IDEXX Laboratories (IDXX)

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.'

• Compared with the benchmark SPY (109.6%) in the period of the last 5 years, the total return of 70.9% of IDEXX Laboratories is smaller, thus worse.
• Looking at total return, or performance in of -16.8% in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (37.7%).

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.'

• The annual return (CAGR) over 5 years of IDEXX Laboratories is 11.4%, which is smaller, thus worse compared to the benchmark SPY (16%) in the same period.
• Looking at annual return (CAGR) in of -6% in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (11.3%).

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 IDEXX Laboratories is 34.6%, which is larger, thus worse compared to the benchmark SPY (20.2%) in the same period.
• Looking at 30 days standard deviation in of 33.8% in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (17.1%).

DownVol:

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

• Compared with the benchmark SPY (14.3%) in the period of the last 5 years, the downside deviation of 23.9% of IDEXX Laboratories is greater, thus worse.
• During the last 3 years, the downside volatility is 23.3%, which is higher, thus worse than the value of 12% from the benchmark.

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 Sharpe Ratio over 5 years of IDEXX Laboratories is 0.26, which is smaller, thus worse compared to the benchmark SPY (0.67) in the same period.
• Looking at risk / return profile (Sharpe) in of -0.25 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (0.52).

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.'

• Looking at the ratio of annual return and downside deviation of 0.37 in the last 5 years of IDEXX Laboratories, we see it is relatively lower, thus worse in comparison to the benchmark SPY (0.94)
• Looking at excess return divided by the downside deviation in of -0.36 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (0.74).

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.'

• Compared with the benchmark SPY (8.43 ) in the period of the last 5 years, the Ulcer Ratio of 28 of IDEXX Laboratories is higher, thus worse.
• Compared with SPY (8.59 ) in the period of the last 3 years, the Ulcer Ratio of 21 is greater, thus worse.

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 -54 days of IDEXX Laboratories is lower, thus worse.
• Compared with SPY (-22.1 days) in the period of the last 3 years, the maximum drop from peak to valley of -41.3 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'

• Compared with the benchmark SPY (488 days) in the period of the last 5 years, the maximum time in days below previous high water mark of 901 days of IDEXX Laboratories is larger, thus worse.
• Compared with SPY (325 days) in the period of the last 3 years, the maximum days below previous high of 325 days is greater, thus worse.

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.'

• The average days below previous high over 5 years of IDEXX Laboratories is 349 days, which is greater, thus worse compared to the benchmark SPY (118 days) in the same period.
• Compared with SPY (90 days) in the period of the last 3 years, the average time in days below previous high water mark of 123 days is higher, thus worse.