Broadcom (AVGO)

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.'

• Compared with the benchmark SPY (86%) in the period of the last 5 years, the total return, or performance of 643.2% of Broadcom is greater, thus better.
• During the last 3 years, the total return, or increase in value is 465.8%, which is larger, thus better than the value of 71.8% from the benchmark.

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 annual return (CAGR) of 49.5% in the last 5 years of Broadcom, we see it is relatively greater, thus better in comparison to the benchmark SPY (13.3%)
• Compared with SPY (19.9%) in the period of the last 3 years, the compounded annual growth rate (CAGR) of 78.6% is larger, thus better.

Volatility:

'Volatility is a statistical measure of the dispersion of returns for a given security or market index. Volatility can either be measured by using the standard deviation or variance between returns from that same security or market index. Commonly, the higher the volatility, the riskier the security. In the securities markets, volatility is often associated with big swings in either direction. For example, when the stock market rises and falls more than one percent over a sustained period of time, it is called a 'volatile' market.'

• Looking at the 30 days standard deviation of 42.6% in the last 5 years of Broadcom, we see it is relatively higher, thus worse in comparison to the benchmark SPY (17%)
• Compared with SPY (15.2%) in the period of the last 3 years, the historical 30 days volatility of 47.8% 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.'

• Looking at the downside risk of 26.7% in the last 5 years of Broadcom, we see it is relatively higher, thus worse in comparison to the benchmark SPY (11.8%)
• Compared with SPY (10.2%) in the period of the last 3 years, the downside deviation of 29.3% is greater, thus worse.

Sharpe:

'The Sharpe ratio was developed by Nobel laureate William F. Sharpe, and is used to help investors understand the return of an investment compared to its risk. The ratio is the average return earned in excess of the risk-free rate per unit of volatility or total risk. Subtracting the risk-free rate from the mean return allows an investor to better isolate the profits associated with risk-taking activities. One intuition of this calculation is that a portfolio engaging in 'zero risk' investments, such as the purchase of U.S. Treasury bills (for which the expected return is the risk-free rate), has a Sharpe ratio of exactly zero. Generally, the greater the value of the Sharpe ratio, the more attractive the risk-adjusted return.'

• Looking at the ratio of return and volatility (Sharpe) of 1.11 in the last 5 years of Broadcom, we see it is relatively greater, thus better in comparison to the benchmark SPY (0.63)
• During the last 3 years, the Sharpe Ratio is 1.59, which is larger, thus better than the value of 1.14 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 (0.92) in the period of the last 5 years, the downside risk / excess return profile of 1.76 of Broadcom is greater, thus better.
• Looking at excess return divided by the downside deviation in of 2.6 in the period of the last 3 years, we see it is relatively greater, thus better in comparison to SPY (1.7).

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 Downside risk index over 5 years of Broadcom is 12 , which is higher, thus worse compared to the benchmark SPY (8.42 ) in the same period.
• During the last 3 years, the Ulcer Index is 10 , which is larger, thus worse than the value of 3.48 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.'

• Looking at the maximum drop from peak to valley of -41.1 days in the last 5 years of Broadcom, we see it is relatively smaller, thus worse in comparison to the benchmark SPY (-24.5 days)
• Compared with SPY (-18.8 days) in the period of the last 3 years, the maximum DrawDown of -41.1 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.'

• The maximum days under water over 5 years of Broadcom is 348 days, which is smaller, thus better compared to the benchmark SPY (488 days) in the same period.
• Looking at maximum time in days below previous high water mark in of 112 days in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to SPY (87 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 time in days below previous high water mark of 70 days in the last 5 years of Broadcom, we see it is relatively lower, thus better in comparison to the benchmark SPY (119 days)
• Compared with SPY (19 days) in the period of the last 3 years, the average days below previous high of 24 days is greater, thus worse.