Illumina (ILMN)

TotalReturn:

'The total return on a portfolio of investments takes into account not only the capital appreciation on the portfolio, but also the income received on the portfolio. The income typically consists of interest, dividends, and securities lending fees. This contrasts with the price return, which takes into account only the capital gain on an investment.'

• Looking at the total return, or increase in value of -62.8% in the last 5 years of Illumina, we see it is relatively lower, thus worse in comparison to the benchmark SPY (60.6%)
• Compared with SPY (38%) in the period of the last 3 years, the total return, or performance of -50.6% is lower, thus worse.

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 Illumina is -18%, which is lower, thus worse compared to the benchmark SPY (10%) in the same period.
• Compared with SPY (11.3%) in the period of the last 3 years, the annual return (CAGR) of -21% is lower, thus worse.

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 Illumina is 43.7%, which is higher, thus worse compared to the benchmark SPY (21.5%) in the same period.
• Looking at 30 days standard deviation in of 44.8% in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to SPY (17.9%).

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 (15.5%) in the period of the last 5 years, the downside deviation of 31.2% of Illumina is larger, thus worse.
• Compared with SPY (12.5%) in the period of the last 3 years, the downside risk of 30.6% is larger, thus worse.

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 (0.35) in the period of the last 5 years, the ratio of return and volatility (Sharpe) of -0.47 of Illumina is lower, thus worse.
• During the last 3 years, the ratio of return and volatility (Sharpe) is -0.52, which is lower, thus worse than the value of 0.49 from the benchmark.

Sortino:

'The Sortino ratio measures the risk-adjusted return of an investment asset, portfolio, or strategy. It is a modification of the Sharpe ratio but penalizes only those returns falling below a user-specified target or required rate of return, while the Sharpe ratio penalizes both upside and downside volatility equally. Though both ratios measure an investment's risk-adjusted return, they do so in significantly different ways that will frequently lead to differing conclusions as to the true nature of the investment's return-generating efficiency. The Sortino ratio is used as a way to compare the risk-adjusted performance of programs with differing risk and return profiles. In general, risk-adjusted returns seek to normalize the risk across programs and then see which has the higher return unit per risk.'

• Looking at the downside risk / excess return profile of -0.66 in the last 5 years of Illumina, we see it is relatively lower, thus worse in comparison to the benchmark SPY (0.48)
• Looking at ratio of annual return and downside deviation in of -0.77 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (0.71).

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.'

• Compared with the benchmark SPY (9.55 ) in the period of the last 5 years, the Ulcer Ratio of 36 of Illumina is larger, thus worse.
• Compared with SPY (10 ) in the period of the last 3 years, the Ulcer Ratio of 44 is higher, 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.'

• The maximum drop from peak to valley over 5 years of Illumina is -74.6 days, which is smaller, thus worse compared to the benchmark SPY (-33.7 days) in the same period.
• During the last 3 years, the maximum DrawDown is -74.6 days, which is lower, thus worse than the value of -24.5 days from the benchmark.

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'

• The maximum time in days below previous high water mark over 5 years of Illumina is 528 days, which is higher, thus worse compared to the benchmark SPY (431 days) in the same period.
• Compared with SPY (431 days) in the period of the last 3 years, the maximum time in days below previous high water mark of 528 days is higher, thus worse.

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.'

• The average days under water over 5 years of Illumina is 165 days, which is larger, thus worse compared to the benchmark SPY (105 days) in the same period.
• Looking at average days below previous high in of 205 days in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (144 days).