Description

The Procter & Gamble Company provides branded consumer packaged goods to consumers in North and Latin America, Europe, the Asia Pacific, Greater China, India, the Middle East, and Africa. It operates in five segments: Beauty; Grooming; Health Care; Fabric & Home Care; and Baby, Feminine & Family Care. The Beauty segment offers conditioners, shampoos, styling aids, and treatments; and antiperspirants and deodorants, personal cleansing, and skin care products under the Head & Shoulders, Herbal Essences, Pantene, Rejoice, Olay, Old Spice, Safeguard, SK-II, and Secret brands. The Grooming segment provides female and male blades and razors, pre- and post-shave products, and other shave care products; and appliances that include electric shavers and epilators under the Braun, Gillette, and Venus brands. The Health Care segment offers toothbrushes, toothpaste, and other oral care products; and gastrointestinal, rapid diagnostics, respiratory, vitamins/minerals/supplements, pain relief, and other personal health care products under the Crest, Oral-B, Metamucil, Neurobion, Pepto Bismol, and Vicks brands. The Fabric & Home Care segment provides fabric enhancers, laundry additives, and laundry detergents; and air care, dish care, P&G professional, and surface care products under the Ariel, Downy, Gain, Tide, Cascade, Dawn, Fairy, Febreze, Mr. Clean, and Swiffer brands. The Baby, Feminine & Family Care segment baby wipes, taped diapers, and pants; adult incontinence and feminine care products; and paper towels, tissues, and toilet papers under the Luvs, Pampers Always, Always Discreet, Tampax Bounty, Charmin, and Puffs brands. The company sells its products through mass merchandisers, e-commerce, grocery stores, membership club stores, drug stores, department stores, distributors, wholesalers, baby stores, specialty beauty stores, high-frequency stores, pharmacies, electronics stores, and professional channels. The Procter & Gamble Company was founded in 1837 and is headquartered in Cincinnati, Ohio.

Statistics (YTD)

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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.'

Applying this definition to our asset in some examples:
  • Compared with the benchmark SPY (102.7%) in the period of the last 5 years, the total return, or increase in value of 79.1% of Procter & Gamble is lower, thus worse.
  • Looking at total return, or increase in value in of 29.4% in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (38.1%).

CAGR:

'Compound annual growth rate (CAGR) is a business and investing specific term for the geometric progression ratio that provides a constant rate of return over the time period. CAGR is not an accounting term, but it is often used to describe some element of the business, for example revenue, units delivered, registered users, etc. CAGR dampens the effect of volatility of periodic returns that can render arithmetic means irrelevant. It is particularly useful to compare growth rates from various data sets of common domain such as revenue growth of companies in the same industry.'

Using this definition on our asset we see for example:
  • The annual return (CAGR) over 5 years of Procter & Gamble is 12.4%, which is lower, thus worse compared to the benchmark SPY (15.2%) in the same period.
  • During the last 3 years, the compounded annual growth rate (CAGR) is 9%, which is lower, thus worse than the value of 11.4% from the benchmark.

Volatility:

'Volatility is a statistical measure of the dispersion of returns for a given security or market index. Volatility can either be measured by using the standard deviation or variance between returns from that same security or market index. Commonly, the higher the volatility, the riskier the security. In the securities markets, volatility is often associated with big swings in either direction. For example, when the stock market rises and falls more than one percent over a sustained period of time, it is called a 'volatile' market.'

Applying this definition to our asset in some examples:
  • Looking at the 30 days standard deviation of 21.1% in the last 5 years of Procter & Gamble, we see it is relatively larger, thus worse in comparison to the benchmark SPY (20.9%)
  • During the last 3 years, the volatility is 17.1%, which is lower, thus better than the value of 17.3% from the benchmark.

DownVol:

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

Applying this definition to our asset in some examples:
  • The downside risk over 5 years of Procter & Gamble is 14.6%, which is smaller, thus better compared to the benchmark SPY (15%) in the same period.
  • During the last 3 years, the downside volatility is 12.2%, which is greater, thus worse than the value of 12% from the benchmark.

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.'

Using this definition on our asset we see for example:
  • Looking at the Sharpe Ratio of 0.47 in the last 5 years of Procter & Gamble, we see it is relatively lower, thus worse in comparison to the benchmark SPY (0.61)
  • Looking at Sharpe Ratio in of 0.38 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (0.51).

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.'

Applying this definition to our asset in some examples:
  • Compared with the benchmark SPY (0.85) in the period of the last 5 years, the downside risk / excess return profile of 0.67 of Procter & Gamble is lower, thus worse.
  • During the last 3 years, the downside risk / excess return profile is 0.53, which is smaller, thus worse than the value of 0.74 from the benchmark.

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.'

Applying this definition to our asset in some examples:
  • The Ulcer Index over 5 years of Procter & Gamble is 7.11 , which is lower, thus better compared to the benchmark SPY (9.32 ) in the same period.
  • Looking at Downside risk index in of 7.85 in the period of the last 3 years, we see it is relatively smaller, thus better in comparison to SPY (10 ).

MaxDD:

'Maximum drawdown is defined as the peak-to-trough decline of an investment during a specific period. It is usually quoted as a percentage of the peak value. The maximum drawdown can be calculated based on absolute returns, in order to identify strategies that suffer less during market downturns, such as low-volatility strategies. However, the maximum drawdown can also be calculated based on returns relative to a benchmark index, for identifying strategies that show steady outperformance over time.'

Using this definition on our asset we see for example:
  • The maximum drop from peak to valley over 5 years of Procter & Gamble is -23.8 days, which is larger, thus better compared to the benchmark SPY (-33.7 days) in the same period.
  • Compared with SPY (-24.5 days) in the period of the last 3 years, the maximum DrawDown of -23.8 days is higher, thus better.

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.'

Applying this definition to our asset in some examples:
  • 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 smaller, thus better.
  • Compared with SPY (488 days) in the period of the last 3 years, the maximum time in days below previous high water mark of 439 days is lower, thus better.

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.'

Using this definition on our asset we see for example:
  • Looking at the average days under water of 107 days in the last 5 years of Procter & Gamble, we see it is relatively lower, thus better in comparison to the benchmark SPY (124 days)
  • Compared with SPY (181 days) in the period of the last 3 years, the average days under water of 142 days is smaller, thus better.

Performance (YTD)

Historical returns have been extended using synthetic data.

Allocations ()

Allocations

Returns (%)

  • Note that yearly returns do not equal the sum of monthly returns due to compounding.
  • Performance results of Procter & Gamble are hypothetical, do not account for slippage, fees or taxes, and are based on backtesting, which has many inherent limitations, some of which are described in our Terms of Use.