3M (MMM)

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 increase in value over 5 years of 3M is -25.9%, which is lower, thus worse compared to the benchmark SPY (75.6%) in the same period.
• Compared with SPY (40%) in the period of the last 3 years, the total return of -14% is lower, thus worse.

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 compounded annual growth rate (CAGR) over 5 years of 3M is -5.8%, which is lower, thus worse compared to the benchmark SPY (11.9%) in the same period.
• During the last 3 years, the compounded annual growth rate (CAGR) is -4.9%, which is lower, thus worse than the value of 11.9% from the benchmark.

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 (20.3%) in the period of the last 5 years, the 30 days standard deviation of 25.9% of 3M is higher, thus worse.
• Compared with SPY (23.6%) in the period of the last 3 years, the volatility of 27.8% is larger, 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 volatility of 19.3% in the last 5 years of 3M, we see it is relatively greater, thus worse in comparison to the benchmark SPY (14.9%)
• During the last 3 years, the downside risk is 20%, which is higher, thus worse than the value of 17.3% 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.'

• Compared with the benchmark SPY (0.46) in the period of the last 5 years, the ratio of return and volatility (Sharpe) of -0.32 of 3M is lower, thus worse.
• Compared with SPY (0.4) in the period of the last 3 years, the ratio of return and volatility (Sharpe) of -0.27 is smaller, thus worse.

Sortino:

'The Sortino ratio, a variation of the Sharpe ratio only factors in the downside, or negative volatility, rather than the total volatility used in calculating the Sharpe ratio. The theory behind the Sortino variation is that upside volatility is a plus for the investment, and it, therefore, should not be included in the risk calculation. Therefore, the Sortino ratio takes upside volatility out of the equation and uses only the downside standard deviation in its calculation instead of the total standard deviation that is used in calculating the Sharpe ratio.'

• Compared with the benchmark SPY (0.63) in the period of the last 5 years, the downside risk / excess return profile of -0.43 of 3M is lower, thus worse.
• During the last 3 years, the ratio of annual return and downside deviation is -0.37, which is lower, thus worse than the value of 0.54 from the benchmark.

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 3M is 25 , which is larger, thus worse compared to the benchmark SPY (6.62 ) in the same period.
• Looking at Ulcer Ratio in of 13 in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to SPY (7.55 ).

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.'

• The maximum reduction from previous high over 5 years of 3M is -51.2 days, which is lower, thus worse compared to the benchmark SPY (-33.7 days) in the same period.
• Compared with SPY (-33.7 days) in the period of the last 3 years, the maximum drop from peak to valley of -34.7 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) in days.'

• Looking at the maximum days under water of 1111 days in the last 5 years of 3M, we see it is relatively larger, thus worse in comparison to the benchmark SPY (139 days)
• Looking at maximum days under water in of 267 days in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (120 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 (37 days) in the period of the last 5 years, the average time in days below previous high water mark of 504 days of 3M is larger, thus worse.
• During the last 3 years, the average days under water is 92 days, which is higher, thus worse than the value of 31 days from the benchmark.