Description of Analog Devices

Analog Devices, Inc. - Common Stock

Statistics of Analog Devices (YTD)

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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.'

Using this definition on our asset we see for example:
  • Compared with the benchmark SPY (67.3%) in the period of the last 5 years, the total return of 137.7% of Analog Devices is greater, thus better.
  • Compared with SPY (46.1%) in the period of the last 3 years, the total return of 96.7% is greater, thus better.

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.'

Applying this definition to our asset in some examples:
  • Compared with the benchmark SPY (10.9%) in the period of the last 5 years, the annual return (CAGR) of 18.9% of Analog Devices is higher, thus better.
  • Compared with SPY (13.5%) in the period of the last 3 years, the annual performance (CAGR) of 25.3% is larger, thus better.

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.'

Applying this definition to our asset in some examples:
  • Compared with the benchmark SPY (13.2%) in the period of the last 5 years, the 30 days standard deviation of 25.7% of Analog Devices is greater, thus worse.
  • Compared with SPY (12.4%) in the period of the last 3 years, the volatility of 24% 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.'

Applying this definition to our asset in some examples:
  • Looking at the downside deviation of 26.2% in the last 5 years of Analog Devices, we see it is relatively higher, thus worse in comparison to the benchmark SPY (14.6%)
  • Compared with SPY (14%) in the period of the last 3 years, the downside deviation of 25.8% 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.'

Which means for our asset as example:
  • Compared with the benchmark SPY (0.63) in the period of the last 5 years, the Sharpe Ratio of 0.64 of Analog Devices is higher, thus better.
  • Compared with SPY (0.88) in the period of the last 3 years, the ratio of return and volatility (Sharpe) of 0.95 is greater, thus better.

Sortino:

'The Sortino ratio measures the risk-adjusted return of an investment asset, portfolio, or strategy. It is a modification of the Sharpe ratio but penalizes only those returns falling below a user-specified target or required rate of return, while the Sharpe ratio penalizes both upside and downside volatility equally. Though both ratios measure an investment's risk-adjusted return, they do so in significantly different ways that will frequently lead to differing conclusions as to the true nature of the investment's return-generating efficiency. The Sortino ratio is used as a way to compare the risk-adjusted performance of programs with differing risk and return profiles. In general, risk-adjusted returns seek to normalize the risk across programs and then see which has the higher return unit per risk.'

Applying this definition to our asset in some examples:
  • The excess return divided by the downside deviation over 5 years of Analog Devices is 0.63, which is higher, thus better compared to the benchmark SPY (0.57) in the same period.
  • During the last 3 years, the excess return divided by the downside deviation is 0.89, which is greater, thus better than the value of 0.79 from the benchmark.

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.'

Which means for our asset as example:
  • Looking at the Ulcer Index of 9.8 in the last 5 years of Analog Devices, we see it is relatively larger, thus better in comparison to the benchmark SPY (3.95 )
  • Compared with SPY (4 ) in the period of the last 3 years, the Downside risk index of 6.6 is higher, thus better.

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.'

Applying this definition to our asset in some examples:
  • Compared with the benchmark SPY (-19.3 days) in the period of the last 5 years, the maximum reduction from previous high of -28 days of Analog Devices is lower, thus worse.
  • Compared with SPY (-19.3 days) in the period of the last 3 years, the maximum reduction from previous high of -23.3 days is lower, thus worse.

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'

Using this definition on our asset we see for example:
  • Looking at the maximum days below previous high of 368 days in the last 5 years of Analog Devices, we see it is relatively higher, thus worse in comparison to the benchmark SPY (187 days)
  • Looking at maximum days below previous high in of 163 days in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to SPY (131 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.'

Applying this definition to our asset in some examples:
  • Compared with the benchmark SPY (39 days) in the period of the last 5 years, the average days below previous high of 86 days of Analog Devices is greater, thus worse.
  • During the last 3 years, the average days under water is 40 days, which is higher, thus worse than the value of 33 days from the benchmark.

Performance of Analog Devices (YTD)

Historical returns have been extended using synthetic data.

Allocations of Analog Devices
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Allocations

Returns of Analog Devices (%)

  • "Year" returns in the table above are not equal to the sum of monthly returns due to compounding.
  • Performance results of Analog Devices are hypothetical, do not account for slippage, fees or taxes, and are based on backtesting, which has many inherent limitations, some of which are described in our Terms of Use.