Merck (MRK)

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 increase in value over 5 years of Merck is 27.9%, which is lower, thus worse compared to the benchmark SPY (109.8%) in the same period.
• During the last 3 years, the total return, or increase in value is -2.5%, which is smaller, thus worse than the value of 42.5% 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.'

• Compared with the benchmark SPY (16%) in the period of the last 5 years, the annual performance (CAGR) of 5.1% of Merck is lower, thus worse.
• Looking at compounded annual growth rate (CAGR) in of -0.8% in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (12.6%).

Volatility:

'Volatility is a rate at which the price of a security increases or decreases for a given set of returns. Volatility is measured by calculating the standard deviation of the annualized returns over a given period of time. It shows the range to which the price of a security may increase or decrease. Volatility measures the risk of a security. It is used in option pricing formula to gauge the fluctuations in the returns of the underlying assets. Volatility indicates the pricing behavior of the security and helps estimate the fluctuations that may happen in a short period of time.'

• Looking at the 30 days standard deviation of 21.9% in the last 5 years of Merck, we see it is relatively larger, thus worse in comparison to the benchmark SPY (17.9%)
• Looking at 30 days standard deviation in of 21.8% in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (18.4%).

DownVol:

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

• The downside risk over 5 years of Merck is 15.9%, which is greater, thus worse compared to the benchmark SPY (12.5%) in the same period.
• Compared with SPY (12.6%) in the period of the last 3 years, the downside deviation of 16.3% is larger, thus worse.

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.'

• The risk / return profile (Sharpe) over 5 years of Merck is 0.12, which is lower, thus worse compared to the benchmark SPY (0.75) in the same period.
• During the last 3 years, the risk / return profile (Sharpe) is -0.15, which is lower, thus worse than the value of 0.55 from the benchmark.

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 (1.08) in the period of the last 5 years, the excess return divided by the downside deviation of 0.16 of Merck is smaller, thus worse.
• Compared with SPY (0.8) in the period of the last 3 years, the excess return divided by the downside deviation of -0.2 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.'

• Compared with the benchmark SPY (8.48 ) in the period of the last 5 years, the Downside risk index of 12 of Merck is greater, thus worse.
• During the last 3 years, the Ulcer Index is 14 , which is larger, thus worse than the value of 5.54 from the benchmark.

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.'

• Compared with the benchmark SPY (-24.5 days) in the period of the last 5 years, the maximum drop from peak to valley of -41.1 days of Merck is lower, thus worse.
• During the last 3 years, the maximum drop from peak to valley is -41.1 days, which is lower, thus worse than the value of -18.8 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 (488 days) in the period of the last 5 years, the maximum days below previous high of 271 days of Merck is lower, thus better.
• Looking at maximum time in days below previous high water mark in of 218 days in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to SPY (199 days).

AveDuration:

'The Average Drawdown Duration is an extension of the Maximum Drawdown. However, this metric does not explain the drawdown in dollars or percentages, rather in days, weeks, or months. 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 Merck is 77 days, which is lower, thus better compared to the benchmark SPY (119 days) in the same period.
• Looking at average time in days below previous high water mark in of 64 days in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to SPY (44 days).