The Procter & Gamble Company Common Stock

'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.'

Using this definition on our asset we see for example:- The total return, or increase in value over 5 years of Procter & Gamble is 70.7%, which is larger, thus better compared to the benchmark SPY (57.4%) in the same period.
- Compared with SPY (32.9%) in the period of the last 3 years, the total return, or performance of 45.6% is higher, thus better.

'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.'

Applying this definition to our asset in some examples:- The annual return (CAGR) over 5 years of Procter & Gamble is 11.3%, which is larger, thus better compared to the benchmark SPY (9.5%) in the same period.
- During the last 3 years, the annual performance (CAGR) is 13.4%, which is higher, thus better than the value of 10% from the benchmark.

'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 volatility of 20.3% in the last 5 years of Procter & Gamble, we see it is relatively higher, thus worse in comparison to the benchmark SPY (18.7%)
- Compared with SPY (21.5%) in the period of the last 3 years, the volatility of 23.3% is greater, thus worse.

'Downside risk is the financial risk associated with losses. That is, it is the risk of the actual return being below the expected return, or the uncertainty about the magnitude of that difference. Risk measures typically quantify the downside risk, whereas the standard deviation (an example of a deviation risk measure) measures both the upside and downside risk. Specifically, downside risk in our definition is the semi-deviation, that is the standard deviation of all negative returns.'

Applying this definition to our asset in some examples:- The downside volatility over 5 years of Procter & Gamble is 13.7%, which is greater, thus worse compared to the benchmark SPY (13.6%) in the same period.
- During the last 3 years, the downside risk is 15.7%, which is larger, thus worse than the value of 15.7% from the benchmark.

'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.'

Applying this definition to our asset in some examples:- Looking at the ratio of return and volatility (Sharpe) of 0.43 in the last 5 years of Procter & Gamble, we see it is relatively greater, thus better in comparison to the benchmark SPY (0.37)
- Compared with SPY (0.35) in the period of the last 3 years, the risk / return profile (Sharpe) of 0.47 is higher, thus better.

'The Sortino ratio, a variation of the Sharpe ratio only factors in the downside, or negative volatility, rather than the total volatility used in calculating the Sharpe ratio. The theory behind the Sortino variation is that upside volatility is a plus for the investment, and it, therefore, should not be included in the risk calculation. Therefore, the Sortino ratio takes upside volatility out of the equation and uses only the downside standard deviation in its calculation instead of the total standard deviation that is used in calculating the Sharpe ratio.'

Applying this definition to our asset in some examples:- Looking at the ratio of annual return and downside deviation of 0.64 in the last 5 years of Procter & Gamble, we see it is relatively higher, thus better in comparison to the benchmark SPY (0.52)
- Compared with SPY (0.48) in the period of the last 3 years, the downside risk / excess return profile of 0.69 is greater, thus better.

'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.'

Which means for our asset as example:- Looking at the Ulcer Index of 7.06 in the last 5 years of Procter & Gamble, we see it is relatively greater, thus worse in comparison to the benchmark SPY (5.8 )
- Looking at Ulcer Index in of 8.14 in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (6.84 ).

'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 (-33.7 days) in the period of the last 5 years, the maximum drop from peak to valley of -23.2 days of Procter & Gamble is larger, thus better.
- Looking at maximum reduction from previous high in of -23.2 days in the period of the last 3 years, we see it is relatively higher, thus better in comparison to SPY (-33.7 days).

'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.'

Using this definition on our asset we see for example:- Looking at the maximum days below previous high of 283 days in the last 5 years of Procter & Gamble, we see it is relatively greater, thus worse in comparison to the benchmark SPY (187 days)
- Looking at maximum days under water in of 283 days in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to SPY (139 days).

'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.'

Which means for our asset as example:- Looking at the average days below previous high of 55 days in the last 5 years of Procter & Gamble, we see it is relatively greater, thus worse in comparison to the benchmark SPY (43 days)
- Compared with SPY (38 days) in the period of the last 3 years, the average days below previous high of 69 days is greater, thus worse.

Historical returns have been extended using synthetic data.
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- 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.