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 (80%) in the period of the last 5 years, the total return, or increase in value of 128.6% of IDEXX Laboratories is higher, thus better.
• During the last 3 years, the total return, or increase in value is 1%, which is lower, thus worse than the value of 31.8% from the benchmark.

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.'

• Compared with the benchmark SPY (12.5%) in the period of the last 5 years, the compounded annual growth rate (CAGR) of 18% of IDEXX Laboratories is higher, thus better.
• During the last 3 years, the annual return (CAGR) is 0.3%, which is lower, thus worse than the value of 9.7% from the benchmark.

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.'

• The volatility over 5 years of IDEXX Laboratories is 34.5%, which is higher, thus worse compared to the benchmark SPY (21.3%) in the same period.
• Compared with SPY (17.6%) in the period of the last 3 years, the 30 days standard deviation of 34% is larger, thus worse.

DownVol:

'Downside risk is the financial risk associated with losses. That is, it is the risk of the actual return being below the expected return, or the uncertainty about the magnitude of that difference. 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.'

• Looking at the downside deviation of 24.2% in the last 5 years of IDEXX Laboratories, we see it is relatively larger, thus worse in comparison to the benchmark SPY (15.3%)
• Looking at downside deviation in of 24% in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to SPY (12.3%).

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 Sharpe Ratio over 5 years of IDEXX Laboratories is 0.45, which is lower, thus worse compared to the benchmark SPY (0.47) in the same period.
• Looking at risk / return profile (Sharpe) in of -0.06 in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (0.41).

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.'

• Compared with the benchmark SPY (0.66) in the period of the last 5 years, the downside risk / excess return profile of 0.64 of IDEXX Laboratories is lower, thus worse.
• During the last 3 years, the ratio of annual return and downside deviation is -0.09, which is smaller, thus worse than the value of 0.58 from the benchmark.

Ulcer:

'Ulcer Index is a method for measuring investment risk that addresses the real concerns of investors, unlike the widely used standard deviation of return. UI is a measure of the depth and duration of drawdowns in prices from earlier highs. Using Ulcer Index instead of standard deviation can lead to very different conclusions about investment risk and risk-adjusted return, especially when evaluating strategies that seek to avoid major declines in portfolio value (market timing, dynamic asset allocation, hedge funds, etc.). The Ulcer Index was originally developed in 1987. Since then, it has been widely recognized and adopted by the investment community. According to Nelson Freeburg, editor of Formula Research, Ulcer Index is “perhaps the most fully realized statistical portrait of risk there is.'

• The Downside risk index over 5 years of IDEXX Laboratories is 24 , which is larger, thus worse compared to the benchmark SPY (9.43 ) in the same period.
• Looking at Downside risk index in of 30 in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to SPY (10 ).

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.'

• The maximum DrawDown over 5 years of IDEXX Laboratories is -54 days, which is lower, thus worse compared to the benchmark SPY (-33.7 days) in the same period.
• Compared with SPY (-24.5 days) in the period of the last 3 years, the maximum drop from peak to valley of -54 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) in days.'

• The maximum days below previous high over 5 years of IDEXX Laboratories is 584 days, which is higher, thus worse compared to the benchmark SPY (480 days) in the same period.
• Compared with SPY (480 days) in the period of the last 3 years, the maximum days under water of 584 days is larger, 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.'

• Looking at the average time in days below previous high water mark of 159 days in the last 5 years of IDEXX Laboratories, we see it is relatively larger, thus worse in comparison to the benchmark SPY (119 days)
• Looking at average days below previous high in of 241 days in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to SPY (174 days).