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 204.3%, which is greater, thus better compared to the benchmark SPY (80.5%) in the same period.
• Looking at total return, or performance in of 104.8% in the period of the last 3 years, we see it is relatively higher, thus better in comparison to SPY (71.5%).

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.'

• Looking at the annual performance (CAGR) of 25% in the last 5 years of Costco, we see it is relatively larger, thus better in comparison to the benchmark SPY (12.6%)
• During the last 3 years, the compounded annual growth rate (CAGR) is 27.2%, which is higher, thus better than the value of 19.8% 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.'

• Looking at the historical 30 days volatility of 22.6% in the last 5 years of Costco, we see it is relatively higher, thus worse in comparison to the benchmark SPY (17%)
• Looking at volatility in of 19.6% in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to SPY (15%).

DownVol:

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

• The downside deviation over 5 years of Costco is 15.8%, which is greater, thus worse compared to the benchmark SPY (11.7%) in the same period.
• During the last 3 years, the downside risk is 13.5%, which is greater, thus worse than the value of 10.1% from the benchmark.

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 1 in the last 5 years of Costco, we see it is relatively larger, thus better in comparison to the benchmark SPY (0.59)
• Compared with SPY (1.16) in the period of the last 3 years, the risk / return profile (Sharpe) of 1.26 is greater, thus better.

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 (0.86) in the period of the last 5 years, the excess return divided by the downside deviation of 1.43 of Costco is larger, thus better.
• During the last 3 years, the excess return divided by the downside deviation is 1.83, which is higher, thus better than the value of 1.72 from the benchmark.

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 (8.43 ) in the period of the last 5 years, the Downside risk index of 11 of Costco is greater, thus worse.
• Compared with SPY (3.43 ) in the period of the last 3 years, the Downside risk index of 7.51 is larger, thus worse.

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.'

• Compared with the benchmark SPY (-24.5 days) in the period of the last 5 years, the maximum drop from peak to valley of -31.4 days of Costco is smaller, thus worse.
• Looking at maximum drop from peak to valley in of -20.7 days in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (-18.8 days).

MaxDuration:

'The Maximum 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. It is the length of time the account was in the Max Drawdown. A Max Drawdown measures a retrenchment from when an equity curve reaches a new high. It’s the maximum an account lost during that retrenchment. This method is applied because a valley can’t be measured until a new high occurs. Once the new high is reached, the percentage change from the old high to the bottom of the largest trough is recorded.'

• The maximum days under water over 5 years of Costco is 416 days, which is smaller, thus better compared to the benchmark SPY (488 days) in the same period.
• During the last 3 years, the maximum days under water is 277 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.'

• Compared with the benchmark SPY (119 days) in the period of the last 5 years, the average days below previous high of 118 days of Costco is lower, thus better.
• During the last 3 years, the average days below previous high is 68 days, which is larger, thus worse than the value of 20 days from the benchmark.