Description of Intuitive Surgical

Intuitive Surgical, Inc. - Common Stock

Statistics of Intuitive Surgical (YTD)

What do these metrics mean? [Read More] [Hide]

TotalReturn:

'The total return on a portfolio of investments takes into account not only the capital appreciation on the portfolio, but also the income received on the portfolio. The income typically consists of interest, dividends, and securities lending fees. This contrasts with the price return, which takes into account only the capital gain on an investment.'

Which means for our asset as example:
  • Compared with the benchmark SPY (67.2%) in the period of the last 5 years, the total return, or performance of 234.8% of Intuitive Surgical is greater, thus better.
  • Compared with SPY (50.7%) in the period of the last 3 years, the total return of 162.3% is greater, thus better.

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.'

Using this definition on our asset we see for example:
  • The annual performance (CAGR) over 5 years of Intuitive Surgical is 27.4%, which is higher, thus better compared to the benchmark SPY (10.8%) in the same period.
  • Compared with SPY (14.7%) in the period of the last 3 years, the annual return (CAGR) of 38% 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.'

Which means for our asset as example:
  • Looking at the volatility of 25.3% in the last 5 years of Intuitive Surgical, we see it is relatively larger, thus worse in comparison to the benchmark SPY (13.5%)
  • Looking at volatility in of 27.5% in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (12.8%).

DownVol:

'Downside risk is the financial risk associated with losses. That is, it is the risk of the actual return being below the expected return, or the uncertainty about the magnitude of that difference. 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.'

Which means for our asset as example:
  • Compared with the benchmark SPY (14.8%) in the period of the last 5 years, the downside deviation of 27.3% of Intuitive Surgical is greater, thus worse.
  • During the last 3 years, the downside risk is 30.6%, which is higher, thus worse than the value of 14.7% from the benchmark.

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.'

Which means for our asset as example:
  • Looking at the ratio of return and volatility (Sharpe) of 0.98 in the last 5 years of Intuitive Surgical, we see it is relatively higher, thus better in comparison to the benchmark SPY (0.62)
  • During the last 3 years, the Sharpe Ratio is 1.29, which is larger, thus better than the value of 0.95 from the benchmark.

Sortino:

'The Sortino ratio improves upon the Sharpe ratio by isolating downside volatility from total volatility by dividing excess return by the downside deviation. The Sortino ratio is a variation of the Sharpe ratio that differentiates harmful volatility from total overall volatility by using the asset's standard deviation of negative asset returns, called downside deviation. The Sortino ratio takes the asset's return and subtracts the risk-free rate, and then divides that amount by the asset's downside deviation. The ratio was named after Frank A. Sortino.'

Applying this definition to our asset in some examples:
  • Looking at the downside risk / excess return profile of 0.91 in the last 5 years of Intuitive Surgical, we see it is relatively greater, thus better in comparison to the benchmark SPY (0.56)
  • Looking at excess return divided by the downside deviation in of 1.16 in the period of the last 3 years, we see it is relatively greater, thus better in comparison to SPY (0.83).

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.'

Which means for our asset as example:
  • Compared with the benchmark SPY (3.99 ) in the period of the last 5 years, the Downside risk index of 7.55 of Intuitive Surgical is larger, thus worse.
  • Compared with SPY (4.09 ) in the period of the last 3 years, the Downside risk index of 7.63 is higher, thus worse.

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.'

Applying this definition to our asset in some examples:
  • Looking at the maximum reduction from previous high of -24.3 days in the last 5 years of Intuitive Surgical, we see it is relatively lower, thus worse in comparison to the benchmark SPY (-19.3 days)
  • Looking at maximum drop from peak to valley in of -24.3 days in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (-19.3 days).

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.'

Which means for our asset as example:
  • Looking at the maximum days under water of 156 days in the last 5 years of Intuitive Surgical, we see it is relatively smaller, thus better in comparison to the benchmark SPY (187 days)
  • Looking at maximum time in days below previous high water mark in of 156 days in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to SPY (139 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.'

Applying this definition to our asset in some examples:
  • Looking at the average time in days below previous high water mark of 37 days in the last 5 years of Intuitive Surgical, we see it is relatively lower, thus better in comparison to the benchmark SPY (42 days)
  • During the last 3 years, the average days below previous high is 37 days, which is larger, thus worse than the value of 36 days from the benchmark.

Performance of Intuitive Surgical (YTD)

Historical returns have been extended using synthetic data.

Allocations of Intuitive Surgical
()

Allocations

Returns of Intuitive Surgical (%)

  • Note that yearly returns do not equal the sum of monthly returns due to compounding.
  • Performance results of Intuitive Surgical are hypothetical, do not account for slippage, fees or taxes, and are based on backtesting, which has many inherent limitations, some of which are described in our Terms of Use.