Vertex Pharmaceuticals (VRTX)

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.'

• Compared with the benchmark SPY (90%) in the period of the last 5 years, the total return, or increase in value of 101.3% of Vertex Pharmaceuticals is greater, thus better.
• Compared with SPY (86%) in the period of the last 3 years, the total return, or performance of 25.3% is lower, thus worse.

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 annual return (CAGR) over 5 years of Vertex Pharmaceuticals is 15.1%, which is higher, thus better compared to the benchmark SPY (13.7%) in the same period.
• During the last 3 years, the annual performance (CAGR) is 7.8%, which is lower, thus worse than the value of 23.1% 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.'

• Looking at the volatility of 28.8% in the last 5 years of Vertex Pharmaceuticals, we see it is relatively larger, thus worse in comparison to the benchmark SPY (17%)
• Compared with SPY (15.1%) in the period of the last 3 years, the historical 30 days volatility of 28.9% is higher, thus worse.

DownVol:

'Downside risk is the financial risk associated with losses. That is, it is the risk of the actual return being below the expected return, or the uncertainty about the magnitude of that difference. 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.'

• Looking at the downside deviation of 20.9% in the last 5 years of Vertex Pharmaceuticals, we see it is relatively larger, thus worse in comparison to the benchmark SPY (11.7%)
• Compared with SPY (10.1%) in the period of the last 3 years, the downside deviation of 21.5% 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 Sharpe Ratio of 0.44 in the last 5 years of Vertex Pharmaceuticals, we see it is relatively lower, thus worse in comparison to the benchmark SPY (0.66)
• Looking at risk / return profile (Sharpe) in of 0.18 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (1.36).

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 0.6 in the last 5 years of Vertex Pharmaceuticals, we see it is relatively lower, thus worse in comparison to the benchmark SPY (0.96)
• Looking at excess return divided by the downside deviation in of 0.25 in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (2.04).

Ulcer:

'The Ulcer Index is a technical indicator that measures downside risk, in terms of both the depth and duration of price declines. The index increases in value as the price moves farther away from a recent high and falls as the price rises to new highs. The indicator is usually calculated over a 14-day period, with the Ulcer Index showing the percentage drawdown a trader can expect from the high over that period. The greater the value of the Ulcer Index, the longer it takes for a stock to get back to the former high.'

• Looking at the Ulcer Index of 9.99 in the last 5 years of Vertex Pharmaceuticals, we see it is relatively larger, thus worse in comparison to the benchmark SPY (8.44 )
• Compared with SPY (3.5 ) in the period of the last 3 years, the Ulcer Index of 11 is greater, thus worse.

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.'

• Compared with the benchmark SPY (-24.5 days) in the period of the last 5 years, the maximum DrawDown of -29.1 days of Vertex Pharmaceuticals is smaller, thus worse.
• Looking at maximum reduction from previous high in of -29.1 days in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (-18.8 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) in days.'

• Looking at the maximum days under water of 378 days in the last 5 years of Vertex Pharmaceuticals, we see it is relatively lower, thus better in comparison to the benchmark SPY (488 days)
• Compared with SPY (87 days) in the period of the last 3 years, the maximum days below previous high of 378 days is higher, thus worse.

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 under water over 5 years of Vertex Pharmaceuticals is 84 days, which is lower, thus better compared to the benchmark SPY (120 days) in the same period.
• Compared with SPY (20 days) in the period of the last 3 years, the average time in days below previous high water mark of 112 days is greater, thus worse.