Gilead Sciences (GILD)

TotalReturn:

'Total return is the amount of value an investor earns from a security over a specific period, typically one year, when all distributions are reinvested. Total return is expressed as a percentage of the amount invested. For example, a total return of 20% means the security increased by 20% of its original value due to a price increase, distribution of dividends (if a stock), coupons (if a bond) or capital gains (if a fund). Total return is a strong measure of an investment’s overall performance.'

• Compared with the benchmark SPY (67.6%) in the period of the last 5 years, the total return of -29.1% of Gilead Sciences is smaller, thus worse.
• During the last 3 years, the total return is -4.2%, which is lower, thus worse than the value of 51.3% 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 performance (CAGR) of -6.7% in the last 5 years of Gilead Sciences, we see it is relatively lower, thus worse in comparison to the benchmark SPY (10.9%)
• Compared with SPY (14.8%) in the period of the last 3 years, the annual return (CAGR) of -1.4% is smaller, thus worse.

Volatility:

'Volatility is a statistical measure of the dispersion of returns for a given security or market index. Volatility can either be measured by using the standard deviation or variance between returns from that same security or market index. Commonly, the higher the volatility, the riskier the security. In the securities markets, volatility is often associated with big swings in either direction. For example, when the stock market rises and falls more than one percent over a sustained period of time, it is called a 'volatile' market.'

• The volatility over 5 years of Gilead Sciences is 26.1%, which is higher, thus worse compared to the benchmark SPY (13.5%) in the same period.
• Compared with SPY (12.8%) in the period of the last 3 years, the 30 days standard deviation of 23.4% is larger, thus worse.

DownVol:

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

• Looking at the downside volatility of 28.4% in the last 5 years of Gilead Sciences, we see it is relatively larger, thus worse in comparison to the benchmark SPY (14.8%)
• Compared with SPY (14.7%) in the period of the last 3 years, the downside volatility of 24.6% is higher, thus worse.

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.'

• Looking at the ratio of return and volatility (Sharpe) of -0.35 in the last 5 years of Gilead Sciences, we see it is relatively lower, thus worse in comparison to the benchmark SPY (0.62)
• Compared with SPY (0.96) in the period of the last 3 years, the risk / return profile (Sharpe) of -0.17 is lower, thus worse.

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.'

• Compared with the benchmark SPY (0.57) in the period of the last 5 years, the ratio of annual return and downside deviation of -0.32 of Gilead Sciences is lower, thus worse.
• Compared with SPY (0.84) in the period of the last 3 years, the ratio of annual return and downside deviation of -0.16 is lower, thus worse.

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 Ratio over 5 years of Gilead Sciences is 32 , which is higher, thus worse compared to the benchmark SPY (3.99 ) in the same period.
• During the last 3 years, the Ulcer Index is 17 , which is greater, thus worse than the value of 4.1 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.'

• The maximum drop from peak to valley over 5 years of Gilead Sciences is -45.7 days, which is smaller, thus worse compared to the benchmark SPY (-19.3 days) in the same period.
• Compared with SPY (-19.3 days) in the period of the last 3 years, the maximum reduction from previous high of -29.7 days is lower, thus worse.

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 1111 days of Gilead Sciences is higher, thus worse.
• Compared with SPY (139 days) in the period of the last 3 years, the maximum days under water of 456 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.'

• The average days under water over 5 years of Gilead Sciences is 503 days, which is greater, thus worse compared to the benchmark SPY (42 days) in the same period.
• During the last 3 years, the average time in days below previous high water mark is 161 days, which is greater, thus worse than the value of 36 days from the benchmark.