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, or increase in value of 126.5% in the last 5 years of Intuitive Surgical, we see it is relatively higher, thus better in comparison to the benchmark SPY (78.4%)
• During the last 3 years, the total return is 36%, which is lower, thus worse than the value of 44.1% 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.'

• The annual return (CAGR) over 5 years of Intuitive Surgical is 17.8%, which is higher, thus better compared to the benchmark SPY (12.3%) in the same period.
• Compared with SPY (12.9%) in the period of the last 3 years, the annual return (CAGR) of 10.8% is lower, thus worse.

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 (19.9%) in the period of the last 5 years, the volatility of 34.4% of Intuitive Surgical is larger, thus worse.
• Looking at historical 30 days volatility in of 37.3% in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (23.1%).

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.'

• Compared with the benchmark SPY (14.6%) in the period of the last 5 years, the downside volatility of 24.5% of Intuitive Surgical is greater, thus worse.
• During the last 3 years, the downside volatility is 26.8%, which is greater, thus worse than the value of 16.9% from the benchmark.

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 Sharpe Ratio of 0.44 in the last 5 years of Intuitive Surgical, we see it is relatively lower, thus worse in comparison to the benchmark SPY (0.49)
• During the last 3 years, the risk / return profile (Sharpe) is 0.22, which is lower, thus worse than the value of 0.45 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 (0.67) in the period of the last 5 years, the excess return divided by the downside deviation of 0.62 of Intuitive Surgical is lower, thus worse.
• Looking at excess return divided by the downside deviation in of 0.31 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (0.62).

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 Ratio over 5 years of Intuitive Surgical is 11 , which is larger, thus worse compared to the benchmark SPY (6.16 ) in the same period.
• Looking at Ulcer Ratio in of 12 in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to SPY (6.87 ).

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.'

• Compared with the benchmark SPY (-33.7 days) in the period of the last 5 years, the maximum reduction from previous high of -42.9 days of Intuitive Surgical is lower, thus worse.
• Compared with SPY (-33.7 days) in the period of the last 3 years, the maximum drop from peak to valley of -42.9 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). Many assume Max DD Duration is the length of time between new highs during which the Max DD (magnitude) occurred. But that isn’t always the case. The Max DD duration is the longest time between peaks, period. So it could be the time when the program also had its biggest peak to valley loss (and usually is, because the program needs a long time to recover from the largest loss), but it doesn’t have to be'

• Compared with the benchmark SPY (139 days) in the period of the last 5 years, the maximum days below previous high of 159 days of Intuitive Surgical is larger, thus worse.
• During the last 3 years, the maximum days under water is 134 days, which is greater, thus worse than the value of 119 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 39 days, which is higher, thus worse compared to the benchmark SPY (35 days) in the same period.
• During the last 3 years, the average time in days below previous high water mark is 32 days, which is larger, thus worse than the value of 27 days from the benchmark.