Mylan N.V. (MYL)

TotalReturn:

'The total return on a portfolio of investments takes into account not only the capital appreciation on the portfolio, but also the income received on the portfolio. The income typically consists of interest, dividends, and securities lending fees. This contrasts with the price return, which takes into account only the capital gain on an investment.'

• Looking at the total return, or performance of -99.8% in the last 5 years of Mylan N.V., we see it is relatively lower, thus worse in comparison to the benchmark SPY (75.1%)
• Compared with SPY (66.3%) in the period of the last 3 years, the total return, or increase in value of -99.8% is lower, thus worse.

CAGR:

'The compound annual growth rate (CAGR) is a useful measure of growth over multiple time periods. It can be thought of as the growth rate that gets you from the initial investment value to the ending investment value if you assume that the investment has been compounding over the time period.'

• Compared with the benchmark SPY (11.9%) in the period of the last 5 years, the compounded annual growth rate (CAGR) of -72.7% of Mylan N.V. is lower, thus worse.
• During the last 3 years, the annual performance (CAGR) is -87.2%, which is smaller, thus worse than the value of 18.6% 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 Mylan N.V. is 60%, which is greater, thus worse compared to the benchmark SPY (17.1%) in the same period.
• Looking at 30 days standard deviation in of 71.4% in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (15.1%).

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 53.6% in the last 5 years of Mylan N.V., we see it is relatively higher, thus worse in comparison to the benchmark SPY (11.8%)
• Compared with SPY (10.2%) in the period of the last 3 years, the downside risk of 65.7% is higher, 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.'

• Looking at the ratio of return and volatility (Sharpe) of -1.25 in the last 5 years of Mylan N.V., we see it is relatively smaller, thus worse in comparison to the benchmark SPY (0.55)
• Looking at Sharpe Ratio in of -1.26 in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (1.06).

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 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 (0.8) in the same period.
• Looking at excess return divided by the downside deviation in of -1.36 in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (1.58).

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 (8.44 ) in the period of the last 5 years, the Downside risk index of 46 of Mylan N.V. is larger, thus worse.
• During the last 3 years, the Ulcer Ratio is 49 , which is greater, thus worse than the value of 3.49 from the benchmark.

MaxDD:

'Maximum drawdown measures the loss in any losing period during a fund’s investment record. It is defined as the percent retrenchment from a fund’s peak value to the fund’s valley value. The drawdown is in effect from the time the fund’s retrenchment begins until a new fund high is reached. The maximum drawdown encompasses both the period from the fund’s peak to the fund’s valley (length), and the time from the fund’s valley to a new fund high (recovery). It measures the largest percentage drawdown that has occurred in any fund’s data record.'

• The maximum DrawDown over 5 years of Mylan N.V. is -99.9 days, which is lower, thus worse compared to the benchmark SPY (-24.5 days) in the same period.
• During the last 3 years, the maximum drop from peak to valley is -99.8 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 under water of 1232 days of Mylan N.V. is higher, thus worse.
• Compared with SPY (87 days) in the period of the last 3 years, the maximum days under water of 713 days is larger, 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.'

• The average days below previous high over 5 years of Mylan N.V. is 607 days, which is higher, thus worse compared to the benchmark SPY (119 days) in the same period.
• 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 greater, thus worse in comparison to SPY (20 days).