Verisk Analytics (VRSK)

TotalReturn:

'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.'

• Looking at the total return of 105.1% in the last 5 years of Verisk Analytics, we see it is relatively greater, thus better in comparison to the benchmark SPY (68.1%)
• Looking at total return in of 67% in the period of the last 3 years, we see it is relatively higher, thus better in comparison to SPY (47.1%).

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.'

• Compared with the benchmark SPY (11%) in the period of the last 5 years, the annual performance (CAGR) of 15.5% of Verisk Analytics is higher, thus better.
• Compared with SPY (13.8%) in the period of the last 3 years, the annual performance (CAGR) of 18.7% is greater, thus better.

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.'

• The 30 days standard deviation over 5 years of Verisk Analytics is 18.4%, which is larger, 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 16.7% is greater, thus worse.

DownVol:

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

• The downside volatility over 5 years of Verisk Analytics is 20.1%, which is higher, thus worse compared to the benchmark SPY (14.6%) in the same period.
• During the last 3 years, the downside volatility is 19.1%, which is greater, thus worse than the value of 14% from the benchmark.

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.'

• The risk / return profile (Sharpe) over 5 years of Verisk Analytics is 0.7, which is higher, thus better compared to the benchmark SPY (0.64) in the same period.
• During the last 3 years, the Sharpe Ratio is 0.97, which is larger, thus better than the value of 0.91 from the benchmark.

Sortino:

'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.'

• The downside risk / excess return profile over 5 years of Verisk Analytics is 0.64, which is greater, thus better compared to the benchmark SPY (0.58) in the same period.
• Compared with SPY (0.8) in the period of the last 3 years, the excess return divided by the downside deviation of 0.85 is larger, thus better.

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.'

• Looking at the Downside risk index of 5.15 in the last 5 years of Verisk Analytics, we see it is relatively greater, thus better in comparison to the benchmark SPY (3.95 )
• During the last 3 years, the Downside risk index is 4.35 , which is greater, thus better than the value of 4 from the benchmark.

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.'

• Looking at the maximum reduction from previous high of -19.1 days in the last 5 years of Verisk Analytics, we see it is relatively larger, thus better in comparison to the benchmark SPY (-19.3 days)
• During the last 3 years, the maximum DrawDown is -17.4 days, which is larger, thus better 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). Many assume Max DD Duration is the length of time between new highs during which the Max DD (magnitude) occurred. But that isn’t always the case. The Max DD duration is the longest time between peaks, period. So it could be the time when the program also had its biggest peak to valley loss (and usually is, because the program needs a long time to recover from the largest loss), but it doesn’t have to be'

• Looking at the maximum time in days below previous high water mark of 247 days in the last 5 years of Verisk Analytics, we see it is relatively higher, thus worse in comparison to the benchmark SPY (187 days)
• Looking at maximum time in days below previous high water mark in of 247 days in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to SPY (131 days).

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.'

• Compared with the benchmark SPY (39 days) in the period of the last 5 years, the average days under water of 54 days of Verisk Analytics is higher, thus worse.
• Looking at average days under water in of 58 days in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (33 days).