Intuit (INTU)

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 of 210% in the last 5 years of Intuit, we see it is relatively higher, thus better in comparison to the benchmark SPY (75.6%)
• Looking at total return, or increase in value in of 59.7% in the period of the last 3 years, we see it is relatively larger, thus better in comparison to SPY (40%).

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 Intuit is 25.4%, which is greater, thus better compared to the benchmark SPY (11.9%) in the same period.
• During the last 3 years, the annual performance (CAGR) is 16.9%, which is higher, thus better than the value of 11.9% 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.'

• Looking at the historical 30 days volatility of 34.3% in the last 5 years of Intuit, we see it is relatively larger, thus worse in comparison to the benchmark SPY (20.3%)
• During the last 3 years, the volatility is 39.5%, which is larger, thus worse than the value of 23.6% from the benchmark.

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.'

• The downside deviation over 5 years of Intuit is 23.6%, which is larger, thus worse compared to the benchmark SPY (14.9%) in the same period.
• Compared with SPY (17.3%) in the period of the last 3 years, the downside volatility of 27.2% is greater, thus worse.

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 ratio of return and volatility (Sharpe) of 0.67 in the last 5 years of Intuit, we see it is relatively higher, thus better in comparison to the benchmark SPY (0.46)
• During the last 3 years, the Sharpe Ratio is 0.36, which is lower, thus worse than the value of 0.4 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.'

• The ratio of annual return and downside deviation over 5 years of Intuit is 0.97, which is greater, thus better compared to the benchmark SPY (0.63) in the same period.
• During the last 3 years, the excess return divided by the downside deviation is 0.53, which is lower, thus worse than the value of 0.54 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 Intuit is 12 , which is higher, thus worse compared to the benchmark SPY (6.62 ) in the same period.
• During the last 3 years, the Ulcer Ratio is 15 , which is larger, thus worse than the value of 7.55 from the benchmark.

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.'

• Looking at the maximum DrawDown of -49 days in the last 5 years of Intuit, we see it is relatively lower, thus worse in comparison to the benchmark SPY (-33.7 days)
• Compared with SPY (-33.7 days) in the period of the last 3 years, the maximum DrawDown of -49 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 Intuit is 144 days, which is larger, thus worse compared to the benchmark SPY (139 days) in the same period.
• Looking at maximum days below previous high in of 144 days in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (120 days).

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.'

• Compared with the benchmark SPY (37 days) in the period of the last 5 years, the average time in days below previous high water mark of 31 days of Intuit is smaller, thus better.
• During the last 3 years, the average days under water is 38 days, which is larger, thus worse than the value of 31 days from the benchmark.