Garmin (GRMN)

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 (80.1%) in the period of the last 5 years, the total return of 108.1% of Garmin is higher, thus better.
• Compared with SPY (30.8%) in the period of the last 3 years, the total return, or performance of 11.8% is smaller, thus worse.

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 (12.5%) in the period of the last 5 years, the compounded annual growth rate (CAGR) of 15.8% of Garmin is greater, thus better.
• During the last 3 years, the annual performance (CAGR) is 3.8%, which is lower, thus worse than the value of 9.4% 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.'

• The historical 30 days volatility over 5 years of Garmin is 28.4%, which is higher, thus worse compared to the benchmark SPY (21.3%) in the same period.
• Compared with SPY (17.6%) in the period of the last 3 years, the historical 30 days volatility of 25.4% is larger, 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 volatility of 19% in the last 5 years of Garmin, we see it is relatively greater, thus worse in comparison to the benchmark SPY (15.3%)
• Compared with SPY (12.3%) in the period of the last 3 years, the downside risk of 18.1% is greater, thus worse.

Sharpe:

'The Sharpe ratio was developed by Nobel laureate William F. Sharpe, and is used to help investors understand the return of an investment compared to its risk. The ratio is the average return earned in excess of the risk-free rate per unit of volatility or total risk. Subtracting the risk-free rate from the mean return allows an investor to better isolate the profits associated with risk-taking activities. One intuition of this calculation is that a portfolio engaging in 'zero risk' investments, such as the purchase of U.S. Treasury bills (for which the expected return is the risk-free rate), has a Sharpe ratio of exactly zero. Generally, the greater the value of the Sharpe ratio, the more attractive the risk-adjusted return.'

• The risk / return profile (Sharpe) over 5 years of Garmin is 0.47, which is larger, thus better compared to the benchmark SPY (0.47) in the same period.
• Compared with SPY (0.39) in the period of the last 3 years, the Sharpe Ratio of 0.05 is lower, thus worse.

Sortino:

'The Sortino ratio improves upon the Sharpe ratio by isolating downside volatility from total volatility by dividing excess return by the downside deviation. The Sortino ratio is a variation of the Sharpe ratio that differentiates harmful volatility from total overall volatility by using the asset's standard deviation of negative asset returns, called downside deviation. The Sortino ratio takes the asset's return and subtracts the risk-free rate, and then divides that amount by the asset's downside deviation. The ratio was named after Frank A. Sortino.'

• Compared with the benchmark SPY (0.66) in the period of the last 5 years, the excess return divided by the downside deviation of 0.7 of Garmin is higher, thus better.
• During the last 3 years, the excess return divided by the downside deviation is 0.07, which is smaller, thus worse than the value of 0.56 from the benchmark.

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.'

• The Ulcer Ratio over 5 years of Garmin is 26 , which is higher, thus worse compared to the benchmark SPY (9.43 ) in the same period.
• Compared with SPY (10 ) in the period of the last 3 years, the Ulcer Ratio of 33 is greater, 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.'

• Compared with the benchmark SPY (-33.7 days) in the period of the last 5 years, the maximum reduction from previous high of -54.6 days of Garmin is smaller, thus worse.
• During the last 3 years, the maximum drop from peak to valley is -54.6 days, which is lower, thus worse than the value of -24.5 days from the benchmark.

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 days below previous high over 5 years of Garmin is 565 days, which is greater, thus worse compared to the benchmark SPY (478 days) in the same period.
• Looking at maximum days below previous high in of 565 days in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to SPY (478 days).

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 below previous high of 156 days in the last 5 years of Garmin, we see it is relatively larger, thus worse in comparison to the benchmark SPY (118 days)
• During the last 3 years, the average days below previous high is 228 days, which is higher, thus worse than the value of 173 days from the benchmark.