Analog Devices (ADI)

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.'

• The total return, or performance over 5 years of Analog Devices is 103.9%, which is greater, thus better compared to the benchmark SPY (97.4%) in the same period.
• Looking at total return, or performance in of 48.4% in the period of the last 3 years, we see it is relatively greater, thus better in comparison to SPY (44.7%).

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.'

• Looking at the compounded annual growth rate (CAGR) of 15.4% in the last 5 years of Analog Devices, we see it is relatively higher, thus better in comparison to the benchmark SPY (14.6%)
• Compared with SPY (13.2%) in the period of the last 3 years, the compounded annual growth rate (CAGR) of 14.1% 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.'

• Compared with the benchmark SPY (21%) in the period of the last 5 years, the 30 days standard deviation of 35.5% of Analog Devices is higher, thus worse.
• Compared with SPY (17.4%) in the period of the last 3 years, the historical 30 days volatility of 31.7% is greater, thus worse.

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.'

• The downside volatility over 5 years of Analog Devices is 24.4%, which is higher, thus worse compared to the benchmark SPY (15%) in the same period.
• Compared with SPY (12.1%) in the period of the last 3 years, the downside risk of 21.6% is higher, thus worse.

Sharpe:

'The Sharpe ratio was developed by Nobel laureate William F. Sharpe, and is used to help investors understand the return of an investment compared to its risk. The ratio is the average return earned in excess of the risk-free rate per unit of volatility or total risk. Subtracting the risk-free rate from the mean return allows an investor to better isolate the profits associated with risk-taking activities. One intuition of this calculation is that a portfolio engaging in 'zero risk' investments, such as the purchase of U.S. Treasury bills (for which the expected return is the risk-free rate), has a Sharpe ratio of exactly zero. Generally, the greater the value of the Sharpe ratio, the more attractive the risk-adjusted return.'

• Compared with the benchmark SPY (0.58) in the period of the last 5 years, the Sharpe Ratio of 0.36 of Analog Devices is lower, thus worse.
• Compared with SPY (0.61) in the period of the last 3 years, the Sharpe Ratio of 0.37 is lower, thus worse.

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.'

• The downside risk / excess return profile over 5 years of Analog Devices is 0.53, which is smaller, thus worse compared to the benchmark SPY (0.8) in the same period.
• Looking at downside risk / excess return profile in of 0.54 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (0.88).

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 Ulcer Ratio of 10 in the last 5 years of Analog Devices, we see it is relatively greater, thus worse in comparison to the benchmark SPY (9.33 )
• Compared with SPY (8.63 ) in the period of the last 3 years, the Downside risk index of 8.84 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.'

• Looking at the maximum reduction from previous high of -33.6 days in the last 5 years of Analog Devices, we see it is relatively greater, thus better in comparison to the benchmark SPY (-33.7 days)
• Compared with SPY (-22.1 days) in the period of the last 3 years, the maximum drop from peak to valley of -23.6 days is smaller, thus worse.

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 under water over 5 years of Analog Devices is 309 days, which is lower, thus better compared to the benchmark SPY (488 days) in the same period.
• Compared with SPY (325 days) in the period of the last 3 years, the maximum days under water of 130 days is smaller, thus better.

AveDuration:

'The Average 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. 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 Analog Devices is 64 days, which is lower, thus better compared to the benchmark SPY (122 days) in the same period.
• Compared with SPY (89 days) in the period of the last 3 years, the average days below previous high of 41 days is lower, thus better.