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.'

• Looking at the total return, or increase in value of 185.3% in the last 5 years of Applied Materials, we see it is relatively larger, thus better in comparison to the benchmark SPY (99.7%)
• Looking at total return, or increase in value in of 46.8% in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (50.9%).

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.'

• Looking at the annual return (CAGR) of 23.4% in the last 5 years of Applied Materials, we see it is relatively greater, thus better in comparison to the benchmark SPY (14.9%)
• Looking at annual performance (CAGR) in of 13.7% in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (14.8%).

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.'

• The 30 days standard deviation over 5 years of Applied Materials is 43.1%, which is greater, thus worse compared to the benchmark SPY (17.8%) in the same period.
• Looking at 30 days standard deviation in of 42.7% in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to SPY (18%).

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.'

• Looking at the downside deviation of 29.5% in the last 5 years of Applied Materials, we see it is relatively greater, thus worse in comparison to the benchmark SPY (12.5%)
• Looking at downside volatility in of 29.4% in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (12.2%).

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.'

• Compared with the benchmark SPY (0.69) in the period of the last 5 years, the risk / return profile (Sharpe) of 0.49 of Applied Materials is lower, thus worse.
• Looking at ratio of return and volatility (Sharpe) in of 0.26 in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (0.68).

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.'

• The excess return divided by the downside deviation over 5 years of Applied Materials is 0.71, which is lower, thus worse compared to the benchmark SPY (1) in the same period.
• During the last 3 years, the downside risk / excess return profile is 0.38, which is lower, thus worse than the value of 1.01 from the benchmark.

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.'

• Compared with the benchmark SPY (8.49 ) in the period of the last 5 years, the Downside risk index of 23 of Applied Materials is higher, thus worse.
• Compared with SPY (5.53 ) in the period of the last 3 years, the Ulcer Ratio of 20 is greater, thus worse.

MaxDD:

'Maximum drawdown is defined as the peak-to-trough decline of an investment during a specific period. It is usually quoted as a percentage of the peak value. The maximum drawdown can be calculated based on absolute returns, in order to identify strategies that suffer less during market downturns, such as low-volatility strategies. However, the maximum drawdown can also be calculated based on returns relative to a benchmark index, for identifying strategies that show steady outperformance over time.'

• 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 reduction from previous high 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'

• Looking at the maximum days below previous high of 487 days in the last 5 years of Applied Materials, we see it is relatively lower, thus better in comparison to the benchmark SPY (488 days)
• Compared with SPY (199 days) in the period of the last 3 years, the maximum days under water of 227 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.'

• Compared with the benchmark SPY (119 days) in the period of the last 5 years, the average time in days below previous high water mark of 132 days of Applied Materials is larger, thus worse.
• During the last 3 years, the average time in days below previous high water mark is 61 days, which is higher, thus worse than the value of 46 days from the benchmark.