Staples (SPLS)

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.'

• Compared with the benchmark SPY (154.3%) in the period of the last 5 years, the total return, or increase in value of 9.1% of Staples is smaller, thus worse.
• During the last 3 years, the total return is -9.5%, which is smaller, thus worse than the value of 32.9% 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.'

• Looking at the compounded annual growth rate (CAGR) of 1.8% in the last 5 years of Staples, we see it is relatively lower, thus worse in comparison to the benchmark SPY (20.6%)
• Looking at annual performance (CAGR) in of -3.3% in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (10%).

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.'

• Compared with the benchmark SPY (18.4%) in the period of the last 5 years, the volatility of 33.1% of Staples is greater, thus worse.
• Compared with SPY (17%) in the period of the last 3 years, the volatility of 33.2% is larger, thus worse.

DownVol:

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

• Looking at the downside deviation of 24.7% in the last 5 years of Staples, we see it is relatively larger, thus worse in comparison to the benchmark SPY (12.4%)
• Looking at downside volatility in of 24.4% in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (12%).

Sharpe:

'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.'

• Compared with the benchmark SPY (0.99) in the period of the last 5 years, the risk / return profile (Sharpe) of -0.02 of Staples is lower, thus worse.
• Looking at ratio of return and volatility (Sharpe) in of -0.17 in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (0.44).

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.'

• Compared with the benchmark SPY (1.46) in the period of the last 5 years, the excess return divided by the downside deviation of -0.03 of Staples is smaller, thus worse.
• During the last 3 years, the ratio of annual return and downside deviation is -0.24, which is smaller, thus worse than the value of 0.62 from the benchmark.

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 Ulcer Index over 5 years of Staples is 32 , which is greater, thus worse compared to the benchmark SPY (8.29 ) in the same period.
• Looking at Ulcer Ratio in of 39 in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to SPY (8.63 ).

MaxDD:

'A maximum drawdown is the maximum loss from a peak to a trough of a portfolio, before a new peak is attained. Maximum Drawdown is an indicator of downside risk over a specified time period. It can be used both as a stand-alone measure or as an input into other metrics such as 'Return over Maximum Drawdown' and the Calmar Ratio. Maximum Drawdown is expressed in percentage terms.'

• Compared with the benchmark SPY (-24.5 days) in the period of the last 5 years, the maximum drop from peak to valley of -58.6 days of Staples is lower, thus worse.
• Compared with SPY (-22.1 days) in the period of the last 3 years, the maximum drop from peak to valley of -58.6 days is lower, 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.'

• Looking at the maximum days below previous high of 657 days in the last 5 years of Staples, we see it is relatively greater, thus worse in comparison to the benchmark SPY (488 days)
• During the last 3 years, the maximum time in days below previous high water mark is 657 days, which is larger, thus worse than the value of 325 days from the benchmark.

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.'

• Compared with the benchmark SPY (119 days) in the period of the last 5 years, the average days below previous high of 229 days of Staples is greater, thus worse.
• During the last 3 years, the average time in days below previous high water mark is 298 days, which is greater, thus worse than the value of 89 days from the benchmark.