International Business Machines (IBM)

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.'

• Looking at the total return, or increase in value of 11.8% in the last 5 years of International Business Machines, we see it is relatively lower, thus worse in comparison to the benchmark SPY (61.3%)
• Compared with SPY (31.6%) in the period of the last 3 years, the total return of 4% is smaller, thus worse.

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.'

• The compounded annual growth rate (CAGR) over 5 years of International Business Machines is 2.3%, which is smaller, thus worse compared to the benchmark SPY (10%) in the same period.
• Looking at annual performance (CAGR) in of 1.3% in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (9.6%).

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.'

• The 30 days standard deviation over 5 years of International Business Machines is 27.3%, which is larger, thus worse compared to the benchmark SPY (20.8%) in the same period.
• Looking at volatility in of 29.8% in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to SPY (24%).

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.'

• The downside risk over 5 years of International Business Machines is 19.8%, which is greater, thus worse compared to the benchmark SPY (15.3%) in the same period.
• Compared with SPY (17.6%) in the period of the last 3 years, the downside deviation of 21.7% is higher, 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 risk / return profile (Sharpe) over 5 years of International Business Machines is -0.01, which is lower, thus worse compared to the benchmark SPY (0.36) in the same period.
• During the last 3 years, the risk / return profile (Sharpe) is -0.04, which is lower, thus worse than the value of 0.3 from the benchmark.

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.'

• The excess return divided by the downside deviation over 5 years of International Business Machines is -0.01, which is lower, thus worse compared to the benchmark SPY (0.49) in the same period.
• Looking at excess return divided by the downside deviation in of -0.05 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (0.4).

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 International Business Machines is 14 , which is higher, thus worse compared to the benchmark SPY (7.61 ) in the same period.
• Looking at Ulcer Ratio in of 13 in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (8.93 ).

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.'

• Looking at the maximum drop from peak to valley of -39 days in the last 5 years of International Business Machines, we see it is relatively lower, thus worse in comparison to the benchmark SPY (-33.7 days)
• Compared with SPY (-33.7 days) in the period of the last 3 years, the maximum DrawDown of -39 days is smaller, 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 (185 days) in the period of the last 5 years, the maximum days under water of 514 days of International Business Machines is greater, thus worse.
• Compared with SPY (185 days) in the period of the last 3 years, the maximum days under water of 309 days is higher, 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 time in days below previous high water mark over 5 years of International Business Machines is 170 days, which is higher, thus worse compared to the benchmark SPY (46 days) in the same period.
• During the last 3 years, the average days under water is 106 days, which is greater, thus worse than the value of 44 days from the benchmark.