Verisk Analytics (VRSK)

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 133.3% in the last 5 years of Verisk Analytics, we see it is relatively higher, thus better in comparison to the benchmark SPY (67.9%)
• During the last 3 years, the total return, or increase in value is 82.6%, which is greater, thus better than the value of 46.6% 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 18.5% in the last 5 years of Verisk Analytics, we see it is relatively larger, thus better in comparison to the benchmark SPY (10.9%)
• Looking at annual return (CAGR) in of 22.2% in the period of the last 3 years, we see it is relatively greater, thus better in comparison to SPY (13.6%).

Volatility:

'Volatility is a statistical measure of the dispersion of returns for a given security or market index. Volatility can either be measured by using the standard deviation or variance between returns from that same security or market index. Commonly, the higher the volatility, the riskier the security. In the securities markets, volatility is often associated with big swings in either direction. For example, when the stock market rises and falls more than one percent over a sustained period of time, it is called a 'volatile' market.'

• Compared with the benchmark SPY (13.3%) in the period of the last 5 years, the 30 days standard deviation of 18.3% of Verisk Analytics is larger, thus worse.
• During the last 3 years, the 30 days standard deviation is 16.7%, which is higher, thus worse than the value of 12.5% from the benchmark.

DownVol:

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

• The downside risk over 5 years of Verisk Analytics is 20.2%, which is greater, thus worse compared to the benchmark SPY (14.6%) in the same period.
• Compared with SPY (14.2%) in the period of the last 3 years, the downside deviation of 19.2% is larger, thus worse.

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 Sharpe Ratio over 5 years of Verisk Analytics is 0.87, which is greater, thus better compared to the benchmark SPY (0.64) in the same period.
• Compared with SPY (0.89) in the period of the last 3 years, the Sharpe Ratio of 1.18 is larger, thus better.

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.'

• Looking at the downside risk / excess return profile of 0.79 in the last 5 years of Verisk Analytics, we see it is relatively larger, thus better in comparison to the benchmark SPY (0.58)
• Looking at downside risk / excess return profile in of 1.03 in the period of the last 3 years, we see it is relatively larger, thus better in comparison to SPY (0.78).

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 Ulcer Index of 5.01 in the last 5 years of Verisk Analytics, we see it is relatively higher, thus better in comparison to the benchmark SPY (3.96 )
• Looking at Ulcer Index in of 4.3 in the period of the last 3 years, we see it is relatively larger, thus better in comparison to SPY (4.01 ).

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.'

• Looking at the maximum DrawDown of -19.1 days in the last 5 years of Verisk Analytics, we see it is relatively greater, thus better in comparison to the benchmark SPY (-19.3 days)
• Looking at maximum drop from peak to valley in of -17.4 days in the period of the last 3 years, we see it is relatively higher, thus better in comparison to SPY (-19.3 days).

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 days below previous high of 247 days in the last 5 years of Verisk Analytics, we see it is relatively greater, thus worse in comparison to the benchmark SPY (187 days)
• During the last 3 years, the maximum time in days below previous high water mark is 247 days, which is greater, thus worse than the value of 139 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.'

• The average days under water over 5 years of Verisk Analytics is 52 days, which is greater, thus worse compared to the benchmark SPY (41 days) in the same period.
• During the last 3 years, the average days below previous high is 57 days, which is greater, thus worse than the value of 36 days from the benchmark.