Check Point Software (CHKP)

TotalReturn:

'Total return is the amount of value an investor earns from a security over a specific period, typically one year, when all distributions are reinvested. Total return is expressed as a percentage of the amount invested. For example, a total return of 20% means the security increased by 20% of its original value due to a price increase, distribution of dividends (if a stock), coupons (if a bond) or capital gains (if a fund). Total return is a strong measure of an investment’s overall performance.'

• The total return, or performance over 5 years of Check Point Software is 26.7%, which is lower, thus worse compared to the benchmark SPY (63%) in the same period.
• Compared with SPY (33.5%) in the period of the last 3 years, the total return of 13.1% is smaller, thus worse.

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 return (CAGR) over 5 years of Check Point Software is 4.9%, which is lower, thus worse compared to the benchmark SPY (10.3%) in the same period.
• Looking at annual return (CAGR) in of 4.2% in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (10.1%).

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.'

• Compared with the benchmark SPY (21.6%) in the period of the last 5 years, the historical 30 days volatility of 25.7% of Check Point Software is greater, thus worse.
• During the last 3 years, the 30 days standard deviation is 29%, which is larger, thus worse than the value of 25.1% from the benchmark.

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 18.1% in the last 5 years of Check Point Software, we see it is relatively larger, thus worse in comparison to the benchmark SPY (15.6%)
• During the last 3 years, the downside risk is 20%, which is greater, thus worse than the value of 18.1% from the benchmark.

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 (0.36) in the period of the last 5 years, the ratio of return and volatility (Sharpe) of 0.09 of Check Point Software is smaller, thus worse.
• During the last 3 years, the ratio of return and volatility (Sharpe) is 0.06, which is lower, thus worse than the value of 0.3 from the benchmark.

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 0.13 in the last 5 years of Check Point Software, we see it is relatively smaller, thus worse in comparison to the benchmark SPY (0.5)
• Compared with SPY (0.42) in the period of the last 3 years, the ratio of annual return and downside deviation of 0.08 is lower, thus worse.

Ulcer:

'The ulcer index is a stock market risk measure or technical analysis indicator devised by Peter Martin in 1987, and published by him and Byron McCann in their 1989 book The Investors Guide to Fidelity Funds. It's designed as a measure of volatility, but only volatility in the downward direction, i.e. the amount of drawdown or retracement occurring over a period. Other volatility measures like standard deviation treat up and down movement equally, but a trader doesn't mind upward movement, it's the downside that causes stress and stomach ulcers that the index's name suggests.'

• Looking at the Ulcer Ratio of 13 in the last 5 years of Check Point Software, we see it is relatively larger, thus worse in comparison to the benchmark SPY (8.88 )
• Looking at Downside risk index in of 14 in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to SPY (11 ).

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.'

• Looking at the maximum DrawDown 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 reduction from previous high in of -31.2 days in the period of the last 3 years, we see it is relatively higher, thus better 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.'

• Compared with the benchmark SPY (273 days) in the period of the last 5 years, the maximum time in days below previous high water mark of 426 days of Check Point Software is higher, thus worse.
• During the last 3 years, the maximum time in days below previous high water mark is 291 days, which is larger, thus worse than the value of 273 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 time in days below previous high water mark over 5 years of Check Point Software is 139 days, which is larger, thus worse compared to the benchmark SPY (57 days) in the same period.
• Compared with SPY (73 days) in the period of the last 3 years, the average days under water of 106 days is higher, thus worse.