IDEXX Laboratories (IDXX)

TotalReturn:

'Total return is the amount of value an investor earns from a security over a specific period, typically one year, when all distributions are reinvested. Total return is expressed as a percentage of the amount invested. For example, a total return of 20% means the security increased by 20% of its original value due to a price increase, distribution of dividends (if a stock), coupons (if a bond) or capital gains (if a fund). Total return is a strong measure of an investment’s overall performance.'

• Compared with the benchmark SPY (109.2%) in the period of the last 5 years, the total return, or increase in value of 78.2% of IDEXX Laboratories is smaller, thus worse.
• Compared with SPY (77.9%) in the period of the last 3 years, the total return of 88.5% is higher, thus better.

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 annual performance (CAGR) of 12.3% in the last 5 years of IDEXX Laboratories, we see it is relatively lower, thus worse in comparison to the benchmark SPY (16%)
• Compared with SPY (21.3%) in the period of the last 3 years, the annual performance (CAGR) of 23.7% is greater, thus better.

Volatility:

'Volatility is a statistical measure of the dispersion of returns for a given security or market index. Volatility can either be measured by using the standard deviation or variance between returns from that same security or market index. Commonly, the higher the volatility, the riskier the security. In the securities markets, volatility is often associated with big swings in either direction. For example, when the stock market rises and falls more than one percent over a sustained period of time, it is called a 'volatile' market.'

• Looking at the 30 days standard deviation of 35.2% in the last 5 years of IDEXX Laboratories, we see it is relatively greater, thus worse in comparison to the benchmark SPY (17.3%)
• Looking at 30 days standard deviation in of 35.6% in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (16.8%).

DownVol:

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

• The downside deviation over 5 years of IDEXX Laboratories is 22.8%, which is greater, thus worse compared to the benchmark SPY (11.9%) in the same period.
• Looking at downside volatility in of 20.5% in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (10.9%).

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 IDEXX Laboratories is 0.28, which is lower, thus worse compared to the benchmark SPY (0.78) in the same period.
• During the last 3 years, the ratio of return and volatility (Sharpe) is 0.6, which is lower, thus worse than the value of 1.12 from the benchmark.

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 (1.13) in the period of the last 5 years, the downside risk / excess return profile of 0.43 of IDEXX Laboratories is lower, thus worse.
• Looking at excess return divided by the downside deviation in of 1.03 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (1.72).

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.'

• Compared with the benchmark SPY (8.43 ) in the period of the last 5 years, the Ulcer Index of 30 of IDEXX Laboratories is larger, thus worse.
• Looking at Downside risk index in of 15 in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to SPY (3.76 ).

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 (-24.5 days) in the period of the last 5 years, the maximum reduction from previous high of -54 days of IDEXX Laboratories is smaller, thus worse.
• During the last 3 years, the maximum drop from peak to valley is -37.4 days, which is lower, thus worse than the value of -18.8 days from the benchmark.

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.'

• Looking at the maximum days below previous high of 1032 days in the last 5 years of IDEXX Laboratories, we see it is relatively larger, thus worse in comparison to the benchmark SPY (488 days)
• During the last 3 years, the maximum time in days below previous high water mark is 355 days, which is higher, thus worse than the value of 87 days from the benchmark.

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 time in days below previous high water mark of 445 days in the last 5 years of IDEXX Laboratories, we see it is relatively higher, thus worse in comparison to the benchmark SPY (120 days)
• Looking at average time in days below previous high water mark in of 104 days in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to SPY (22 days).