Express Scripts (ESRX)

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 Express Scripts is 33.9%, which is lower, thus worse compared to the benchmark SPY (123.2%) in the same period.
• During the last 3 years, the total return, or increase in value is 7.8%, which is lower, thus worse than the value of 55.2% 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 (17.5%) in the period of the last 5 years, the annual performance (CAGR) of 6% of Express Scripts is smaller, thus worse.
• Looking at annual return (CAGR) in of 2.5% in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (15.8%).

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 Express Scripts is 22.9%, which is higher, thus worse compared to the benchmark SPY (17.9%) in the same period.
• Compared with SPY (18.4%) in the period of the last 3 years, the 30 days standard deviation of 24.8% is greater, thus worse.

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 16.4% in the last 5 years of Express Scripts, we see it is relatively greater, thus worse in comparison to the benchmark SPY (12.4%)
• During the last 3 years, the downside deviation is 17.9%, which is higher, thus worse than the value of 12.4% 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 Sharpe Ratio over 5 years of Express Scripts is 0.15, which is smaller, thus worse compared to the benchmark SPY (0.83) in the same period.
• Looking at ratio of return and volatility (Sharpe) in of 0 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (0.73).

Sortino:

'The Sortino ratio, a variation of the Sharpe ratio only factors in the downside, or negative volatility, rather than the total volatility used in calculating the Sharpe ratio. The theory behind the Sortino variation is that upside volatility is a plus for the investment, and it, therefore, should not be included in the risk calculation. Therefore, the Sortino ratio takes upside volatility out of the equation and uses only the downside standard deviation in its calculation instead of the total standard deviation that is used in calculating the Sharpe ratio.'

• The ratio of annual return and downside deviation over 5 years of Express Scripts is 0.21, which is lower, thus worse compared to the benchmark SPY (1.2) in the same period.
• Looking at excess return divided by the downside deviation in of 0 in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (1.08).

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 19 in the last 5 years of Express Scripts, we see it is relatively higher, thus worse in comparison to the benchmark SPY (8.48 )
• Looking at Downside risk index in of 20 in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to SPY (5.54 ).

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.'

• Looking at the maximum drop from peak to valley of -39.6 days in the last 5 years of Express Scripts, we see it is relatively lower, thus worse in comparison to the benchmark SPY (-24.5 days)
• Looking at maximum DrawDown in of -35.6 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 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 (488 days) in the period of the last 5 years, the maximum time in days below previous high water mark of 794 days of Express Scripts is higher, thus worse.
• Compared with SPY (199 days) in the period of the last 3 years, the maximum days below previous high of 673 days is greater, thus worse.

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 time in days below previous high water mark of 279 days in the last 5 years of Express Scripts, we see it is relatively larger, thus worse in comparison to the benchmark SPY (119 days)
• During the last 3 years, the average days below previous high is 310 days, which is higher, thus worse than the value of 45 days from the benchmark.