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.'

• Looking at the total return of 30.9% in the last 5 years of Check Point Software, we see it is relatively lower, thus worse in comparison to the benchmark SPY (78.3%)
• During the last 3 years, the total return is 16.6%, which is lower, thus worse than the value of 71.2% 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.'

• Compared with the benchmark SPY (12.3%) in the period of the last 5 years, the compounded annual growth rate (CAGR) of 5.6% of Check Point Software is lower, thus worse.
• Looking at compounded annual growth rate (CAGR) in of 5.3% in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (19.7%).

Volatility:

'Volatility is a rate at which the price of a security increases or decreases for a given set of returns. Volatility is measured by calculating the standard deviation of the annualized returns over a given period of time. It shows the range to which the price of a security may increase or decrease. Volatility measures the risk of a security. It is used in option pricing formula to gauge the fluctuations in the returns of the underlying assets. Volatility indicates the pricing behavior of the security and helps estimate the fluctuations that may happen in a short period of time.'

• Looking at the volatility of 25.2% in the last 5 years of Check Point Software, we see it is relatively larger, thus worse in comparison to the benchmark SPY (17%)
• During the last 3 years, the volatility is 26.1%, which is greater, thus worse than the value of 15% from the benchmark.

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.'

• Looking at the downside risk of 18.6% in the last 5 years of Check Point Software, we see it is relatively larger, thus worse in comparison to the benchmark SPY (11.7%)
• During the last 3 years, the downside deviation is 19.9%, which is higher, thus worse than the value of 10.1% 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.'

• Compared with the benchmark SPY (0.58) in the period of the last 5 years, the risk / return profile (Sharpe) of 0.12 of Check Point Software is lower, thus worse.
• Looking at ratio of return and volatility (Sharpe) in of 0.11 in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (1.14).

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 excess return divided by the downside deviation over 5 years of Check Point Software is 0.16, which is lower, thus worse compared to the benchmark SPY (0.84) in the same period.
• Compared with SPY (1.7) in the period of the last 3 years, the ratio of annual return and downside deviation of 0.14 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.'

• The Ulcer Index over 5 years of Check Point Software is 12 , which is larger, thus worse compared to the benchmark SPY (8.42 ) in the same period.
• Looking at Ulcer Ratio in of 11 in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to SPY (3.42 ).

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 -34.9 days in the last 5 years of Check Point Software, we see it is relatively lower, thus worse in comparison to the benchmark SPY (-24.5 days)
• Compared with SPY (-18.8 days) in the period of the last 3 years, the maximum reduction from previous high of -34.9 days is smaller, thus worse.

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 days under water of 451 days of Check Point Software is lower, thus better.
• During the last 3 years, the maximum time in days below previous high water mark is 197 days, which is greater, thus worse than the value of 87 days from the benchmark.

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 days under water over 5 years of Check Point Software is 117 days, which is lower, thus better compared to the benchmark SPY (119 days) in the same period.
• During the last 3 years, the average days under water is 47 days, which is larger, thus worse than the value of 19 days from the benchmark.