Ross Stores (ROST)

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.'

• Looking at the total return, or increase in value of 176.2% in the last 5 years of Ross Stores, we see it is relatively greater, thus better in comparison to the benchmark SPY (67.3%)
• Looking at total return in of 59.4% in the period of the last 3 years, we see it is relatively higher, thus better in comparison to SPY (46.1%).

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.'

• The annual performance (CAGR) over 5 years of Ross Stores is 22.6%, which is higher, thus better compared to the benchmark SPY (10.9%) in the same period.
• Compared with SPY (13.5%) in the period of the last 3 years, the annual return (CAGR) of 16.8% is larger, thus better.

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.'

• The volatility over 5 years of Ross Stores is 24%, which is higher, thus worse compared to the benchmark SPY (13.2%) in the same period.
• Compared with SPY (12.4%) in the period of the last 3 years, the volatility of 23.5% is higher, thus worse.

DownVol:

'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.'

• Looking at the downside deviation of 24.5% in the last 5 years of Ross Stores, we see it is relatively larger, thus worse in comparison to the benchmark SPY (14.6%)
• During the last 3 years, the downside deviation is 24.2%, which is larger, thus worse than the value of 14% 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.'

• Looking at the risk / return profile (Sharpe) of 0.84 in the last 5 years of Ross Stores, we see it is relatively larger, thus better in comparison to the benchmark SPY (0.63)
• Looking at ratio of return and volatility (Sharpe) in of 0.61 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (0.88).

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.'

• Looking at the downside risk / excess return profile of 0.82 in the last 5 years of Ross Stores, we see it is relatively greater, thus better in comparison to the benchmark SPY (0.57)
• Looking at downside risk / excess return profile in of 0.59 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (0.79).

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.'

• The Downside risk index over 5 years of Ross Stores is 8.04 , which is larger, thus better compared to the benchmark SPY (3.95 ) in the same period.
• Compared with SPY (4 ) in the period of the last 3 years, the Ulcer Index of 8.78 is larger, thus better.

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.'

• The maximum reduction from previous high over 5 years of Ross Stores is -26 days, which is lower, thus worse compared to the benchmark SPY (-19.3 days) in the same period.
• Looking at maximum drop from peak to valley in of -26 days in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (-19.3 days).

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.'

• Compared with the benchmark SPY (187 days) in the period of the last 5 years, the maximum time in days below previous high water mark of 231 days of Ross Stores is higher, thus worse.
• Compared with SPY (131 days) in the period of the last 3 years, the maximum time in days below previous high water mark of 231 days is higher, thus worse.

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.'

• Looking at the average time in days below previous high water mark of 50 days in the last 5 years of Ross Stores, we see it is relatively higher, thus worse in comparison to the benchmark SPY (39 days)
• During the last 3 years, the average days below previous high is 59 days, which is greater, thus worse than the value of 33 days from the benchmark.