Check Point Software Technologies (CHKP)

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.'

• The total return over 5 years of Check Point Software Technologies is 54.7%, which is smaller, thus worse compared to the benchmark SPY (64.1%) in the same period.
• Compared with SPY (48.1%) in the period of the last 3 years, the total return of 45.1% is lower, thus worse.

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.'

• Looking at the compounded annual growth rate (CAGR) of 9.1% in the last 5 years of Check Point Software Technologies, we see it is relatively lower, thus worse in comparison to the benchmark SPY (10.4%)
• During the last 3 years, the compounded annual growth rate (CAGR) is 13.2%, which is lower, thus worse than the value of 14% from the benchmark.

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.'

• Compared with the benchmark SPY (13.6%) in the period of the last 5 years, the 30 days standard deviation of 20.9% of Check Point Software Technologies is larger, thus worse.
• Looking at 30 days standard deviation in of 20.7% in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (12.8%).

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 22.4% in the last 5 years of Check Point Software Technologies, we see it is relatively greater, thus worse in comparison to the benchmark SPY (14.9%)
• Compared with SPY (14.5%) in the period of the last 3 years, the downside risk of 23.2% is larger, thus worse.

Sharpe:

'The Sharpe ratio was developed by Nobel laureate William F. Sharpe, and is used to help investors understand the return of an investment compared to its risk. The ratio is the average return earned in excess of the risk-free rate per unit of volatility or total risk. Subtracting the risk-free rate from the mean return allows an investor to better isolate the profits associated with risk-taking activities. One intuition of this calculation is that a portfolio engaging in 'zero risk' investments, such as the purchase of U.S. Treasury bills (for which the expected return is the risk-free rate), has a Sharpe ratio of exactly zero. Generally, the greater the value of the Sharpe ratio, the more attractive the risk-adjusted return.'

• Looking at the ratio of return and volatility (Sharpe) of 0.32 in the last 5 years of Check Point Software Technologies, we see it is relatively lower, thus worse in comparison to the benchmark SPY (0.58)
• Compared with SPY (0.9) in the period of the last 3 years, the Sharpe Ratio of 0.52 is smaller, 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 ratio of annual return and downside deviation of 0.3 in the last 5 years of Check Point Software Technologies, we see it is relatively lower, thus worse in comparison to the benchmark SPY (0.53)
• Compared with SPY (0.79) in the period of the last 3 years, the excess return divided by the downside deviation of 0.46 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.'

• Compared with the benchmark SPY (4.02 ) in the period of the last 5 years, the Ulcer Index of 9.23 of Check Point Software Technologies is larger, thus worse.
• Looking at Downside risk index in of 9.7 in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to SPY (4.09 ).

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.'

• The maximum reduction from previous high over 5 years of Check Point Software Technologies is -19.7 days, which is lower, thus worse compared to the benchmark SPY (-19.3 days) in the same period.
• Compared with SPY (-19.3 days) in the period of the last 3 years, the maximum drop from peak to valley of -19.7 days is lower, 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.'

• The maximum days under water over 5 years of Check Point Software Technologies is 229 days, which is greater, thus worse compared to the benchmark SPY (187 days) in the same period.
• Looking at maximum days below previous high in of 229 days in the period of the last 3 years, we see it is relatively higher, 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.'

• The average days under water over 5 years of Check Point Software Technologies is 74 days, which is higher, thus worse compared to the benchmark SPY (41 days) in the same period.
• Looking at average time in days below previous high water mark in of 60 days in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to SPY (35 days).