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 performance of 170.9% in the last 5 years of International Business Machines, we see it is relatively higher, thus better in comparison to the benchmark SPY (111.4%)
• Looking at total return, or increase in value in of 117.8% in the period of the last 3 years, we see it is relatively higher, thus better in comparison to SPY (66.9%).

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 compounded annual growth rate (CAGR) of 22.1% in the last 5 years of International Business Machines, we see it is relatively greater, thus better in comparison to the benchmark SPY (16.2%)
• Looking at annual performance (CAGR) in of 29.8% in the period of the last 3 years, we see it is relatively larger, thus better in comparison to SPY (18.7%).

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.'

• Compared with the benchmark SPY (17.3%) in the period of the last 5 years, the volatility of 23.7% of International Business Machines is larger, thus worse.
• During the last 3 years, the volatility is 23.5%, which is larger, thus worse than the value of 16.9% from the benchmark.

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 16.3% in the last 5 years of International Business Machines, we see it is relatively larger, thus worse in comparison to the benchmark SPY (11.9%)
• During the last 3 years, the downside deviation is 15.5%, which is larger, thus worse than the value of 11.2% 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.'

• The ratio of return and volatility (Sharpe) over 5 years of International Business Machines is 0.83, which is higher, thus better compared to the benchmark SPY (0.79) in the same period.
• Compared with SPY (0.96) in the period of the last 3 years, the risk / return profile (Sharpe) of 1.16 is larger, thus better.

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 downside risk / excess return profile over 5 years of International Business Machines is 1.2, which is larger, thus better compared to the benchmark SPY (1.15) in the same period.
• Looking at excess return divided by the downside deviation in of 1.75 in the period of the last 3 years, we see it is relatively larger, thus better in comparison to SPY (1.44).

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 International Business Machines is 8.01 , which is lower, thus better compared to the benchmark SPY (8.43 ) in the same period.
• During the last 3 years, the Ulcer Ratio is 8.09 , which is higher, thus worse than the value of 4.21 from the benchmark.

MaxDD:

'A maximum drawdown is the maximum loss from a peak to a trough of a portfolio, before a new peak is attained. Maximum Drawdown is an indicator of downside risk over a specified time period. It can be used both as a stand-alone measure or as an input into other metrics such as 'Return over Maximum Drawdown' and the Calmar Ratio. Maximum Drawdown is expressed in percentage terms.'

• The maximum drop from peak to valley over 5 years of International Business Machines is -19.8 days, which is larger, thus better compared to the benchmark SPY (-24.5 days) in the same period.
• Compared with SPY (-18.8 days) in the period of the last 3 years, the maximum DrawDown of -19.8 days is smaller, 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) in days.'

• The maximum days below previous high over 5 years of International Business Machines is 216 days, which is lower, thus better compared to the benchmark SPY (488 days) in the same period.
• Looking at maximum days below previous high in of 174 days in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to SPY (97 days).

AveDuration:

'The Average 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. 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 53 days in the last 5 years of International Business Machines, we see it is relatively smaller, thus better in comparison to the benchmark SPY (120 days)
• During the last 3 years, the average days under water is 42 days, which is larger, thus worse than the value of 27 days from the benchmark.