Activision Blizzard (ATVI)

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 Activision Blizzard is 25.6%, which is lower, thus worse compared to the benchmark SPY (98.1%) in the same period.
• During the last 3 years, the total return, or increase in value is 17.7%, which is lower, thus worse than the value of 35.3% 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.'

• Compared with the benchmark SPY (14.7%) in the period of the last 5 years, the compounded annual growth rate (CAGR) of 4.7% of Activision Blizzard is lower, thus worse.
• During the last 3 years, the compounded annual growth rate (CAGR) is 5.6%, which is lower, thus worse than the value of 10.6% from the benchmark.

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 historical 30 days volatility over 5 years of Activision Blizzard is 33.9%, which is higher, thus worse compared to the benchmark SPY (21%) in the same period.
• Compared with SPY (17.5%) in the period of the last 3 years, the 30 days standard deviation of 28.7% is larger, thus worse.

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.'

• The downside volatility over 5 years of Activision Blizzard is 23.7%, which is greater, thus worse compared to the benchmark SPY (15%) in the same period.
• Compared with SPY (12.2%) in the period of the last 3 years, the downside volatility of 18.2% is higher, 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.'

• The Sharpe Ratio 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 0.46 from the benchmark.

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 (0.81) 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 downside risk / excess return profile in of 0.17 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (0.66).

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 (9.32 ) in the period of the last 5 years, the Ulcer Index of 25 of Activision Blizzard is larger, thus worse.
• Compared with SPY (10 ) in the period of the last 3 years, the Ulcer Ratio of 21 is greater, thus worse.

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.'

• Compared with the benchmark SPY (-33.7 days) in the period of the last 5 years, the maximum DrawDown of -49.1 days of Activision Blizzard is smaller, thus worse.
• Compared with SPY (-24.5 days) in the period of the last 3 years, the maximum drop from peak to valley of -44.6 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) in days.'

• Looking at the maximum days below previous high of 671 days in the last 5 years of Activision Blizzard, we see it is relatively greater, thus worse in comparison to the benchmark SPY (488 days)
• 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 higher, thus worse in comparison to SPY (488 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.'

• The average time in days below previous high water mark over 5 years of Activision Blizzard is 261 days, which is higher, thus worse compared to the benchmark SPY (122 days) in the same period.
• During the last 3 years, the average days under water is 307 days, which is greater, thus worse than the value of 178 days from the benchmark.