Description of Procter & Gamble Company (The)

Procter & Gamble Company (The) Common Stock

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

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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.'

Using this definition on our asset we see for example:
  • Looking at the total return, or performance of 62.5% in the last 5 years of Procter & Gamble Company (The), we see it is relatively lower, thus worse in comparison to the benchmark SPY (68.6%)
  • During the last 3 years, the total return, or performance is 61.1%, which is higher, thus better than the value of 51% from the benchmark.

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.'

Applying this definition to our asset in some examples:
  • Looking at the annual performance (CAGR) of 10.2% in the last 5 years of Procter & Gamble Company (The), we see it is relatively lower, thus worse in comparison to the benchmark SPY (11%)
  • During the last 3 years, the annual performance (CAGR) is 17.3%, which is larger, thus better than the value of 14.8% from the benchmark.

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.'

Applying this definition to our asset in some examples:
  • Compared with the benchmark SPY (13.5%) in the period of the last 5 years, the volatility of 15.7% of Procter & Gamble Company (The) is larger, thus worse.
  • Looking at historical 30 days volatility in of 15.9% in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to SPY (12.8%).

DownVol:

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

Using this definition on our asset we see for example:
  • The downside risk over 5 years of Procter & Gamble Company (The) is 15.9%, which is larger, thus worse compared to the benchmark SPY (14.9%) in the same period.
  • During the last 3 years, the downside deviation is 16.3%, which is larger, thus worse than the value of 14.7% 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.'

Applying this definition to our asset in some examples:
  • The risk / return profile (Sharpe) over 5 years of Procter & Gamble Company (The) is 0.49, which is lower, thus worse compared to the benchmark SPY (0.63) in the same period.
  • During the last 3 years, the ratio of return and volatility (Sharpe) is 0.93, which is lower, thus worse than the value of 0.96 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.'

Applying this definition to our asset in some examples:
  • The downside risk / excess return profile over 5 years of Procter & Gamble Company (The) is 0.48, which is lower, thus worse compared to the benchmark SPY (0.57) in the same period.
  • Looking at downside risk / excess return profile in of 0.91 in the period of the last 3 years, we see it is relatively higher, thus better in comparison to SPY (0.83).

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.'

Which means for our asset as example:
  • Looking at the Ulcer Ratio of 9.36 in the last 5 years of Procter & Gamble Company (The), we see it is relatively larger, thus worse in comparison to the benchmark SPY (3.99 )
  • Compared with SPY (4.1 ) in the period of the last 3 years, the Ulcer Ratio of 7.61 is larger, 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.'

Applying this definition to our asset in some examples:
  • Compared with the benchmark SPY (-19.3 days) in the period of the last 5 years, the maximum drop from peak to valley of -25.5 days of Procter & Gamble Company (The) is lower, thus worse.
  • Compared with SPY (-19.3 days) in the period of the last 3 years, the maximum DrawDown of -23 days is smaller, thus worse.

MaxDuration:

'The Maximum 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. It is the length of time the account was in the Max Drawdown. A Max Drawdown measures a retrenchment from when an equity curve reaches a new high. It’s the maximum an account lost during that retrenchment. This method is applied because a valley can’t be measured until a new high occurs. Once the new high is reached, the percentage change from the old high to the bottom of the largest trough is recorded.'

Using this definition on our asset we see for example:
  • Compared with the benchmark SPY (187 days) in the period of the last 5 years, the maximum days under water of 420 days of Procter & Gamble Company (The) is greater, thus worse.
  • During the last 3 years, the maximum time in days below previous high water mark is 283 days, which is larger, thus worse than the value of 139 days from the benchmark.

AveDuration:

'The Drawdown Duration is the length of any peak to peak period, or the time between new equity highs. 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.'

Applying this definition to our asset in some examples:
  • Looking at the average days below previous high of 120 days in the last 5 years of Procter & Gamble Company (The), we see it is relatively higher, thus worse in comparison to the benchmark SPY (42 days)
  • Compared with SPY (36 days) in the period of the last 3 years, the average days under water of 72 days is greater, thus worse.

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) (%)

  • Note that yearly returns do not equal 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.