Johnson & Johnson (JNJ)

TotalReturn:

'Total return is the amount of value an investor earns from a security over a specific period, typically one year, when all distributions are reinvested. Total return is expressed as a percentage of the amount invested. For example, a total return of 20% means the security increased by 20% of its original value due to a price increase, distribution of dividends (if a stock), coupons (if a bond) or capital gains (if a fund). Total return is a strong measure of an investment’s overall performance.'

• The total return, or performance over 5 years of Johnson & Johnson is 70.1%, which is higher, thus better compared to the benchmark SPY (67.9%) in the same period.
• Looking at total return, or performance in of 22.7% in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (38.6%).

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.'

• The annual return (CAGR) over 5 years of Johnson & Johnson is 11.2%, which is larger, thus better compared to the benchmark SPY (10.9%) in the same period.
• Compared with SPY (11.5%) in the period of the last 3 years, the annual return (CAGR) of 7% is lower, thus worse.

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.'

• Compared with the benchmark SPY (18.7%) in the period of the last 5 years, the volatility of 19.8% of Johnson & Johnson is greater, thus worse.
• Compared with SPY (21.5%) in the period of the last 3 years, the historical 30 days volatility of 22.8% is higher, thus worse.

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.'

• Looking at the downside deviation of 14% in the last 5 years of Johnson & Johnson, we see it is relatively greater, thus worse in comparison to the benchmark SPY (13.6%)
• Compared with SPY (15.7%) in the period of the last 3 years, the downside deviation of 16.4% is greater, thus worse.

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 ratio of return and volatility (Sharpe) over 5 years of Johnson & Johnson is 0.44, which is smaller, thus worse compared to the benchmark SPY (0.45) in the same period.
• During the last 3 years, the ratio of return and volatility (Sharpe) is 0.2, which is lower, thus worse than the value of 0.42 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.'

• Compared with the benchmark SPY (0.62) in the period of the last 5 years, the excess return divided by the downside deviation of 0.62 of Johnson & Johnson is higher, thus better.
• Looking at downside risk / excess return profile in of 0.28 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (0.57).

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.'

• The Ulcer Ratio over 5 years of Johnson & Johnson is 7.08 , which is greater, thus worse compared to the benchmark SPY (5.82 ) in the same period.
• Looking at Ulcer Index in of 8.44 in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to SPY (6.87 ).

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.'

• Looking at the maximum drop from peak to valley of -27.4 days in the last 5 years of Johnson & Johnson, we see it is relatively greater, thus better in comparison to the benchmark SPY (-33.7 days)
• During the last 3 years, the maximum drop from peak to valley is -27.4 days, which is greater, thus better than the value of -33.7 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 (187 days) in the period of the last 5 years, the maximum days under water of 255 days of Johnson & Johnson is greater, thus worse.
• Looking at maximum days below previous high in of 255 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.'

• Compared with the benchmark SPY (43 days) in the period of the last 5 years, the average days under water of 64 days of Johnson & Johnson is larger, thus worse.
• Looking at average days under water in of 81 days in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (39 days).