Advanced Micro Devices (AMD)

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 over 5 years of Advanced Micro Devices is 136.1%, which is higher, thus better compared to the benchmark SPY (91.1%) in the same period.
• Looking at total return, or performance in of 134.2% in the period of the last 3 years, we see it is relatively larger, thus better in comparison to SPY (75.1%).

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 compounded annual growth rate (CAGR) of 18.8% in the last 5 years of Advanced Micro Devices, we see it is relatively larger, thus better in comparison to the benchmark SPY (13.9%)
• Compared with SPY (20.7%) in the period of the last 3 years, the compounded annual growth rate (CAGR) of 33.1% is higher, thus better.

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 53.3% in the last 5 years of Advanced Micro Devices, we see it is relatively greater, thus worse in comparison to the benchmark SPY (17%)
• During the last 3 years, the 30 days standard deviation is 53%, which is higher, thus worse than the value of 15.1% 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.'

• The downside deviation over 5 years of Advanced Micro Devices is 35.2%, which is higher, thus worse compared to the benchmark SPY (11.7%) in the same period.
• Compared with SPY (10.1%) in the period of the last 3 years, the downside volatility of 34.2% 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.'

• Looking at the Sharpe Ratio of 0.31 in the last 5 years of Advanced Micro Devices, we see it is relatively smaller, thus worse in comparison to the benchmark SPY (0.67)
• Compared with SPY (1.2) in the period of the last 3 years, the risk / return profile (Sharpe) of 0.58 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.'

• Looking at the downside risk / excess return profile of 0.46 in the last 5 years of Advanced Micro Devices, we see it is relatively lower, thus worse in comparison to the benchmark SPY (0.97)
• Compared with SPY (1.8) in the period of the last 3 years, the excess return divided by the downside deviation of 0.89 is lower, thus worse.

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.'

• Compared with the benchmark SPY (8.42 ) in the period of the last 5 years, the Ulcer Ratio of 34 of Advanced Micro Devices is greater, thus worse.
• During the last 3 years, the Downside risk index is 27 , which is greater, thus worse than the value of 3.4 from the benchmark.

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 Advanced Micro Devices is -65.4 days, which is lower, thus worse compared to the benchmark SPY (-24.5 days) in the same period.
• During the last 3 years, the maximum reduction from previous high is -63 days, which is smaller, thus worse than the value of -18.8 days from the benchmark.

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.'

• 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 535 days of Advanced Micro Devices is higher, thus worse.
• Compared with SPY (87 days) in the period of the last 3 years, the maximum days under water of 396 days is larger, 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.'

• The average days below previous high over 5 years of Advanced Micro Devices is 189 days, which is greater, thus worse compared to the benchmark SPY (119 days) in the same period.
• During the last 3 years, the average time in days below previous high water mark is 129 days, which is larger, thus worse than the value of 19 days from the benchmark.