Henry Schein (HSIC)

TotalReturn:

'Total return, when measuring performance, is the actual rate of return of an investment or a pool of investments over a given evaluation period. Total return includes interest, capital gains, dividends and distributions realized over a given period of time. Total return accounts for two categories of return: income including interest paid by fixed-income investments, distributions or dividends and capital appreciation, representing the change in the market price of an asset.'

• The total return, or performance over 5 years of Henry Schein is 10.8%, which is lower, thus worse compared to the benchmark SPY (89.1%) in the same period.
• Looking at total return, or performance in of -3.9% in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (78.1%).

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.'

• Looking at the annual return (CAGR) of 2.1% in the last 5 years of Henry Schein, we see it is relatively smaller, thus worse in comparison to the benchmark SPY (13.6%)
• During the last 3 years, the compounded annual growth rate (CAGR) is -1.3%, which is lower, thus worse than the value of 21.4% 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 25.8% in the last 5 years of Henry Schein, we see it is relatively greater, thus worse in comparison to the benchmark SPY (17.1%)
• Looking at volatility in of 25.9% in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (15.2%).

DownVol:

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

• Looking at the downside deviation of 17.7% in the last 5 years of Henry Schein, we see it is relatively larger, thus worse in comparison to the benchmark SPY (11.8%)
• During the last 3 years, the downside risk is 17.9%, which is greater, thus worse than the value of 10.2% 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.'

• Compared with the benchmark SPY (0.65) in the period of the last 5 years, the risk / return profile (Sharpe) of -0.02 of Henry Schein is smaller, thus worse.
• Looking at Sharpe Ratio in of -0.15 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (1.24).

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.'

• The excess return divided by the downside deviation over 5 years of Henry Schein is -0.02, which is lower, thus worse compared to the benchmark SPY (0.94) in the same period.
• During the last 3 years, the ratio of annual return and downside deviation is -0.21, which is lower, thus worse than the value of 1.85 from the benchmark.

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 Downside risk index over 5 years of Henry Schein is 18 , which is greater, thus worse compared to the benchmark SPY (8.42 ) in the same period.
• Looking at Ulcer Ratio in of 19 in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (3.52 ).

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.'

• Compared with the benchmark SPY (-24.5 days) in the period of the last 5 years, the maximum DrawDown of -32.7 days of Henry Schein is lower, thus worse.
• Compared with SPY (-18.8 days) in the period of the last 3 years, the maximum DrawDown of -30.5 days is lower, thus worse.

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). Many assume Max DD Duration is the length of time between new highs during which the Max DD (magnitude) occurred. But that isn’t always the case. The Max DD duration is the longest time between peaks, period. So it could be the time when the program also had its biggest peak to valley loss (and usually is, because the program needs a long time to recover from the largest loss), but it doesn’t have to be'

• The maximum days below previous high over 5 years of Henry Schein is 944 days, which is larger, thus worse compared to the benchmark SPY (488 days) in the same period.
• Looking at maximum days under water in of 742 days in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (87 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 under water of 378 days in the last 5 years of Henry Schein, we see it is relatively larger, thus worse in comparison to the benchmark SPY (119 days)
• Compared with SPY (21 days) in the period of the last 3 years, the average days under water of 371 days is greater, thus worse.