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.'

• The total return, or performance over 5 years of Verisk Analytics is 128.1%, which is larger, thus better compared to the benchmark SPY (62.4%) in the same period.
• Looking at total return, or increase in value in of 96.2% in the period of the last 3 years, we see it is relatively larger, thus better in comparison to SPY (39.3%).

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.'

• The compounded annual growth rate (CAGR) over 5 years of Verisk Analytics is 18%, which is greater, thus better compared to the benchmark SPY (10.2%) in the same period.
• Compared with SPY (11.7%) in the period of the last 3 years, the compounded annual growth rate (CAGR) of 25.2% is higher, 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 historical 30 days volatility over 5 years of Verisk Analytics is 18.5%, which is higher, thus worse compared to the benchmark SPY (13.5%) in the same period.
• During the last 3 years, the 30 days standard deviation is 17.1%, which is larger, thus worse than the value of 13.2% from the benchmark.

DownVol:

'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.'

• Compared with the benchmark SPY (9.8%) in the period of the last 5 years, the downside volatility of 13.2% of Verisk Analytics is larger, thus worse.
• Looking at downside risk in of 12.3% in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to SPY (9.8%).

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.'

• Looking at the ratio of return and volatility (Sharpe) of 0.84 in the last 5 years of Verisk Analytics, we see it is relatively greater, thus better in comparison to the benchmark SPY (0.57)
• Looking at ratio of return and volatility (Sharpe) in of 1.33 in the period of the last 3 years, we see it is relatively greater, thus better in comparison to SPY (0.69).

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 (0.78) in the period of the last 5 years, the ratio of annual return and downside deviation of 1.17 of Verisk Analytics is higher, thus better.
• During the last 3 years, the downside risk / excess return profile is 1.84, which is larger, thus better than the value of 0.94 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.'

• Looking at the Ulcer Ratio of 5.42 in the last 5 years of Verisk Analytics, we see it is relatively higher, thus worse in comparison to the benchmark SPY (3.98 )
• Looking at Ulcer Ratio in of 4.79 in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (4.12 ).

MaxDD:

'Maximum drawdown is defined as the peak-to-trough decline of an investment during a specific period. It is usually quoted as a percentage of the peak value. The maximum drawdown can be calculated based on absolute returns, in order to identify strategies that suffer less during market downturns, such as low-volatility strategies. However, the maximum drawdown can also be calculated based on returns relative to a benchmark index, for identifying strategies that show steady outperformance over time.'

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

• Looking at the maximum days under water of 247 days in the last 5 years of Verisk Analytics, we see it is relatively larger, thus worse in comparison to the benchmark SPY (187 days)
• During the last 3 years, the maximum days under water is 94 days, which is lower, thus better 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.'

• The average days below previous high over 5 years of Verisk Analytics is 54 days, which is higher, thus worse compared to the benchmark SPY (42 days) in the same period.
• Looking at average days under water in of 23 days in the period of the last 3 years, we see it is relatively smaller, thus better in comparison to SPY (37 days).