Costco (COST)

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 performance over 5 years of Costco is 189.2%, which is higher, thus better compared to the benchmark SPY (63%) in the same period.
• During the last 3 years, the total return, or performance is 79.3%, which is larger, thus better than the value of 33.5% from the benchmark.

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.'

• The compounded annual growth rate (CAGR) over 5 years of Costco is 23.7%, which is larger, thus better compared to the benchmark SPY (10.3%) in the same period.
• Compared with SPY (10.1%) in the period of the last 3 years, the annual return (CAGR) of 21.4% is larger, thus better.

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.'

• The 30 days standard deviation over 5 years of Costco is 24.5%, which is larger, thus worse compared to the benchmark SPY (21.6%) in the same period.
• Looking at historical 30 days volatility in of 27.4% in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (25.1%).

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 Costco is 16.9%, which is larger, thus worse compared to the benchmark SPY (15.6%) in the same period.
• Compared with SPY (18.1%) in the period of the last 3 years, the downside risk of 18.7% is higher, 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 Sharpe Ratio of 0.86 in the last 5 years of Costco, we see it is relatively larger, thus better in comparison to the benchmark SPY (0.36)
• During the last 3 years, the ratio of return and volatility (Sharpe) is 0.69, which is higher, thus better than the value of 0.3 from the benchmark.

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 (0.5) in the period of the last 5 years, the ratio of annual return and downside deviation of 1.25 of Costco is higher, thus better.
• Compared with SPY (0.42) in the period of the last 3 years, the excess return divided by the downside deviation of 1.01 is greater, thus better.

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.'

• The Ulcer Index over 5 years of Costco is 9.07 , which is larger, thus worse compared to the benchmark SPY (8.88 ) in the same period.
• During the last 3 years, the Downside risk index is 11 , which is higher, thus worse than the value of 11 from the benchmark.

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 -31.4 days in the last 5 years of Costco, we see it is relatively greater, thus better in comparison to the benchmark SPY (-33.7 days)
• Looking at maximum DrawDown in of -31.4 days in the period of the last 3 years, we see it is relatively larger, 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.'

• The maximum days below previous high over 5 years of Costco is 207 days, which is lower, thus better compared to the benchmark SPY (273 days) in the same period.
• During the last 3 years, the maximum days below previous high is 207 days, which is lower, thus better than the value of 273 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.'

• Compared with the benchmark SPY (57 days) in the period of the last 5 years, the average days below previous high of 46 days of Costco is smaller, thus better.
• Compared with SPY (73 days) in the period of the last 3 years, the average days below previous high of 55 days is lower, thus better.