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.'

• Compared with the benchmark SPY (67.1%) in the period of the last 5 years, the total return, or increase in value of 162.5% of Intuit is greater, thus better.
• Looking at total return, or performance in of 88.1% in the period of the last 3 years, we see it is relatively higher, thus better in comparison to SPY (61.5%).

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 performance (CAGR) over 5 years of Intuit is 21.3%, which is larger, thus better compared to the benchmark SPY (10.8%) in the same period.
• Compared with SPY (17.3%) in the period of the last 3 years, the annual return (CAGR) of 23.4% is higher, thus better.

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.'

• Compared with the benchmark SPY (21.4%) in the period of the last 5 years, the historical 30 days volatility of 37.3% of Intuit is higher, thus worse.
• Looking at historical 30 days volatility in of 38.3% in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to SPY (20%).

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 25.4% in the last 5 years of Intuit, we see it is relatively greater, thus worse in comparison to the benchmark SPY (15.4%)
• Looking at downside risk in of 26.3% in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to SPY (13.9%).

Sharpe:

'The Sharpe ratio is the measure of risk-adjusted return of a financial portfolio. Sharpe ratio is a measure of excess portfolio return over the risk-free rate relative to its standard deviation. Normally, the 90-day Treasury bill rate is taken as the proxy for risk-free rate. A portfolio with a higher Sharpe ratio is considered superior relative to its peers. The measure was named after William F Sharpe, a Nobel laureate and professor of finance, emeritus at Stanford University.'

• Looking at the ratio of return and volatility (Sharpe) of 0.5 in the last 5 years of Intuit, we see it is relatively higher, thus better in comparison to the benchmark SPY (0.39)
• During the last 3 years, the risk / return profile (Sharpe) is 0.55, which is smaller, thus worse than the value of 0.74 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.'

• Compared with the benchmark SPY (0.54) in the period of the last 5 years, the excess return divided by the downside deviation of 0.74 of Intuit is greater, thus better.
• During the last 3 years, the downside risk / excess return profile is 0.8, which is lower, thus worse than the value of 1.06 from the benchmark.

Ulcer:

'The Ulcer Index is a technical indicator that measures downside risk, in terms of both the depth and duration of price declines. The index increases in value as the price moves farther away from a recent high and falls as the price rises to new highs. The indicator is usually calculated over a 14-day period, with the Ulcer Index showing the percentage drawdown a trader can expect from the high over that period. The greater the value of the Ulcer Index, the longer it takes for a stock to get back to the former high.'

• The Downside risk index over 5 years of Intuit is 20 , which is higher, thus worse compared to the benchmark SPY (9.21 ) in the same period.
• Looking at Downside risk index in of 25 in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (9.87 ).

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.'

• Looking at the maximum DrawDown of -49 days in the last 5 years of Intuit, we see it is relatively smaller, thus worse in comparison to the benchmark SPY (-33.7 days)
• During the last 3 years, the maximum DrawDown is -49 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) in days.'

• The maximum days below previous high over 5 years of Intuit is 335 days, which is larger, thus worse compared to the benchmark SPY (311 days) in the same period.
• Looking at maximum days below previous high in of 335 days in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to SPY (311 days).

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 (66 days) in the period of the last 5 years, the average days under water of 70 days of Intuit is higher, thus worse.
• During the last 3 years, the average days below previous high is 93 days, which is higher, thus worse than the value of 82 days from the benchmark.