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.'

• Compared with the benchmark SPY (104.5%) in the period of the last 5 years, the total return of 105.6% of Intuitive Surgical is higher, thus better.
• Compared with SPY (61%) in the period of the last 3 years, the total return of 96.6% is higher, thus better.

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.'

• Looking at the compounded annual growth rate (CAGR) of 15.6% in the last 5 years of Intuitive Surgical, we see it is relatively larger, thus better in comparison to the benchmark SPY (15.4%)
• Looking at compounded annual growth rate (CAGR) in of 25.4% in the period of the last 3 years, we see it is relatively larger, thus better in comparison to SPY (17.3%).

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.'

• Compared with the benchmark SPY (17.5%) in the period of the last 5 years, the volatility of 32.9% of Intuitive Surgical is larger, thus worse.
• Looking at volatility in of 31.7% in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to SPY (17.3%).

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 volatility over 5 years of Intuitive Surgical is 22.6%, which is greater, thus worse compared to the benchmark SPY (12.1%) in the same period.
• Looking at downside risk in of 20% in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to SPY (11.5%).

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 risk / return profile (Sharpe) of 0.4 in the last 5 years of Intuitive Surgical, we see it is relatively lower, thus worse in comparison to the benchmark SPY (0.74)
• Looking at risk / return profile (Sharpe) in of 0.72 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (0.86).

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 Intuitive Surgical is 0.58, which is smaller, thus worse compared to the benchmark SPY (1.07) in the same period.
• Compared with SPY (1.28) in the period of the last 3 years, the excess return divided by the downside deviation of 1.15 is smaller, thus worse.

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.'

• Looking at the Ulcer Ratio of 19 in the last 5 years of Intuitive Surgical, we see it is relatively higher, thus worse in comparison to the benchmark SPY (8.48 )
• During the last 3 years, the Ulcer Index is 11 , which is larger, thus worse than the value of 5.3 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 drop from peak to valley over 5 years of Intuitive Surgical is -49.9 days, which is smaller, thus worse compared to the benchmark SPY (-24.5 days) in the same period.
• During the last 3 years, the maximum drop from peak to valley is -27.2 days, which is lower, thus worse than the value of -18.8 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.'

• Compared with the benchmark SPY (488 days) in the period of the last 5 years, the maximum time in days below previous high water mark of 549 days of Intuitive Surgical is higher, thus worse.
• Compared with SPY (199 days) in the period of the last 3 years, the maximum days under water of 137 days is lower, thus better.

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 days below previous high of 146 days in the last 5 years of Intuitive Surgical, we see it is relatively higher, thus worse in comparison to the benchmark SPY (120 days)
• During the last 3 years, the average days under water is 38 days, which is lower, thus better than the value of 47 days from the benchmark.