Description of Procter & Gamble Company (The)

Procter & Gamble Company (The) Common Stock

Statistics of Procter & Gamble Company (The) (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.'

Which means for our asset as example:
  • Compared with the benchmark SPY (65.8%) in the period of the last 5 years, the total return of 68.9% of Procter & Gamble Company (The) is greater, thus better.
  • During the last 3 years, the total return, or performance is 51.2%, which is higher, thus better than the value of 48.8% from the benchmark.

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.'

Which means for our asset as example:
  • Compared with the benchmark SPY (10.6%) in the period of the last 5 years, the compounded annual growth rate (CAGR) of 11.1% of Procter & Gamble Company (The) is larger, thus better.
  • Looking at annual performance (CAGR) in of 14.8% in the period of the last 3 years, we see it is relatively higher, thus better in comparison to SPY (14.2%).

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.'

Using this definition on our asset we see for example:
  • Compared with the benchmark SPY (13.6%) in the period of the last 5 years, the volatility of 15.5% of Procter & Gamble Company (The) is higher, thus worse.
  • During the last 3 years, the 30 days standard deviation is 15.9%, which is greater, thus worse than the value of 12.8% from the benchmark.

DownVol:

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

Which means for our asset as example:
  • The downside deviation over 5 years of Procter & Gamble Company (The) is 15.7%, which is greater, thus worse compared to the benchmark SPY (15%) in the same period.
  • During the last 3 years, the downside risk is 16.1%, which is greater, thus worse than the value of 14.6% from the benchmark.

Sharpe:

'The Sharpe ratio was developed by Nobel laureate William F. Sharpe, and is used to help investors understand the return of an investment compared to its risk. The ratio is the average return earned in excess of the risk-free rate per unit of volatility or total risk. Subtracting the risk-free rate from the mean return allows an investor to better isolate the profits associated with risk-taking activities. One intuition of this calculation is that a portfolio engaging in 'zero risk' investments, such as the purchase of U.S. Treasury bills (for which the expected return is the risk-free rate), has a Sharpe ratio of exactly zero. Generally, the greater the value of the Sharpe ratio, the more attractive the risk-adjusted return.'

Applying this definition to our asset in some examples:
  • Compared with the benchmark SPY (0.6) in the period of the last 5 years, the ratio of return and volatility (Sharpe) of 0.55 of Procter & Gamble Company (The) is lower, thus worse.
  • Compared with SPY (0.91) in the period of the last 3 years, the Sharpe Ratio of 0.77 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.'

Applying this definition to our asset in some examples:
  • The downside risk / excess return profile over 5 years of Procter & Gamble Company (The) is 0.55, which is larger, thus better compared to the benchmark SPY (0.54) in the same period.
  • Compared with SPY (0.8) in the period of the last 3 years, the downside risk / excess return profile of 0.77 is lower, thus worse.

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.'

Applying this definition to our asset in some examples:
  • Compared with the benchmark SPY (4.03 ) in the period of the last 5 years, the Ulcer Index of 9.35 of Procter & Gamble Company (The) is larger, thus worse.
  • Compared with SPY (4.1 ) in the period of the last 3 years, the Ulcer Ratio of 7.76 is higher, thus worse.

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.'

Using this definition on our asset we see for example:
  • Compared with the benchmark SPY (-19.3 days) in the period of the last 5 years, the maximum reduction from previous high of -25.5 days of Procter & Gamble Company (The) is smaller, thus worse.
  • During the last 3 years, the maximum reduction from previous high is -23 days, which is smaller, thus worse than the value of -19.3 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.'

Applying this definition to our asset in some examples:
  • The maximum days under water over 5 years of Procter & Gamble Company (The) is 420 days, which is higher, thus worse compared to the benchmark SPY (187 days) in the same period.
  • Compared with SPY (139 days) in the period of the last 3 years, the maximum time in days below previous high water mark of 283 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.'

Which means for our asset as example:
  • The average days under water over 5 years of Procter & Gamble Company (The) is 121 days, which is higher, thus worse compared to the benchmark SPY (41 days) in the same period.
  • Looking at average time in days below previous high water mark in of 75 days in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to SPY (35 days).

Performance of Procter & Gamble Company (The) (YTD)

Historical returns have been extended using synthetic data.

Allocations of Procter & Gamble Company (The)
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Allocations

Returns of Procter & Gamble Company (The) (%)

  • "Year" returns in the table above are not equal to the sum of monthly returns due to compounding.
  • Performance results of Procter & Gamble Company (The) 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.