Verisk Analytics (VRSK)

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 (94.2%) in the period of the last 5 years, the total return, or increase in value of 79.1% of Verisk Analytics is smaller, thus worse.
• Looking at total return, or performance in of 43.3% in the period of the last 3 years, we see it is relatively larger, thus better in comparison to SPY (34.4%).

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.'

• Compared with the benchmark SPY (14.2%) in the period of the last 5 years, the annual performance (CAGR) of 12.4% of Verisk Analytics is smaller, thus worse.
• During the last 3 years, the annual performance (CAGR) is 12.8%, which is greater, thus better than the value of 10.4% from the benchmark.

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.'

• Compared with the benchmark SPY (21%) in the period of the last 5 years, the volatility of 26.6% of Verisk Analytics is greater, thus worse.
• Compared with SPY (17.5%) in the period of the last 3 years, the volatility of 22.6% is higher, thus worse.

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.'

• The downside risk over 5 years of Verisk Analytics is 18.8%, which is higher, thus worse compared to the benchmark SPY (15%) in the same period.
• Compared with SPY (12.3%) in the period of the last 3 years, the downside deviation of 15.7% is higher, 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.'

• Looking at the risk / return profile (Sharpe) of 0.37 in the last 5 years of Verisk Analytics, we see it is relatively lower, thus worse in comparison to the benchmark SPY (0.56)
• During the last 3 years, the Sharpe Ratio is 0.46, which is higher, thus better than the value of 0.45 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.'

• Looking at the downside risk / excess return profile of 0.53 in the last 5 years of Verisk Analytics, we see it is relatively lower, thus worse in comparison to the benchmark SPY (0.78)
• During the last 3 years, the ratio of annual return and downside deviation is 0.65, which is larger, thus better than the value of 0.64 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 Verisk Analytics is 12 , which is greater, thus worse compared to the benchmark SPY (9.33 ) in the same period.
• During the last 3 years, the Downside risk index is 11 , which is higher, thus worse than the value of 8.87 from the benchmark.

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.'

• The maximum drop from peak to valley over 5 years of Verisk Analytics is -30.9 days, which is higher, thus better compared to the benchmark SPY (-33.7 days) in the same period.
• Compared with SPY (-22.4 days) in the period of the last 3 years, the maximum reduction from previous high of -28 days is smaller, 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.'

• The maximum days below previous high over 5 years of Verisk Analytics is 396 days, which is lower, thus better compared to the benchmark SPY (488 days) in the same period.
• Looking at maximum time in days below previous high water mark in of 278 days in the period of the last 3 years, we see it is relatively lower, thus better in comparison to SPY (375 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.'

• Looking at the average days below previous high of 95 days in the last 5 years of Verisk Analytics, we see it is relatively lower, thus better in comparison to the benchmark SPY (122 days)
• During the last 3 years, the average days below previous high is 73 days, which is smaller, thus better than the value of 113 days from the benchmark.