Microsoft (MSFT)

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.'

• Looking at the total return, or performance of 298.3% in the last 5 years of Microsoft, we see it is relatively larger, thus better in comparison to the benchmark SPY (78.4%)
• Compared with SPY (44.1%) in the period of the last 3 years, the total return, or performance of 106.2% is larger, thus better.

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 Microsoft is 31.8%, which is greater, thus better compared to the benchmark SPY (12.3%) in the same period.
• During the last 3 years, the compounded annual growth rate (CAGR) is 27.2%, which is larger, thus better than the value of 12.9% 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.'

• The volatility over 5 years of Microsoft is 29%, which is greater, thus worse compared to the benchmark SPY (19.9%) in the same period.
• During the last 3 years, the historical 30 days volatility is 32%, which is larger, thus worse than the value of 23.1% from the benchmark.

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.'

• Compared with the benchmark SPY (14.6%) in the period of the last 5 years, the downside volatility of 19.8% of Microsoft is greater, thus worse.
• Compared with SPY (16.9%) in the period of the last 3 years, the downside deviation of 22.1% 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.'

• Looking at the risk / return profile (Sharpe) of 1.01 in the last 5 years of Microsoft, we see it is relatively larger, thus better in comparison to the benchmark SPY (0.49)
• Looking at ratio of return and volatility (Sharpe) in of 0.77 in the period of the last 3 years, we see it is relatively greater, thus better in comparison to SPY (0.45).

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.'

• The excess return divided by the downside deviation over 5 years of Microsoft is 1.48, which is greater, thus better compared to the benchmark SPY (0.67) in the same period.
• Looking at ratio of annual return and downside deviation in of 1.12 in the period of the last 3 years, we see it is relatively greater, thus better in comparison to SPY (0.62).

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.'

• Looking at the Ulcer Ratio of 6.53 in the last 5 years of Microsoft, we see it is relatively larger, thus worse in comparison to the benchmark SPY (6.16 )
• Compared with SPY (6.87 ) in the period of the last 3 years, the Downside risk index of 7.66 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.'

• The maximum drop from peak to valley over 5 years of Microsoft is -28 days, which is greater, thus better compared to the benchmark SPY (-33.7 days) in the same period.
• Looking at maximum drop from peak to valley in of -28 days in the period of the last 3 years, we see it is relatively larger, thus better in comparison to SPY (-33.7 days).

MaxDuration:

'The Maximum 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. It is the length of time the account was in the Max Drawdown. A Max Drawdown measures a retrenchment from when an equity curve reaches a new high. It’s the maximum an account lost during that retrenchment. This method is applied because a valley can’t be measured until a new high occurs. Once the new high is reached, the percentage change from the old high to the bottom of the largest trough is recorded.'

• The maximum time in days below previous high water mark over 5 years of Microsoft is 125 days, which is lower, thus better compared to the benchmark SPY (139 days) in the same period.
• Compared with SPY (119 days) in the period of the last 3 years, the maximum days below previous high of 125 days is higher, thus worse.

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 (35 days) in the period of the last 5 years, the average days under water of 27 days of Microsoft is smaller, thus better.
• During the last 3 years, the average days below previous high is 30 days, which is higher, thus worse than the value of 27 days from the benchmark.