Alphabet (GOOGL)

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.'

• Compared with the benchmark SPY (66.7%) in the period of the last 5 years, the total return of 90.4% of Alphabet is greater, thus better.
• During the last 3 years, the total return, or increase in value is 51%, which is greater, thus better than the value of 46% 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 (10.8%) in the period of the last 5 years, the annual return (CAGR) of 13.8% of Alphabet is greater, thus better.
• During the last 3 years, the annual return (CAGR) is 14.8%, which is larger, thus better than the value of 13.5% 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 23.4% in the last 5 years of Alphabet, we see it is relatively higher, thus worse in comparison to the benchmark SPY (13.4%)
• Looking at 30 days standard deviation in of 22.1% in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (12.3%).

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 Alphabet is 23.9%, which is higher, thus worse compared to the benchmark SPY (14.6%) in the same period.
• Compared with SPY (13.9%) in the period of the last 3 years, the downside deviation of 24% is greater, thus worse.

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 ratio of return and volatility (Sharpe) over 5 years of Alphabet is 0.48, which is lower, thus worse compared to the benchmark SPY (0.62) in the same period.
• Looking at Sharpe Ratio in of 0.55 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (0.89).

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.'

• Compared with the benchmark SPY (0.57) in the period of the last 5 years, the excess return divided by the downside deviation of 0.47 of Alphabet is lower, thus worse.
• Compared with SPY (0.79) in the period of the last 3 years, the excess return divided by the downside deviation of 0.51 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.'

• Looking at the Downside risk index of 8.22 in the last 5 years of Alphabet, we see it is relatively larger, thus worse in comparison to the benchmark SPY (3.99 )
• Compared with SPY (4.04 ) in the period of the last 3 years, the Ulcer Index of 8.35 is higher, thus worse.

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 reduction from previous high over 5 years of Alphabet is -23.4 days, which is lower, thus worse compared to the benchmark SPY (-19.3 days) in the same period.
• Looking at maximum drop from peak to valley in of -23.4 days in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (-19.3 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.'

• The maximum time in days below previous high water mark over 5 years of Alphabet is 206 days, which is greater, thus worse compared to the benchmark SPY (187 days) in the same period.
• Compared with SPY (139 days) in the period of the last 3 years, the maximum days below previous high of 188 days is larger, 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 days under water of 59 days in the last 5 years of Alphabet, we see it is relatively higher, thus worse in comparison to the benchmark SPY (41 days)
• Compared with SPY (36 days) in the period of the last 3 years, the average days below previous high of 49 days is larger, thus worse.