Workday (WDAY)

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 Workday is 69.7%, which is lower, thus worse compared to the benchmark SPY (78.4%) in the same period.
• Looking at total return, or increase in value in of -18.2% in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (44.1%).

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 performance (CAGR) over 5 years of Workday is 11.2%, which is lower, thus worse compared to the benchmark SPY (12.3%) in the same period.
• Compared with SPY (12.9%) in the period of the last 3 years, the compounded annual growth rate (CAGR) of -6.4% is smaller, thus worse.

Volatility:

'In finance, volatility (symbol σ) is the degree of variation of a trading price series over time as measured by the standard deviation of logarithmic returns. Historic volatility measures a time series of past market prices. Implied volatility looks forward in time, being derived from the market price of a market-traded derivative (in particular, an option). Commonly, the higher the volatility, the riskier the security.'

• Compared with the benchmark SPY (19.9%) in the period of the last 5 years, the historical 30 days volatility of 39.5% of Workday is greater, thus worse.
• During the last 3 years, the volatility is 42.1%, which is higher, thus worse than the value of 23.1% 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.'

• Looking at the downside deviation of 27.7% in the last 5 years of Workday, we see it is relatively larger, thus worse in comparison to the benchmark SPY (14.6%)
• Looking at downside volatility in of 29.9% in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (16.9%).

Sharpe:

'The Sharpe ratio is the measure of risk-adjusted return of a financial portfolio. Sharpe ratio is a measure of excess portfolio return over the risk-free rate relative to its standard deviation. Normally, the 90-day Treasury bill rate is taken as the proxy for risk-free rate. A portfolio with a higher Sharpe ratio is considered superior relative to its peers. The measure was named after William F Sharpe, a Nobel laureate and professor of finance, emeritus at Stanford University.'

• Looking at the risk / return profile (Sharpe) of 0.22 in the last 5 years of Workday, we see it is relatively smaller, thus worse in comparison to the benchmark SPY (0.49)
• During the last 3 years, the ratio of return and volatility (Sharpe) is -0.21, which is lower, thus worse than the value of 0.45 from the benchmark.

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 ratio of annual return and downside deviation of 0.31 in the last 5 years of Workday, we see it is relatively smaller, thus worse in comparison to the benchmark SPY (0.67)
• Looking at excess return divided by the downside deviation in of -0.3 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (0.62).

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 Ratio over 5 years of Workday is 16 , which is greater, thus worse compared to the benchmark SPY (6.16 ) in the same period.
• Compared with SPY (6.87 ) in the period of the last 3 years, the Downside risk index of 19 is higher, thus worse.

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 reduction from previous high over 5 years of Workday is -49.2 days, which is lower, thus worse compared to the benchmark SPY (-33.7 days) in the same period.
• Looking at maximum drop from peak to valley in of -49.2 days in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (-33.7 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 time in days below previous high water mark of 286 days in the last 5 years of Workday, we see it is relatively higher, thus worse in comparison to the benchmark SPY (139 days)
• Looking at maximum time in days below previous high water mark in of 286 days in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (119 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.'

• The average days under water over 5 years of Workday is 68 days, which is greater, thus worse compared to the benchmark SPY (35 days) in the same period.
• Compared with SPY (27 days) in the period of the last 3 years, the average days under water of 94 days is larger, thus worse.