Willis Towers Watson (WLTW)

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.'

• Looking at the total return, or increase in value of 76.6% in the last 5 years of Willis Towers Watson, we see it is relatively smaller, thus worse in comparison to the benchmark SPY (77.4%)
• Compared with SPY (43.3%) in the period of the last 3 years, the total return, or increase in value of 39.3% is lower, thus worse.

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.'

• Looking at the annual return (CAGR) of 12% in the last 5 years of Willis Towers Watson, we see it is relatively smaller, thus worse in comparison to the benchmark SPY (12.1%)
• Looking at compounded annual growth rate (CAGR) in of 11.7% in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (12.7%).

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.'

• Looking at the volatility of 24.6% in the last 5 years of Willis Towers Watson, we see it is relatively greater, thus worse in comparison to the benchmark SPY (19%)
• During the last 3 years, the 30 days standard deviation is 27.2%, which is greater, thus worse than the value of 22% 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 volatility of 17.5% in the last 5 years of Willis Towers Watson, we see it is relatively higher, thus worse in comparison to the benchmark SPY (13.9%)
• During the last 3 years, the downside volatility is 19.2%, which is greater, thus worse than the value of 16.2% from the benchmark.

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 0.39 in the last 5 years of Willis Towers Watson, we see it is relatively lower, thus worse in comparison to the benchmark SPY (0.51)
• During the last 3 years, the ratio of return and volatility (Sharpe) is 0.34, which is lower, thus worse than the value of 0.46 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.'

• Compared with the benchmark SPY (0.7) in the period of the last 5 years, the excess return divided by the downside deviation of 0.55 of Willis Towers Watson is lower, thus worse.
• Looking at downside risk / excess return profile in of 0.48 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (0.63).

Ulcer:

'Ulcer Index is a method for measuring investment risk that addresses the real concerns of investors, unlike the widely used standard deviation of return. UI is a measure of the depth and duration of drawdowns in prices from earlier highs. Using Ulcer Index instead of standard deviation can lead to very different conclusions about investment risk and risk-adjusted return, especially when evaluating strategies that seek to avoid major declines in portfolio value (market timing, dynamic asset allocation, hedge funds, etc.). The Ulcer Index was originally developed in 1987. Since then, it has been widely recognized and adopted by the investment community. According to Nelson Freeburg, editor of Formula Research, Ulcer Index is “perhaps the most fully realized statistical portrait of risk there is.'

• Looking at the Downside risk index of 7.02 in the last 5 years of Willis Towers Watson, we see it is relatively higher, thus worse in comparison to the benchmark SPY (5.87 )
• Compared with SPY (7.01 ) in the period of the last 3 years, the Ulcer Ratio of 7.45 is greater, 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 Willis Towers Watson is -32.9 days, which is higher, thus better compared to the benchmark SPY (-33.7 days) in the same period.
• Looking at maximum drop from peak to valley in of -32.9 days in the period of the last 3 years, we see it is relatively greater, thus better in comparison to SPY (-33.7 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.'

• The maximum days below previous high over 5 years of Willis Towers Watson is 189 days, which is greater, thus worse compared to the benchmark SPY (139 days) in the same period.
• Looking at maximum days below previous high in of 129 days in the period of the last 3 years, we see it is relatively lower, thus better in comparison to SPY (139 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 time in days below previous high water mark of 52 days in the last 5 years of Willis Towers Watson, we see it is relatively larger, thus worse in comparison to the benchmark SPY (37 days)
• Compared with SPY (45 days) in the period of the last 3 years, the average days under water of 43 days is lower, thus better.