VeriSign (VRSN)

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 23% in the last 5 years of VeriSign, we see it is relatively smaller, thus worse in comparison to the benchmark SPY (98.5%)
• During the last 3 years, the total return, or increase in value is 24.1%, which is lower, thus worse than the value of 75.3% from the benchmark.

CAGR:

'The compound annual growth rate isn't a true return rate, but rather a representational figure. It is essentially a number that describes the rate at which an investment would have grown if it had grown the same rate every year and the profits were reinvested at the end of each year. In reality, this sort of performance is unlikely. However, CAGR can be used to smooth returns so that they may be more easily understood when compared to alternative investments.'

• The compounded annual growth rate (CAGR) over 5 years of VeriSign is 4.2%, which is smaller, thus worse compared to the benchmark SPY (14.8%) in the same period.
• Compared with SPY (20.7%) in the period of the last 3 years, the compounded annual growth rate (CAGR) of 7.5% is smaller, thus worse.

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 (17.1%) in the period of the last 5 years, the 30 days standard deviation of 24.2% of VeriSign is larger, thus worse.
• Compared with SPY (15.6%) in the period of the last 3 years, the historical 30 days volatility of 21.1% is higher, thus worse.

DownVol:

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

• The downside deviation over 5 years of VeriSign is 17.6%, which is greater, thus worse compared to the benchmark SPY (11.8%) in the same period.
• Compared with SPY (10.4%) in the period of the last 3 years, the downside volatility of 15.1% is greater, 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 risk / return profile (Sharpe) over 5 years of VeriSign is 0.07, which is lower, thus worse compared to the benchmark SPY (0.72) in the same period.
• Looking at ratio of return and volatility (Sharpe) in of 0.24 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (1.17).

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 excess return divided by the downside deviation of 0.1 in the last 5 years of VeriSign, we see it is relatively lower, thus worse in comparison to the benchmark SPY (1.04)
• Compared with SPY (1.74) in the period of the last 3 years, the excess return divided by the downside deviation of 0.33 is smaller, thus worse.

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.'

• Compared with the benchmark SPY (8.42 ) in the period of the last 5 years, the Downside risk index of 19 of VeriSign is higher, thus worse.
• During the last 3 years, the Ulcer Index is 13 , which is greater, thus worse than the value of 3.62 from the benchmark.

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.'

• The maximum reduction from previous high over 5 years of VeriSign is -38.8 days, which is lower, thus worse compared to the benchmark SPY (-24.5 days) in the same period.
• During the last 3 years, the maximum reduction from previous high is -26.3 days, which is smaller, thus worse than the value of -18.8 days from the benchmark.

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 832 days in the last 5 years of VeriSign, we see it is relatively higher, thus worse in comparison to the benchmark SPY (488 days)
• During the last 3 years, the maximum days below previous high is 433 days, which is greater, thus worse than the value of 87 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 VeriSign is 297 days, which is larger, thus worse compared to the benchmark SPY (119 days) in the same period.
• During the last 3 years, the average days below previous high is 144 days, which is greater, thus worse than the value of 21 days from the benchmark.