Procter & Gamble (PG)

TotalReturn:

'Total return, when measuring performance, is the actual rate of return of an investment or a pool of investments over a given evaluation period. Total return includes interest, capital gains, dividends and distributions realized over a given period of time. Total return accounts for two categories of return: income including interest paid by fixed-income investments, distributions or dividends and capital appreciation, representing the change in the market price of an asset.'

• The total return over 5 years of Procter & Gamble is 76.5%, which is lower, thus worse compared to the benchmark SPY (145.1%) in the same period.
• Looking at total return in of 18.5% in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (29.4%).

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 12.1% in the last 5 years of Procter & Gamble, we see it is relatively lower, thus worse in comparison to the benchmark SPY (19.7%)
• Looking at annual return (CAGR) in of 5.9% in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (9%).

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.'

• Compared with the benchmark SPY (17.4%) in the period of the last 5 years, the volatility of 17.4% of Procter & Gamble is higher, thus worse.
• During the last 3 years, the 30 days standard deviation is 17.4%, which is higher, thus worse than the value of 17% from the benchmark.

DownVol:

'The downside volatility is similar to the volatility, or standard deviation, but only takes losing/negative periods into account.'

• The downside volatility over 5 years of Procter & Gamble is 12.4%, which is higher, thus worse compared to the benchmark SPY (12%) in the same period.
• During the last 3 years, the downside deviation is 12.7%, which is greater, thus worse than the value of 12% from the benchmark.

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.'

• Compared with the benchmark SPY (0.99) in the period of the last 5 years, the Sharpe Ratio of 0.55 of Procter & Gamble is lower, thus worse.
• Compared with SPY (0.38) in the period of the last 3 years, the Sharpe Ratio of 0.19 is lower, thus worse.

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.'

• Compared with the benchmark SPY (1.44) in the period of the last 5 years, the downside risk / excess return profile of 0.78 of Procter & Gamble is smaller, thus worse.
• Looking at excess return divided by the downside deviation in of 0.27 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (0.54).

Ulcer:

'Ulcer Index is a method for measuring investment risk that addresses the real concerns of investors, unlike the widely used standard deviation of return. UI is a measure of the depth and duration of drawdowns in prices from earlier highs. Using Ulcer Index instead of standard deviation can lead to very different conclusions about investment risk and risk-adjusted return, especially when evaluating strategies that seek to avoid major declines in portfolio value (market timing, dynamic asset allocation, hedge funds, etc.). The Ulcer Index was originally developed in 1987. Since then, it has been widely recognized and adopted by the investment community. According to Nelson Freeburg, editor of Formula Research, Ulcer Index is “perhaps the most fully realized statistical portrait of risk there is.'

• Looking at the Ulcer Ratio of 6.99 in the last 5 years of Procter & Gamble, we see it is relatively lower, thus better in comparison to the benchmark SPY (8.31 )
• During the last 3 years, the Downside risk index is 8.04 , which is lower, thus better than the value of 8.15 from the benchmark.

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.'

• Looking at the maximum drop from peak to valley of -23.8 days in the last 5 years of Procter & Gamble, we see it is relatively larger, thus better in comparison to the benchmark SPY (-24.5 days)
• Compared with SPY (-21.3 days) in the period of the last 3 years, the maximum drop from peak to valley of -23.8 days is lower, thus worse.

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 below previous high of 439 days of Procter & Gamble is lower, thus better.
• Compared with SPY (318 days) in the period of the last 3 years, the maximum days under water of 439 days is higher, thus worse.

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.'

• Compared with the benchmark SPY (119 days) in the period of the last 5 years, the average days below previous high of 106 days of Procter & Gamble is lower, thus better.
• During the last 3 years, the average time in days below previous high water mark is 144 days, which is higher, thus worse than the value of 86 days from the benchmark.