Applied Materials (AMAT)

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.'

• The total return, or performance over 5 years of Applied Materials is 224.8%, which is greater, thus better compared to the benchmark SPY (99.3%) in the same period.
• Looking at total return, or increase in value in of 155.4% in the period of the last 3 years, we see it is relatively higher, thus better in comparison to SPY (74.5%).

CAGR:

'The compound annual growth rate (CAGR) is a useful measure of growth over multiple time periods. It can be thought of as the growth rate that gets you from the initial investment value to the ending investment value if you assume that the investment has been compounding over the time period.'

• Compared with the benchmark SPY (14.9%) in the period of the last 5 years, the annual return (CAGR) of 26.7% of Applied Materials is larger, thus better.
• During the last 3 years, the annual return (CAGR) is 37%, which is higher, thus better than the value of 20.5% from the benchmark.

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 (17.1%) in the period of the last 5 years, the 30 days standard deviation of 43.6% of Applied Materials is greater, thus worse.
• During the last 3 years, the volatility is 41.2%, which is higher, thus worse than the value of 15.6% from the benchmark.

DownVol:

'The downside volatility is similar to the volatility, or standard deviation, but only takes losing/negative periods into account.'

• Looking at the downside deviation of 29.9% in the last 5 years of Applied Materials, we see it is relatively higher, thus worse in comparison to the benchmark SPY (11.8%)
• Looking at downside deviation in of 28.4% in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (10.4%).

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 0.56 in the last 5 years of Applied Materials, we see it is relatively lower, thus worse in comparison to the benchmark SPY (0.72)
• Compared with SPY (1.16) in the period of the last 3 years, the risk / return profile (Sharpe) of 0.84 is lower, thus worse.

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 (1.05) in the period of the last 5 years, the excess return divided by the downside deviation of 0.81 of Applied Materials is smaller, thus worse.
• Looking at downside risk / excess return profile in of 1.21 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (1.73).

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 Downside risk index of 24 in the last 5 years of Applied Materials, we see it is relatively higher, thus worse in comparison to the benchmark SPY (8.42 )
• During the last 3 years, the Ulcer Index is 20 , which is larger, thus worse than the value of 3.62 from the benchmark.

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 -55.1 days of Applied Materials is lower, thus worse.
• Compared with SPY (-18.8 days) in the period of the last 3 years, the maximum drop from peak to valley of -49.9 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'

• Compared with the benchmark SPY (488 days) in the period of the last 5 years, the maximum time in days below previous high water mark of 487 days of Applied Materials is smaller, thus better.
• Compared with SPY (87 days) in the period of the last 3 years, the maximum time in days below previous high water mark of 348 days is greater, 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.'

• Looking at the average days below previous high of 157 days in the last 5 years of Applied Materials, we see it is relatively greater, thus worse in comparison to the benchmark SPY (120 days)
• Looking at average days below previous high in of 94 days in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to SPY (21 days).