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.'

• Looking at the total return of 83.6% in the last 5 years of Check Point Software Technologies, we see it is relatively greater, thus better in comparison to the benchmark SPY (68.1%)
• Looking at total return, or performance in of 53.6% in the period of the last 3 years, we see it is relatively greater, thus better in comparison to SPY (47.1%).

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 performance (CAGR) over 5 years of Check Point Software Technologies is 12.9%, which is larger, thus better compared to the benchmark SPY (11%) in the same period.
• During the last 3 years, the annual performance (CAGR) is 15.4%, which is higher, thus better than the value of 13.8% from the benchmark.

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.'

• Compared with the benchmark SPY (13.2%) in the period of the last 5 years, the 30 days standard deviation of 20.4% of Check Point Software Technologies is greater, thus worse.
• During the last 3 years, the historical 30 days volatility is 20.5%, which is larger, thus worse than the value of 12.4% from the benchmark.

DownVol:

'The downside volatility is similar to the volatility, or standard deviation, but only takes losing/negative periods into account.'

• The downside volatility over 5 years of Check Point Software Technologies is 21.8%, which is larger, thus worse compared to the benchmark SPY (14.6%) in the same period.
• Compared with SPY (14%) in the period of the last 3 years, the downside deviation of 22.6% is larger, thus worse.

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.'

• Looking at the ratio of return and volatility (Sharpe) of 0.51 in the last 5 years of Check Point Software Technologies, we see it is relatively smaller, thus worse in comparison to the benchmark SPY (0.64)
• Looking at ratio of return and volatility (Sharpe) in of 0.63 in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (0.91).

Sortino:

'The Sortino ratio measures the risk-adjusted return of an investment asset, portfolio, or strategy. It is a modification of the Sharpe ratio but penalizes only those returns falling below a user-specified target or required rate of return, while the Sharpe ratio penalizes both upside and downside volatility equally. Though both ratios measure an investment's risk-adjusted return, they do so in significantly different ways that will frequently lead to differing conclusions as to the true nature of the investment's return-generating efficiency. The Sortino ratio is used as a way to compare the risk-adjusted performance of programs with differing risk and return profiles. In general, risk-adjusted returns seek to normalize the risk across programs and then see which has the higher return unit per risk.'

• The excess return divided by the downside deviation over 5 years of Check Point Software Technologies is 0.48, which is smaller, thus worse compared to the benchmark SPY (0.58) in the same period.
• Compared with SPY (0.8) in the period of the last 3 years, the downside risk / excess return profile of 0.57 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 Index of 8.41 in the last 5 years of Check Point Software Technologies, we see it is relatively larger, thus better in comparison to the benchmark SPY (3.95 )
• Compared with SPY (4 ) in the period of the last 3 years, the Ulcer Index of 9.68 is higher, thus better.

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.'

• The maximum DrawDown 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.
• Looking at maximum reduction from previous high in of -19.7 days in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (-19.3 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 (187 days) in the period of the last 5 years, the maximum time in days below previous high water mark of 229 days of Check Point Software Technologies is higher, thus worse.
• During the last 3 years, the maximum days below previous high is 229 days, which is larger, thus worse than the value of 131 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.'

• Looking at the average days below previous high of 74 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 (39 days)
• During the last 3 years, the average days below previous high is 74 days, which is larger, thus worse than the value of 33 days from the benchmark.