Broadcom Corp (BRCM)

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, or increase in value over 5 years of Broadcom Corp is 21.2%, which is lower, thus worse compared to the benchmark SPY (63%) in the same period.
• Looking at total return, or performance in of 68.5% in the period of the last 3 years, we see it is relatively higher, thus better in comparison to SPY (33.5%).

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.'

• The compounded annual growth rate (CAGR) over 5 years of Broadcom Corp is 3.9%, which is lower, thus worse compared to the benchmark SPY (10.3%) in the same period.
• Compared with SPY (10.1%) in the period of the last 3 years, the compounded annual growth rate (CAGR) of 19% 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 31% in the last 5 years of Broadcom Corp, we see it is relatively greater, thus worse in comparison to the benchmark SPY (21.6%)
• Looking at historical 30 days volatility in of 27.4% in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to SPY (25.1%).

DownVol:

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

• Looking at the downside volatility of 20.7% in the last 5 years of Broadcom Corp, we see it is relatively higher, thus worse in comparison to the benchmark SPY (15.6%)
• During the last 3 years, the downside volatility is 17.4%, which is lower, thus better than the value of 18.1% from the benchmark.

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 ratio of return and volatility (Sharpe) of 0.05 in the last 5 years of Broadcom Corp, we see it is relatively smaller, thus worse in comparison to the benchmark SPY (0.36)
• Compared with SPY (0.3) in the period of the last 3 years, the ratio of return and volatility (Sharpe) of 0.6 is greater, thus better.

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.'

• The downside risk / excess return profile over 5 years of Broadcom Corp is 0.07, which is lower, thus worse compared to the benchmark SPY (0.5) in the same period.
• Looking at ratio of annual return and downside deviation in of 0.95 in the period of the last 3 years, we see it is relatively greater, thus better in comparison to SPY (0.42).

Ulcer:

'Ulcer Index is a method for measuring investment risk that addresses the real concerns of investors, unlike the widely used standard deviation of return. UI is a measure of the depth and duration of drawdowns in prices from earlier highs. Using Ulcer Index instead of standard deviation can lead to very different conclusions about investment risk and risk-adjusted return, especially when evaluating strategies that seek to avoid major declines in portfolio value (market timing, dynamic asset allocation, hedge funds, etc.). The Ulcer Index was originally developed in 1987. Since then, it has been widely recognized and adopted by the investment community. According to Nelson Freeburg, editor of Formula Research, Ulcer Index is “perhaps the most fully realized statistical portrait of risk there is.'

• Compared with the benchmark SPY (8.88 ) in the period of the last 5 years, the Ulcer Ratio of 25 of Broadcom Corp is higher, thus worse.
• Looking at Ulcer Ratio in of 14 in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (11 ).

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.'

• Compared with the benchmark SPY (-33.7 days) in the period of the last 5 years, the maximum reduction from previous high of -46.4 days of Broadcom Corp is lower, thus worse.
• Looking at maximum DrawDown in of -33.8 days in the period of the last 3 years, we see it is relatively lower, 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). Many assume Max DD Duration is the length of time between new highs during which the Max DD (magnitude) occurred. But that isn’t always the case. The Max DD duration is the longest time between peaks, period. So it could be the time when the program also had its biggest peak to valley loss (and usually is, because the program needs a long time to recover from the largest loss), but it doesn’t have to be'

• The maximum days below previous high over 5 years of Broadcom Corp is 1071 days, which is higher, thus worse compared to the benchmark SPY (273 days) in the same period.
• Compared with SPY (273 days) in the period of the last 3 years, the maximum time in days below previous high water mark of 263 days is lower, thus better.

AveDuration:

'The Average 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. 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 (57 days) in the period of the last 5 years, the average days under water of 468 days of Broadcom Corp is greater, thus worse.
• During the last 3 years, the average time in days below previous high water mark is 69 days, which is lower, thus better than the value of 73 days from the benchmark.