Salesforce (CRM)

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.'

• Compared with the benchmark SPY (61.9%) in the period of the last 5 years, the total return, or performance of 58% of Salesforce is smaller, thus worse.
• During the last 3 years, the total return, or performance is 33.8%, which is smaller, thus worse than the value of 79.4% 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.'

• Looking at the annual return (CAGR) of 9.6% in the last 5 years of Salesforce, we see it is relatively smaller, thus worse in comparison to the benchmark SPY (10.1%)
• Compared with SPY (21.5%) in the period of the last 3 years, the compounded annual growth rate (CAGR) of 10.2% is lower, thus worse.

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 (21.5%) in the period of the last 5 years, the volatility of 39.7% of Salesforce is greater, thus worse.
• During the last 3 years, the historical 30 days volatility is 42.5%, which is greater, thus worse than the value of 21.2% from the benchmark.

DownVol:

'Downside risk is the financial risk associated with losses. That is, it is the risk of the actual return being below the expected return, or the uncertainty about the magnitude of that difference. 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 27% in the last 5 years of Salesforce, we see it is relatively greater, thus worse in comparison to the benchmark SPY (15.5%)
• During the last 3 years, the downside risk is 27.8%, which is greater, thus worse than the value of 14.1% 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.'

• Compared with the benchmark SPY (0.36) in the period of the last 5 years, the Sharpe Ratio of 0.18 of Salesforce is smaller, thus worse.
• Looking at risk / return profile (Sharpe) in of 0.18 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (0.9).

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.'

• Looking at the excess return divided by the downside deviation of 0.26 in the last 5 years of Salesforce, we see it is relatively smaller, thus worse in comparison to the benchmark SPY (0.49)
• Looking at excess return divided by the downside deviation in of 0.28 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (1.35).

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 (9.15 ) in the period of the last 5 years, the Ulcer Index of 24 of Salesforce is larger, thus worse.
• During the last 3 years, the Ulcer Ratio is 30 , which is greater, thus worse than the value of 9.78 from the benchmark.

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 drop from peak to valley of -58.6 days in the last 5 years of Salesforce, we see it is relatively lower, thus worse in comparison to the benchmark SPY (-33.7 days)
• Looking at maximum drop from peak to valley in of -58.6 days in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (-24.5 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 (305 days) in the period of the last 5 years, the maximum time in days below previous high water mark of 343 days of Salesforce is larger, thus worse.
• During the last 3 years, the maximum time in days below previous high water mark is 343 days, which is larger, thus worse than the value of 305 days from the benchmark.

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 time in days below previous high water mark of 105 days in the last 5 years of Salesforce, we see it is relatively higher, thus worse in comparison to the benchmark SPY (65 days)
• Compared with SPY (80 days) in the period of the last 3 years, the average time in days below previous high water mark of 133 days is larger, thus worse.