Mylan N.V. (MYL)

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.'

• Compared with the benchmark SPY (84.9%) in the period of the last 5 years, the total return of -99.8% of Mylan N.V. is lower, thus worse.
• During the last 3 years, the total return is -99.8%, which is lower, thus worse than the value of 80.2% from the benchmark.

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.'

• Compared with the benchmark SPY (13.1%) in the period of the last 5 years, the annual performance (CAGR) of -72.7% of Mylan N.V. is lower, thus worse.
• Looking at annual return (CAGR) in of -87.2% in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (21.8%).

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.'

• The historical 30 days volatility over 5 years of Mylan N.V. is 60%, which is larger, thus worse compared to the benchmark SPY (17.1%) in the same period.
• Compared with SPY (15.2%) in the period of the last 3 years, the 30 days standard deviation of 71.4% is higher, thus worse.

DownVol:

'Downside risk is the financial risk associated with losses. That is, it is the risk of the actual return being below the expected return, or the uncertainty about the magnitude of that difference. 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 (11.8%) in the period of the last 5 years, the downside deviation of 53.6% of Mylan N.V. is higher, thus worse.
• During the last 3 years, the downside risk is 65.7%, which is larger, thus worse than the value of 10.1% from the benchmark.

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 Sharpe Ratio over 5 years of Mylan N.V. is -1.25, which is lower, thus worse compared to the benchmark SPY (0.62) in the same period.
• During the last 3 years, the Sharpe Ratio is -1.26, which is lower, thus worse than the value of 1.27 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.'

• The ratio of annual return and downside deviation over 5 years of Mylan N.V. is -1.4, which is smaller, thus worse compared to the benchmark SPY (0.9) in the same period.
• Looking at ratio of annual return and downside deviation in of -1.36 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (1.91).

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 Index over 5 years of Mylan N.V. is 46 , which is higher, thus worse compared to the benchmark SPY (8.45 ) in the same period.
• Looking at Downside risk index in of 49 in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to SPY (3.5 ).

MaxDD:

'Maximum drawdown is defined as the peak-to-trough decline of an investment during a specific period. It is usually quoted as a percentage of the peak value. The maximum drawdown can be calculated based on absolute returns, in order to identify strategies that suffer less during market downturns, such as low-volatility strategies. However, the maximum drawdown can also be calculated based on returns relative to a benchmark index, for identifying strategies that show steady outperformance over time.'

• Compared with the benchmark SPY (-24.5 days) in the period of the last 5 years, the maximum drop from peak to valley of -99.9 days of Mylan N.V. is lower, thus worse.
• Looking at maximum reduction from previous high in of -99.8 days in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (-18.8 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.'

• The maximum days below previous high over 5 years of Mylan N.V. is 1232 days, which is higher, thus worse compared to the benchmark SPY (488 days) in the same period.
• Looking at maximum days below previous high in of 713 days in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to SPY (87 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.'

• Looking at the average days under water of 607 days in the last 5 years of Mylan N.V., we see it is relatively larger, thus worse in comparison to the benchmark SPY (119 days)
• Looking at average time in days below previous high water mark in of 346 days in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to SPY (20 days).