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 (67.9%) in the period of the last 5 years, the total return, or increase in value of 370.8% of IDEXX Laboratories is larger, thus better.
• During the last 3 years, the total return, or increase in value is 83.5%, which is greater, thus better than the value of 38.6% from the benchmark.

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 36.3% in the last 5 years of IDEXX Laboratories, we see it is relatively larger, thus better in comparison to the benchmark SPY (10.9%)
• Looking at compounded annual growth rate (CAGR) in of 22.4% in the period of the last 3 years, we see it is relatively larger, thus better in comparison to SPY (11.5%).

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.'

• Looking at the volatility of 29.7% in the last 5 years of IDEXX Laboratories, we see it is relatively larger, thus worse in comparison to the benchmark SPY (18.7%)
• During the last 3 years, the 30 days standard deviation is 31.1%, which is higher, thus worse than the value of 21.5% 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 volatility of 19.8% in the last 5 years of IDEXX Laboratories, we see it is relatively higher, thus worse in comparison to the benchmark SPY (13.6%)
• During the last 3 years, the downside risk is 22%, which is larger, thus worse than the value of 15.7% 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.'

• Looking at the risk / return profile (Sharpe) of 1.14 in the last 5 years of IDEXX Laboratories, we see it is relatively greater, thus better in comparison to the benchmark SPY (0.45)
• Compared with SPY (0.42) in the period of the last 3 years, the risk / return profile (Sharpe) of 0.64 is higher, 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.'

• Compared with the benchmark SPY (0.62) in the period of the last 5 years, the downside risk / excess return profile of 1.71 of IDEXX Laboratories is larger, thus better.
• Looking at ratio of annual return and downside deviation in of 0.9 in the period of the last 3 years, we see it is relatively higher, thus better in comparison to SPY (0.57).

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 Ulcer Index over 5 years of IDEXX Laboratories is 9.07 , which is greater, thus worse compared to the benchmark SPY (5.82 ) in the same period.
• Looking at Ulcer Index in of 11 in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to SPY (6.87 ).

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.'

• Compared with the benchmark SPY (-33.7 days) in the period of the last 5 years, the maximum DrawDown of -37.1 days of IDEXX Laboratories is lower, thus worse.
• Looking at maximum drop from peak to valley in of -37.1 days in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (-33.7 days).

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 (187 days) in the period of the last 5 years, the maximum days below previous high of 183 days of IDEXX Laboratories is smaller, thus better.
• Compared with SPY (139 days) in the period of the last 3 years, the maximum days below previous high of 183 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.'

• Compared with the benchmark SPY (43 days) in the period of the last 5 years, the average days under water of 47 days of IDEXX Laboratories is greater, thus worse.
• During the last 3 years, the average time in days below previous high water mark is 55 days, which is higher, thus worse than the value of 39 days from the benchmark.