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 346.3% in the last 5 years of Intuit, we see it is relatively larger, thus better in comparison to the benchmark SPY (106.8%)
• During the last 3 years, the total return, or increase in value is 145.2%, which is larger, thus better than the value of 71.9% 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.'

• The annual return (CAGR) over 5 years of Intuit is 34.9%, which is larger, thus better compared to the benchmark SPY (15.7%) in the same period.
• Compared with SPY (19.8%) in the period of the last 3 years, the compounded annual growth rate (CAGR) of 34.8% is greater, thus better.

Volatility:

'Volatility is a statistical measure of the dispersion of returns for a given security or market index. Volatility can either be measured by using the standard deviation or variance between returns from that same security or market index. Commonly, the higher the volatility, the riskier the security. In the securities markets, volatility is often associated with big swings in either direction. For example, when the stock market rises and falls more than one percent over a sustained period of time, it is called a 'volatile' market.'

• Looking at the historical 30 days volatility of 31.2% in the last 5 years of Intuit, we see it is relatively larger, thus worse in comparison to the benchmark SPY (18.9%)
• Compared with SPY (21.9%) in the period of the last 3 years, the historical 30 days volatility of 35.3% is higher, thus worse.

DownVol:

'The downside volatility is similar to the volatility, or standard deviation, but only takes losing/negative periods into account.'

• Looking at the downside risk of 20.7% in the last 5 years of Intuit, we see it is relatively greater, thus worse in comparison to the benchmark SPY (13.8%)
• Looking at downside volatility in of 23.6% in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to SPY (15.9%).

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.'

• The risk / return profile (Sharpe) over 5 years of Intuit is 1.04, which is greater, thus better compared to the benchmark SPY (0.69) in the same period.
• During the last 3 years, the Sharpe Ratio is 0.92, which is higher, thus better than the value of 0.79 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.'

• The ratio of annual return and downside deviation over 5 years of Intuit is 1.56, which is larger, thus better compared to the benchmark SPY (0.95) in the same period.
• Looking at ratio of annual return and downside deviation in of 1.37 in the period of the last 3 years, we see it is relatively larger, thus better in comparison to SPY (1.09).

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 Ulcer Index over 5 years of Intuit is 6.91 , which is higher, thus worse compared to the benchmark SPY (5.61 ) in the same period.
• During the last 3 years, the Ulcer Ratio is 7.77 , which is larger, thus worse than the value of 6.08 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.'

• Compared with the benchmark SPY (-33.7 days) in the period of the last 5 years, the maximum drop from peak to valley of -36.3 days of Intuit is lower, thus worse.
• During the last 3 years, the maximum drop from peak to valley is -36.3 days, which is lower, thus worse than the value of -33.7 days from the benchmark.

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 (139 days) in the period of the last 5 years, the maximum days below previous high of 105 days of Intuit is lower, thus better.
• Looking at maximum days under water in of 105 days in the period of the last 3 years, we see it is relatively smaller, thus better in comparison to SPY (119 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.'

• The average time in days below previous high water mark over 5 years of Intuit is 25 days, which is lower, thus better compared to the benchmark SPY (32 days) in the same period.
• During the last 3 years, the average days below previous high is 27 days, which is larger, thus worse than the value of 22 days from the benchmark.