Intuitive Surgical (ISRG)

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 239.4% in the last 5 years of Intuitive Surgical, we see it is relatively higher, thus better in comparison to the benchmark SPY (64.1%)
• Looking at total return in of 129.8% in the period of the last 3 years, we see it is relatively greater, thus better in comparison to SPY (48.1%).

CAGR:

'Compound annual growth rate (CAGR) is a business and investing specific term for the geometric progression ratio that provides a constant rate of return over the time period. CAGR is not an accounting term, but it is often used to describe some element of the business, for example revenue, units delivered, registered users, etc. CAGR dampens the effect of volatility of periodic returns that can render arithmetic means irrelevant. It is particularly useful to compare growth rates from various data sets of common domain such as revenue growth of companies in the same industry.'

• Compared with the benchmark SPY (10.4%) in the period of the last 5 years, the annual performance (CAGR) of 27.7% of Intuitive Surgical is higher, thus better.
• During the last 3 years, the compounded annual growth rate (CAGR) is 32%, which is higher, thus better than the value of 14% 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.'

• The volatility over 5 years of Intuitive Surgical is 25.2%, which is greater, thus worse compared to the benchmark SPY (13.6%) in the same period.
• During the last 3 years, the volatility is 27.2%, which is higher, thus worse than the value of 12.8% from the benchmark.

DownVol:

'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 Intuitive Surgical is 27.1%, which is higher, thus worse compared to the benchmark SPY (14.9%) in the same period.
• Looking at downside risk in of 30.7% in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (14.5%).

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.'

• The ratio of return and volatility (Sharpe) over 5 years of Intuitive Surgical is 1, which is higher, thus better compared to the benchmark SPY (0.58) in the same period.
• During the last 3 years, the Sharpe Ratio is 1.08, which is higher, thus better than the value of 0.9 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 Intuitive Surgical is 0.93, which is larger, thus better compared to the benchmark SPY (0.53) in the same period.
• During the last 3 years, the excess return divided by the downside deviation is 0.96, which is greater, thus better than the value of 0.79 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 Intuitive Surgical is 7.42 , which is larger, thus worse compared to the benchmark SPY (4.02 ) in the same period.
• Looking at Downside risk index in of 8 in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (4.09 ).

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 (-19.3 days) in the period of the last 5 years, the maximum reduction from previous high of -24.3 days of Intuitive Surgical is lower, thus worse.
• Compared with SPY (-19.3 days) in the period of the last 3 years, the maximum reduction from previous high of -24.3 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 time in days below previous high water mark over 5 years of Intuitive Surgical is 121 days, which is lower, thus better compared to the benchmark SPY (187 days) in the same period.
• During the last 3 years, the maximum days below previous high is 116 days, which is smaller, thus better than the value of 139 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.'

• The average days below previous high over 5 years of Intuitive Surgical is 32 days, which is lower, thus better compared to the benchmark SPY (41 days) in the same period.
• Compared with SPY (35 days) in the period of the last 3 years, the average days under water of 33 days is lower, thus better.