Johnson & Johnson (JNJ)

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.'

• The total return, or performance over 5 years of Johnson & Johnson is 19.4%, which is lower, thus worse compared to the benchmark SPY (80.4%) in the same period.
• Looking at total return, or increase in value in of 14.5% in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (30.7%).

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.'

• Looking at the compounded annual growth rate (CAGR) of 3.6% in the last 5 years of Johnson & Johnson, we see it is relatively lower, thus worse in comparison to the benchmark SPY (12.6%)
• Looking at compounded annual growth rate (CAGR) in of 4.6% in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (9.4%).

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 (21.3%) in the period of the last 5 years, the 30 days standard deviation of 20.5% of Johnson & Johnson is lower, thus better.
• Looking at historical 30 days volatility in of 16.3% in the period of the last 3 years, we see it is relatively lower, thus better in comparison to SPY (17.6%).

DownVol:

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

• Looking at the downside volatility of 14.6% in the last 5 years of Johnson & Johnson, we see it is relatively smaller, thus better in comparison to the benchmark SPY (15.3%)
• Looking at downside deviation in of 11.2% in the period of the last 3 years, we see it is relatively smaller, thus better in comparison to SPY (12.3%).

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.'

• The Sharpe Ratio over 5 years of Johnson & Johnson is 0.05, which is lower, thus worse compared to the benchmark SPY (0.47) in the same period.
• During the last 3 years, the ratio of return and volatility (Sharpe) is 0.13, which is smaller, thus worse than the value of 0.39 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 (0.66) in the period of the last 5 years, the downside risk / excess return profile of 0.08 of Johnson & Johnson is lower, thus worse.
• Compared with SPY (0.56) in the period of the last 3 years, the downside risk / excess return profile of 0.19 is lower, thus worse.

Ulcer:

'The ulcer index is a stock market risk measure or technical analysis indicator devised by Peter Martin in 1987, and published by him and Byron McCann in their 1989 book The Investors Guide to Fidelity Funds. It's designed as a measure of volatility, but only volatility in the downward direction, i.e. the amount of drawdown or retracement occurring over a period. Other volatility measures like standard deviation treat up and down movement equally, but a trader doesn't mind upward movement, it's the downside that causes stress and stomach ulcers that the index's name suggests.'

• Looking at the Ulcer Ratio of 7.84 in the last 5 years of Johnson & Johnson, we see it is relatively lower, thus better in comparison to the benchmark SPY (9.43 )
• During the last 3 years, the Downside risk index is 7.87 , which is lower, thus better than the value of 10 from the benchmark.

MaxDD:

'Maximum drawdown measures the loss in any losing period during a fund’s investment record. It is defined as the percent retrenchment from a fund’s peak value to the fund’s valley value. The drawdown is in effect from the time the fund’s retrenchment begins until a new fund high is reached. The maximum drawdown encompasses both the period from the fund’s peak to the fund’s valley (length), and the time from the fund’s valley to a new fund high (recovery). It measures the largest percentage drawdown that has occurred in any fund’s data record.'

• Compared with the benchmark SPY (-33.7 days) in the period of the last 5 years, the maximum DrawDown of -27.4 days of Johnson & Johnson is larger, thus better.
• Looking at maximum reduction from previous high in of -18.4 days in the period of the last 3 years, we see it is relatively larger, thus better in comparison to SPY (-24.5 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.'

• Compared with the benchmark SPY (479 days) in the period of the last 5 years, the maximum days below previous high of 402 days of Johnson & Johnson is smaller, thus better.
• During the last 3 years, the maximum time in days below previous high water mark is 402 days, which is lower, thus better than the value of 479 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.'

• Looking at the average time in days below previous high water mark of 112 days in the last 5 years of Johnson & Johnson, we see it is relatively lower, thus better in comparison to the benchmark SPY (119 days)
• During the last 3 years, the average days below previous high is 133 days, which is lower, thus better than the value of 173 days from the benchmark.