higher, thus worse.

DownVol:

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

Using this definition on our asset we see for example:
  • Looking at the downside volatility of 25.5% in the last 5 years of Cerner, we see it is relatively greater, thus worse in comparison to the benchmark SPY (15%)
  • During the last 3 years, the downside deviation is 25.9%, which is greater, thus worse than the value of 14.6% 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.'

Applying this definition to our asset in some examples:
  • The Sharpe Ratio over 5 years of Cerner is 0.02, which is lower, thus worse compared to the benchmark SPY (0.6) in the same period.
  • Looking at ratio of return and volatility (Sharpe) in of 0.02 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (0.91).

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.'

Which means for our asset as example:
  • Compared with the benchmark SPY (0.54) in the period of the last 5 years, the excess return divided by the downside deviation of 0.02 of Cerner is lower, thus worse.
  • During the last 3 years, the excess return divided by the downside deviation is 0.02, which is smaller, thus worse than the value of 0.8 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.'

Applying this definition to our asset in some examples:
  • The Ulcer Ratio over 5 years of Cerner is 18 , which is larger, thus worse compared to the benchmark SPY (4.03 ) in the same period.
  • During the last 3 years, the Ulcer Ratio is 15 , which is larger, thus worse than the value of 4.1 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.'

Applying this definition to our asset in some examples:
  • The maximum drop from peak to valley over 5 years of Cerner is -36.8 days, which is smaller, thus worse compared to the benchmark SPY (-19.3 days) in the same period.
  • Looking at maximum DrawDown in of -33.5 days in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (-19.3 days).

MaxDuration:

'The Maximum 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. It is the length of time the account was in the Max Drawdown. A Max Drawdown measures a retrenchment from when an equity curve reaches a new high. It’s the maximum an account lost during that retrenchment. This method is applied because a valley can’t be measured until a new high occurs. Once the new high is reached, the percentage change from the old high to the bottom of the largest trough is recorded.'

Applying this definition to our asset in some examples:
  • Compared with the benchmark SPY (187 days) in the period of the last 5 years, the maximum time in days below previous high water mark of 1063 days of Cerner is larger, thus worse.
  • Looking at maximum time in days below previous high water mark in of 428 days in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (139 days).

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.'

Using this definition on our asset we see for example:
  • The average days below previous high over 5 years of Cerner is 463 days, which is higher, thus worse compared to the benchmark SPY (41 days) in the same period.
  • During the last 3 years, the average days below previous high is 145 days, which is higher, thus worse than the value of 35 days from the benchmark.

Performance of Cerner (YTD)

Historical returns have been extended using synthetic data.

Allocations of Cerner
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Allocations

Returns of Cerner (%)

  • "Year" returns in the table above are not equal to the sum of monthly returns due to compounding.
  • Performance results of Cerner are hypothetical, do not account for slippage, fees or taxes, and are based on backtesting, which has many inherent limitations, some of which are described in our Terms of Use.