Check Point Software (CHKP)

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 Check Point Software is 46.8%, which is lower, thus worse compared to the benchmark SPY (85.9%) in the same period.
• Looking at total return, or increase in value in of 1.7% in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (42.4%).

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.'

• The annual performance (CAGR) over 5 years of Check Point Software is 8%, which is lower, thus worse compared to the benchmark SPY (13.2%) in the same period.
• During the last 3 years, the annual performance (CAGR) is 0.6%, which is lower, thus worse than the value of 12.5% 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 30 days standard deviation of 23.9% in the last 5 years of Check Point Software, we see it is relatively higher, thus worse in comparison to the benchmark SPY (18.8%)
• Looking at 30 days standard deviation in of 26.3% in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to SPY (22.5%).

DownVol:

'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.'

• Compared with the benchmark SPY (13.7%) in the period of the last 5 years, the downside volatility of 17.1% of Check Point Software is greater, thus worse.
• Compared with SPY (16.5%) in the period of the last 3 years, the downside deviation of 19.1% is greater, thus worse.

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 Check Point Software is 0.23, which is lower, thus worse compared to the benchmark SPY (0.57) in the same period.
• Compared with SPY (0.44) in the period of the last 3 years, the Sharpe Ratio of -0.07 is lower, thus worse.

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 Check Point Software is 0.32, which is smaller, thus worse compared to the benchmark SPY (0.78) in the same period.
• During the last 3 years, the downside risk / excess return profile is -0.1, which is smaller, thus worse than the value of 0.6 from the benchmark.

Ulcer:

'Ulcer Index is a method for measuring investment risk that addresses the real concerns of investors, unlike the widely used standard deviation of return. UI is a measure of the depth and duration of drawdowns in prices from earlier highs. Using Ulcer Index instead of standard deviation can lead to very different conclusions about investment risk and risk-adjusted return, especially when evaluating strategies that seek to avoid major declines in portfolio value (market timing, dynamic asset allocation, hedge funds, etc.). The Ulcer Index was originally developed in 1987. Since then, it has been widely recognized and adopted by the investment community. According to Nelson Freeburg, editor of Formula Research, Ulcer Index is “perhaps the most fully realized statistical portrait of risk there is.'

• Compared with the benchmark SPY (5.81 ) in the period of the last 5 years, the Downside risk index of 12 of Check Point Software is larger, thus worse.
• During the last 3 years, the Downside risk index is 13 , which is larger, thus worse than the value of 7.11 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.'

• Looking at the maximum reduction from previous high of -37.6 days in the last 5 years of Check Point Software, we see it is relatively lower, thus worse in comparison to the benchmark SPY (-33.7 days)
• Looking at maximum DrawDown in of -37.6 days in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (-33.7 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.'

• Looking at the maximum days under water of 386 days in the last 5 years of Check Point Software, we see it is relatively larger, thus worse in comparison to the benchmark SPY (139 days)
• Compared with SPY (139 days) in the period of the last 3 years, the maximum days below previous high of 386 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 time in days below previous high water mark over 5 years of Check Point Software is 109 days, which is higher, thus worse compared to the benchmark SPY (37 days) in the same period.
• Compared with SPY (45 days) in the period of the last 3 years, the average days under water of 142 days is greater, thus worse.