Description
Paychex, Inc. provides integrated human capital management solutions for human resources (HR), payroll, benefits, and insurance services for small- to medium-sized businesses in the United States and Europe. The company offers payroll processing services; payroll tax administration services; employee payment services; and regulatory compliance services, such as new-hire reporting and garnishment processing. It also provides HR solutions, including payroll, employer compliance, HR and employee benefits administration, risk management outsourcing, and the on-site availability of a professionally trained HR representative; and retirement services administration, including plan implementation, ongoing compliance with government regulations, employee and employer reporting, participant and employer online access, electronic funds transfer, and other administrative services. In addition, the company offers cloud-based HR administration software products for employee benefits management and administration, time and attendance, recruiting, and onboarding solutions; plan administration outsourcing and state unemployment insurance services; various business services to small to medium-sized businesses comprising payroll funding and outsourcing services, which include payroll processing, invoicing, and tax preparation; and payment processing services, financial fitness programs, and a small-business loan resource center. Further, it provides insurance services for property and casualty coverage, such as workers' compensation, business-owner policies, cyber security protection, and commercial auto, as well as health and benefits coverage, including health, dental, vision, and life. The company markets and sells its services primarily through its direct sales force. Paychex, Inc. was founded in 1979 and is headquartered in Rochester, New York.Statistics (YTD)
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.'
Which means for our asset as example:- Compared with the benchmark SPY (84.8%) in the period of the last 5 years, the total return, or increase in value of 26% of Paychex is lower, thus worse.
- During the last 3 years, the total return, or increase in value is 14.3%, which is lower, thus worse than the value of 80.9% from the benchmark.
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.'
Which means for our asset as example:- The compounded annual growth rate (CAGR) over 5 years of Paychex is 4.7%, which is lower, thus worse compared to the benchmark SPY (13.1%) in the same period.
- Looking at annual return (CAGR) in of 4.6% in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (21.9%).
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.'
Applying this definition to our asset in some examples:- The historical 30 days volatility over 5 years of Paychex is 24.5%, which is larger, thus worse compared to the benchmark SPY (17.2%) in the same period.
- Compared with SPY (15.3%) in the period of the last 3 years, the volatility of 24% is greater, thus worse.
DownVol:
'The downside volatility is similar to the volatility, or standard deviation, but only takes losing/negative periods into account.'
Using this definition on our asset we see for example:- Compared with the benchmark SPY (11.8%) in the period of the last 5 years, the downside volatility of 17.4% of Paychex is larger, thus worse.
- Compared with SPY (10.3%) in the period of the last 3 years, the downside deviation of 17.3% is greater, 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.'
Using this definition on our asset we see for example:- Compared with the benchmark SPY (0.62) in the period of the last 5 years, the Sharpe Ratio of 0.09 of Paychex is smaller, thus worse.
- Looking at Sharpe Ratio in of 0.09 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (1.27).
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.'
Which means for our asset as example:- Compared with the benchmark SPY (0.9) in the period of the last 5 years, the downside risk / excess return profile of 0.13 of Paychex is lower, thus worse.
- Looking at ratio of annual return and downside deviation in of 0.12 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (1.89).
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.'
Using this definition on our asset we see for example:- Looking at the Ulcer Index of 17 in the last 5 years of Paychex, we see it is relatively greater, thus worse in comparison to the benchmark SPY (8.45 )
- Looking at Ulcer Ratio in of 19 in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to SPY (3.37 ).
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.'
Which means for our asset as example:- Compared with the benchmark SPY (-24.5 days) in the period of the last 5 years, the maximum DrawDown of -45 days of Paychex is smaller, thus worse.
- Looking at maximum drop from peak to valley in of -45 days in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (-18.8 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.'
Using this definition on our asset we see for example:- Compared with the benchmark SPY (488 days) in the period of the last 5 years, the maximum time in days below previous high water mark of 603 days of Paychex is larger, thus worse.
- Compared with SPY (87 days) in the period of the last 3 years, the maximum time in days below previous high water mark of 303 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.'
Using this definition on our asset we see for example:- Looking at the average time in days below previous high water mark of 195 days in the last 5 years of Paychex, we see it is relatively larger, thus worse in comparison to the benchmark SPY (118 days)
- During the last 3 years, the average time in days below previous high water mark is 81 days, which is higher, thus worse than the value of 18 days from the benchmark.
Performance (YTD)
Returns (%)
- Note that yearly returns do not equal the sum of monthly returns due to compounding.
- Performance results of Paychex are hypothetical and do not account for slippage, fees or taxes.
