Check Point Software Technologies (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, or increase in value over 5 years of Check Point Software Technologies is 44.4%, which is lower, thus worse compared to the benchmark SPY (77.6%) in the same period.
• During the last 3 years, the total return, or performance is 18.1%, which is smaller, thus worse than the value of 54.9% from the benchmark.

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.'

• Compared with the benchmark SPY (12.2%) in the period of the last 5 years, the annual return (CAGR) of 7.6% of Check Point Software Technologies is lower, thus worse.
• Compared with SPY (15.7%) in the period of the last 3 years, the annual performance (CAGR) of 5.7% is smaller, thus worse.

Volatility:

'Volatility is a statistical measure of the dispersion of returns for a given security or market index. Volatility can either be measured by using the standard deviation or variance between returns from that same security or market index. Commonly, the higher the volatility, the riskier the security. In the securities markets, volatility is often associated with big swings in either direction. For example, when the stock market rises and falls more than one percent over a sustained period of time, it is called a 'volatile' market.'

• Looking at the 30 days standard deviation of 20.7% in the last 5 years of Check Point Software Technologies, we see it is relatively larger, thus worse in comparison to the benchmark SPY (13.3%)
• During the last 3 years, the historical 30 days volatility is 20.2%, which is larger, thus worse than the value of 12.8% 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 22.3% in the last 5 years of Check Point Software Technologies, we see it is relatively larger, thus worse in comparison to the benchmark SPY (14.8%)
• During the last 3 years, the downside volatility is 23.2%, which is greater, thus worse than the value of 14.8% 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.'

• The risk / return profile (Sharpe) over 5 years of Check Point Software Technologies is 0.25, which is smaller, thus worse compared to the benchmark SPY (0.73) in the same period.
• Compared with SPY (1.03) in the period of the last 3 years, the ratio of return and volatility (Sharpe) of 0.16 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.'

• Compared with the benchmark SPY (0.66) in the period of the last 5 years, the ratio of annual return and downside deviation of 0.23 of Check Point Software Technologies is lower, thus worse.
• During the last 3 years, the excess return divided by the downside deviation is 0.14, which is smaller, thus worse than the value of 0.89 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.'

• Looking at the Ulcer Index of 9.99 in the last 5 years of Check Point Software Technologies, we see it is relatively greater, thus worse in comparison to the benchmark SPY (3.97 )
• Compared with SPY (4.09 ) in the period of the last 3 years, the Downside risk index of 11 is higher, thus worse.

MaxDD:

'Maximum drawdown is defined as the peak-to-trough decline of an investment during a specific period. It is usually quoted as a percentage of the peak value. The maximum drawdown can be calculated based on absolute returns, in order to identify strategies that suffer less during market downturns, such as low-volatility strategies. However, the maximum drawdown can also be calculated based on returns relative to a benchmark index, for identifying strategies that show steady outperformance over time.'

• Looking at the maximum reduction from previous high of -19.7 days in the last 5 years of Check Point Software Technologies, we see it is relatively smaller, thus worse in comparison to the benchmark SPY (-19.3 days)
• During the last 3 years, the maximum reduction from previous high is -19.7 days, which is lower, thus worse than the value of -19.3 days from the benchmark.

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 below previous high of 229 days in the last 5 years of Check Point Software Technologies, we see it is relatively higher, thus worse in comparison to the benchmark SPY (187 days)
• Compared with SPY (139 days) in the period of the last 3 years, the maximum days under water of 229 days is higher, thus worse.

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.'

• Looking at the average days under water of 82 days in the last 5 years of Check Point Software Technologies, we see it is relatively higher, thus worse in comparison to the benchmark SPY (42 days)
• During the last 3 years, the average days under water is 75 days, which is larger, thus worse than the value of 37 days from the benchmark.