Nike (NKE)

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 (87.8%) in the period of the last 5 years, the total return of -53.9% of Nike is lower, thus worse.
• Compared with SPY (72.9%) in the period of the last 3 years, the total return, or performance of -49.8% 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.'

• The annual return (CAGR) over 5 years of Nike is -14.4%, which is lower, thus worse compared to the benchmark SPY (13.5%) in the same period.
• During the last 3 years, the annual return (CAGR) is -20.6%, which is lower, thus worse than the value of 20.1% 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 Nike is 35%, which is greater, thus worse compared to the benchmark SPY (17%) in the same period.
• Looking at volatility in of 34.6% in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (15.1%).

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 Nike is 25.2%, which is greater, thus worse compared to the benchmark SPY (11.7%) in the same period.
• Looking at downside deviation in of 25.9% in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (10.1%).

Sharpe:

'The Sharpe ratio was developed by Nobel laureate William F. Sharpe, and is used to help investors understand the return of an investment compared to its risk. The ratio is the average return earned in excess of the risk-free rate per unit of volatility or total risk. Subtracting the risk-free rate from the mean return allows an investor to better isolate the profits associated with risk-taking activities. One intuition of this calculation is that a portfolio engaging in 'zero risk' investments, such as the purchase of U.S. Treasury bills (for which the expected return is the risk-free rate), has a Sharpe ratio of exactly zero. Generally, the greater the value of the Sharpe ratio, the more attractive the risk-adjusted return.'

• The ratio of return and volatility (Sharpe) over 5 years of Nike is -0.48, which is lower, thus worse compared to the benchmark SPY (0.65) in the same period.
• Compared with SPY (1.17) in the period of the last 3 years, the Sharpe Ratio of -0.67 is lower, thus worse.

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.'

• Looking at the ratio of annual return and downside deviation of -0.67 in the last 5 years of Nike, we see it is relatively lower, thus worse in comparison to the benchmark SPY (0.94)
• Compared with SPY (1.74) in the period of the last 3 years, the downside risk / excess return profile of -0.89 is lower, thus worse.

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 Nike is 43 , which is larger, thus worse compared to the benchmark SPY (8.42 ) in the same period.
• Looking at Ulcer Index in of 35 in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (3.4 ).

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 reduction from previous high over 5 years of Nike is -68.5 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 reduction from previous high is -57 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). Many assume Max DD Duration is the length of time between new highs during which the Max DD (magnitude) occurred. But that isn’t always the case. The Max DD duration is the longest time between peaks, period. So it could be the time when the program also had its biggest peak to valley loss (and usually is, because the program needs a long time to recover from the largest loss), but it doesn’t have to be'

• The maximum days below previous high over 5 years of Nike is 1085 days, which is larger, thus worse compared to the benchmark SPY (488 days) in the same period.
• During the last 3 years, the maximum days under water is 714 days, which is larger, thus worse than the value of 87 days from the benchmark.

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 time in days below previous high water mark over 5 years of Nike is 482 days, which is greater, thus worse compared to the benchmark SPY (119 days) in the same period.
• During the last 3 years, the average time in days below previous high water mark is 342 days, which is greater, thus worse than the value of 19 days from the benchmark.