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.'

• Looking at the total return, or increase in value of 61.4% in the last 5 years of IDEXX Laboratories, we see it is relatively lower, thus worse in comparison to the benchmark SPY (92.9%)
• Looking at total return, or performance in of -11.2% in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (43.1%).

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.'

• Looking at the annual return (CAGR) of 10.1% in the last 5 years of IDEXX Laboratories, we see it is relatively lower, thus worse in comparison to the benchmark SPY (14.1%)
• During the last 3 years, the compounded annual growth rate (CAGR) is -3.9%, which is lower, thus worse than the value of 12.8% from the benchmark.

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 historical 30 days volatility over 5 years of IDEXX Laboratories is 35%, which is greater, thus worse compared to the benchmark SPY (21%) in the same period.
• Looking at historical 30 days volatility in of 34.2% in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to SPY (17.2%).

DownVol:

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

• The downside volatility over 5 years of IDEXX Laboratories is 24.2%, which is greater, thus worse compared to the benchmark SPY (15%) in the same period.
• Looking at downside risk in of 23.3% in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to SPY (12%).

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.'

• Compared with the benchmark SPY (0.55) in the period of the last 5 years, the Sharpe Ratio of 0.22 of IDEXX Laboratories is smaller, thus worse.
• Looking at ratio of return and volatility (Sharpe) in of -0.19 in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (0.6).

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 IDEXX Laboratories is 0.31, which is smaller, thus worse compared to the benchmark SPY (0.77) in the same period.
• Looking at ratio of annual return and downside deviation in of -0.27 in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (0.86).

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.'

• The Downside risk index over 5 years of IDEXX Laboratories is 28 , which is greater, thus worse compared to the benchmark SPY (9.33 ) in the same period.
• During the last 3 years, the Downside risk index is 21 , which is greater, thus worse than the value of 8.59 from the benchmark.

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 (-33.7 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 DrawDown 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) in days.'

• Compared with the benchmark SPY (488 days) in the period of the last 5 years, the maximum days below previous high of 884 days of IDEXX Laboratories is higher, thus worse.
• During the last 3 years, the maximum days under water is 325 days, which is larger, thus worse than the value of 325 days from the benchmark.

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 335 days, which is higher, thus worse compared to the benchmark SPY (121 days) in the same period.
• Compared with SPY (89 days) in the period of the last 3 years, the average time in days below previous high water mark of 118 days is higher, thus worse.