Activision Blizzard (ATVI)

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 increase in value over 5 years of Activision Blizzard is 25.6%, which is lower, thus worse compared to the benchmark SPY (98.9%) in the same period.
• During the last 3 years, the total return, or performance is 17.7%, which is smaller, thus worse than the value of 39.9% from the benchmark.

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 4.7% in the last 5 years of Activision Blizzard, we see it is relatively lower, thus worse in comparison to the benchmark SPY (14.8%)
• Compared with SPY (11.9%) in the period of the last 3 years, the compounded annual growth rate (CAGR) of 5.6% is lower, thus worse.

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 historical 30 days volatility of 33.9% in the last 5 years of Activision Blizzard, we see it is relatively greater, thus worse in comparison to the benchmark SPY (21%)
• Compared with SPY (17.3%) in the period of the last 3 years, the 30 days standard deviation of 28.7% 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.'

• Compared with the benchmark SPY (15%) in the period of the last 5 years, the downside risk of 23.7% of Activision Blizzard is higher, thus worse.
• Looking at downside deviation in of 18.2% in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to SPY (12.1%).

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.'

• The ratio of return and volatility (Sharpe) over 5 years of Activision Blizzard is 0.06, which is lower, thus worse compared to the benchmark SPY (0.58) in the same period.
• During the last 3 years, the ratio of return and volatility (Sharpe) is 0.11, which is lower, thus worse than the value of 0.54 from the benchmark.

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.'

• Compared with the benchmark SPY (0.82) in the period of the last 5 years, the excess return divided by the downside deviation of 0.09 of Activision Blizzard is lower, thus worse.
• Looking at ratio of annual return and downside deviation in of 0.17 in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (0.78).

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 (9.33 ) in the period of the last 5 years, the Ulcer Index of 25 of Activision Blizzard is higher, thus worse.
• Compared with SPY (8.64 ) in the period of the last 3 years, the Downside risk index of 21 is higher, 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.'

• The maximum reduction from previous high over 5 years of Activision Blizzard is -49.1 days, which is lower, thus worse compared to the benchmark SPY (-33.7 days) in the same period.
• During the last 3 years, the maximum drop from peak to valley is -44.6 days, which is lower, thus worse than the value of -22.1 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.'

• The maximum days below previous high over 5 years of Activision Blizzard is 671 days, which is greater, thus worse compared to the benchmark SPY (488 days) in the same period.
• Looking at maximum time in days below previous high water mark in of 671 days in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (325 days).

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 under water of 261 days in the last 5 years of Activision Blizzard, we see it is relatively greater, thus worse in comparison to the benchmark SPY (122 days)
• Looking at average time in days below previous high water mark in of 307 days in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (89 days).