Procter & Gamble (PG)

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.'

• Looking at the total return, or performance of 88.6% in the last 5 years of Procter & Gamble, we see it is relatively lower, thus worse in comparison to the benchmark SPY (129.1%)
• Compared with SPY (71.3%) in the period of the last 3 years, the total return, or performance of 95.2% is larger, thus better.

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.'

• Looking at the compounded annual growth rate (CAGR) of 13.5% in the last 5 years of Procter & Gamble, we see it is relatively smaller, thus worse in comparison to the benchmark SPY (18.1%)
• Compared with SPY (19.7%) in the period of the last 3 years, the compounded annual growth rate (CAGR) of 25% is larger, thus better.

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.'

• Compared with the benchmark SPY (18.7%) in the period of the last 5 years, the volatility of 20.1% of Procter & Gamble is higher, thus worse.
• Looking at volatility in of 23.4% in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to SPY (22.5%).

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 Procter & Gamble is 13.7%, which is larger, thus worse compared to the benchmark SPY (13.6%) in the same period.
• Looking at downside risk in of 15.6% in the period of the last 3 years, we see it is relatively lower, thus better in comparison to SPY (16.3%).

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.'

• Compared with the benchmark SPY (0.83) in the period of the last 5 years, the risk / return profile (Sharpe) of 0.55 of Procter & Gamble is smaller, thus worse.
• During the last 3 years, the risk / return profile (Sharpe) is 0.96, which is larger, thus better than the value of 0.76 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.'

• Looking at the ratio of annual return and downside deviation of 0.81 in the last 5 years of Procter & Gamble, we see it is relatively lower, thus worse in comparison to the benchmark SPY (1.15)
• During the last 3 years, the ratio of annual return and downside deviation is 1.44, which is larger, thus better than the value of 1.05 from the benchmark.

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 Procter & Gamble is 7 , which is higher, thus worse compared to the benchmark SPY (5.59 ) in the same period.
• Compared with SPY (6.38 ) in the period of the last 3 years, the Ulcer Index of 4.96 is lower, thus better.

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.'

• Compared with the benchmark SPY (-33.7 days) in the period of the last 5 years, the maximum reduction from previous high of -23.2 days of Procter & Gamble is larger, thus better.
• During the last 3 years, the maximum drop from peak to valley is -23.2 days, which is higher, thus better than the value of -33.7 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.'

• Looking at the maximum days below previous high of 283 days in the last 5 years of Procter & Gamble, we see it is relatively larger, thus worse in comparison to the benchmark SPY (139 days)
• During the last 3 years, the maximum time in days below previous high water mark is 176 days, which is greater, thus worse than the value of 119 days from the benchmark.

AveDuration:

'The Average 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. 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 below previous high of 64 days in the last 5 years of Procter & Gamble, we see it is relatively greater, thus worse in comparison to the benchmark SPY (32 days)
• Compared with SPY (25 days) in the period of the last 3 years, the average time in days below previous high water mark of 38 days is greater, thus worse.