ASML Holding (ASML)

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.'

• The total return over 5 years of ASML Holding is 185.1%, which is greater, thus better compared to the benchmark SPY (62.7%) in the same period.
• Looking at total return, or increase in value in of 94.4% in the period of the last 3 years, we see it is relatively higher, thus better in comparison to SPY (34.7%).

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 performance (CAGR) of 23.3% in the last 5 years of ASML Holding, we see it is relatively greater, thus better in comparison to the benchmark SPY (10.2%)
• Looking at annual return (CAGR) in of 24.8% in the period of the last 3 years, we see it is relatively larger, thus better in comparison to SPY (10.5%).

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.'

• Looking at the volatility of 39.5% in the last 5 years of ASML Holding, we see it is relatively greater, thus worse in comparison to the benchmark SPY (20.9%)
• Compared with SPY (24.1%) in the period of the last 3 years, the 30 days standard deviation of 44% is greater, thus worse.

DownVol:

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

• The downside deviation over 5 years of ASML Holding is 27.6%, which is greater, thus worse compared to the benchmark SPY (15.3%) in the same period.
• During the last 3 years, the downside deviation is 30.7%, which is greater, thus worse than the value of 17.6% from the benchmark.

Sharpe:

'The Sharpe ratio is the measure of risk-adjusted return of a financial portfolio. Sharpe ratio is a measure of excess portfolio return over the risk-free rate relative to its standard deviation. Normally, the 90-day Treasury bill rate is taken as the proxy for risk-free rate. A portfolio with a higher Sharpe ratio is considered superior relative to its peers. The measure was named after William F Sharpe, a Nobel laureate and professor of finance, emeritus at Stanford University.'

• Looking at the ratio of return and volatility (Sharpe) of 0.53 in the last 5 years of ASML Holding, we see it is relatively larger, thus better in comparison to the benchmark SPY (0.37)
• Looking at risk / return profile (Sharpe) in of 0.51 in the period of the last 3 years, we see it is relatively greater, thus better in comparison to SPY (0.33).

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.'

• Looking at the excess return divided by the downside deviation of 0.75 in the last 5 years of ASML Holding, we see it is relatively greater, thus better in comparison to the benchmark SPY (0.51)
• Looking at ratio of annual return and downside deviation in of 0.73 in the period of the last 3 years, we see it is relatively higher, thus better in comparison to SPY (0.45).

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.'

• The Ulcer Ratio over 5 years of ASML Holding is 17 , which is higher, thus worse compared to the benchmark SPY (7.71 ) in the same period.
• Compared with SPY (9.08 ) in the period of the last 3 years, the Downside risk index of 19 is larger, thus worse.

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.'

• Looking at the maximum drop from peak to valley of -52.7 days in the last 5 years of ASML Holding, we see it is relatively smaller, thus worse in comparison to the benchmark SPY (-33.7 days)
• Looking at maximum DrawDown in of -52.7 days in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (-33.7 days).

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) in days.'

• Compared with the benchmark SPY (189 days) in the period of the last 5 years, the maximum days under water of 265 days of ASML Holding is greater, thus worse.
• During the last 3 years, the maximum days under water is 265 days, which is larger, thus worse than the value of 189 days from the benchmark.

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 (46 days) in the period of the last 5 years, the average days below previous high of 67 days of ASML Holding is higher, thus worse.
• During the last 3 years, the average days under water is 62 days, which is larger, thus worse than the value of 45 days from the benchmark.