Express Scripts Holding Company (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 performance over 5 years of Express Scripts Holding Company is 33.9%, which is smaller, thus worse compared to the benchmark SPY (59.9%) in the same period.
• During the last 3 years, the total return is 7.8%, which is smaller, thus worse than the value of 34.2% from the benchmark.

CAGR:

'The compound annual growth rate isn't a true return rate, but rather a representational figure. It is essentially a number that describes the rate at which an investment would have grown if it had grown the same rate every year and the profits were reinvested at the end of each year. In reality, this sort of performance is unlikely. However, CAGR can be used to smooth returns so that they may be more easily understood when compared to alternative investments.'

• Compared with the benchmark SPY (9.8%) in the period of the last 5 years, the compounded annual growth rate (CAGR) of 6% of Express Scripts Holding Company is lower, thus worse.
• During the last 3 years, the annual return (CAGR) is 2.5%, which is lower, thus worse than the value of 10.3% from the benchmark.

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.'

• Looking at the 30 days standard deviation of 22.9% in the last 5 years of Express Scripts Holding Company, we see it is relatively larger, thus worse in comparison to the benchmark SPY (18.7%)
• During the last 3 years, the historical 30 days volatility is 24.8%, which is higher, thus worse than the value of 21.5% 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 deviation over 5 years of Express Scripts Holding Company is 16.4%, which is higher, thus worse compared to the benchmark SPY (13.6%) in the same period.
• During the last 3 years, the downside risk is 17.9%, which is greater, thus worse than the value of 15.7% 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.'

• The risk / return profile (Sharpe) over 5 years of Express Scripts Holding Company is 0.15, which is smaller, thus worse compared to the benchmark SPY (0.39) in the same period.
• During the last 3 years, the Sharpe Ratio is 0, which is lower, thus worse than the value of 0.36 from the benchmark.

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 0.21 in the last 5 years of Express Scripts Holding Company, we see it is relatively smaller, thus worse in comparison to the benchmark SPY (0.54)
• Looking at ratio of annual return and downside deviation in of 0 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (0.5).

Ulcer:

'Ulcer Index is a method for measuring investment risk that addresses the real concerns of investors, unlike the widely used standard deviation of return. UI is a measure of the depth and duration of drawdowns in prices from earlier highs. Using Ulcer Index instead of standard deviation can lead to very different conclusions about investment risk and risk-adjusted return, especially when evaluating strategies that seek to avoid major declines in portfolio value (market timing, dynamic asset allocation, hedge funds, etc.). The Ulcer Index was originally developed in 1987. Since then, it has been widely recognized and adopted by the investment community. According to Nelson Freeburg, editor of Formula Research, Ulcer Index is “perhaps the most fully realized statistical portrait of risk there is.'

• The Ulcer Index over 5 years of Express Scripts Holding Company is 19 , which is greater, thus worse compared to the benchmark SPY (5.81 ) in the same period.
• During the last 3 years, the Ulcer Index is 20 , which is higher, thus worse than the value of 6.86 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 drop from peak to valley of -39.6 days in the last 5 years of Express Scripts Holding Company, we see it is relatively lower, thus worse in comparison to the benchmark SPY (-33.7 days)
• During the last 3 years, the maximum reduction from previous high is -35.6 days, which is lower, thus worse than the value of -33.7 days from the benchmark.

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.'

• 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 794 days of Express Scripts Holding Company is larger, thus worse.
• Compared with SPY (139 days) in the period of the last 3 years, the maximum time in days below previous high water mark of 673 days is higher, thus worse.

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.'

• The average days under water over 5 years of Express Scripts Holding Company is 279 days, which is greater, thus worse compared to the benchmark SPY (43 days) in the same period.
• During the last 3 years, the average days below previous high is 310 days, which is greater, thus worse than the value of 39 days from the benchmark.