Intuit (INTU)

TotalReturn:

'Total return is the amount of value an investor earns from a security over a specific period, typically one year, when all distributions are reinvested. Total return is expressed as a percentage of the amount invested. For example, a total return of 20% means the security increased by 20% of its original value due to a price increase, distribution of dividends (if a stock), coupons (if a bond) or capital gains (if a fund). Total return is a strong measure of an investment’s overall performance.'

• The total return, or increase in value over 5 years of Intuit is 170.2%, which is greater, thus better compared to the benchmark SPY (62.6%) in the same period.
• During the last 3 years, the total return, or performance is 61%, which is higher, thus better than the value of 32.1% 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 22% in the last 5 years of Intuit, we see it is relatively greater, thus better in comparison to the benchmark SPY (10.2%)
• Looking at annual performance (CAGR) in of 17.2% in the period of the last 3 years, we see it is relatively larger, thus better in comparison to SPY (9.7%).

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 Intuit is 36.6%, which is higher, thus worse compared to the benchmark SPY (21.5%) in the same period.
• Looking at historical 30 days volatility in of 42.1% in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to SPY (24.8%).

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 25%, which is higher, thus worse compared to the benchmark SPY (15.6%) in the same period.
• Looking at downside risk in of 28.7% in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to SPY (17.9%).

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.'

• Looking at the Sharpe Ratio of 0.53 in the last 5 years of Intuit, we see it is relatively larger, thus better in comparison to the benchmark SPY (0.36)
• Looking at ratio of return and volatility (Sharpe) in of 0.35 in the period of the last 3 years, we see it is relatively larger, thus better in comparison to SPY (0.29).

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.'

• The downside risk / excess return profile over 5 years of Intuit is 0.78, which is greater, thus better compared to the benchmark SPY (0.5) in the same period.
• Looking at downside risk / excess return profile in of 0.51 in the period of the last 3 years, we see it is relatively greater, thus better in comparison to SPY (0.4).

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.'

• Compared with the benchmark SPY (8.52 ) in the period of the last 5 years, the Downside risk index of 17 of Intuit is greater, thus worse.
• During the last 3 years, the Ulcer Ratio is 22 , which is higher, thus worse than the value of 10 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.'

• The maximum reduction from previous high over 5 years of Intuit is -49 days, which is lower, thus worse compared to the benchmark SPY (-33.7 days) in the same period.
• Looking at maximum reduction from previous high in of -49 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 Maximum 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. It is the length of time the account was in the Max Drawdown. A Max Drawdown measures a retrenchment from when an equity curve reaches a new high. It’s the maximum an account lost during that retrenchment. This method is applied because a valley can’t be measured until a new high occurs. Once the new high is reached, the percentage change from the old high to the bottom of the largest trough is recorded.'

• Compared with the benchmark SPY (235 days) in the period of the last 5 years, the maximum days below previous high of 259 days of Intuit is higher, thus worse.
• During the last 3 years, the maximum days below previous high is 259 days, which is larger, thus worse than the value of 235 days from the benchmark.

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.'

• Looking at the average time in days below previous high water mark of 51 days in the last 5 years of Intuit, we see it is relatively smaller, thus better in comparison to the benchmark SPY (55 days)
• During the last 3 years, the average time in days below previous high water mark is 65 days, which is larger, thus worse than the value of 59 days from the benchmark.