Description

Salesforce, Inc. Common Stock

Statistics (YTD)

What do these metrics mean? [Read More] [Hide]

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.'

Which means for our asset as example:
  • Looking at the total return, or increase in value of 102.2% in the last 5 years of Salesforce, we see it is relatively larger, thus better in comparison to the benchmark SPY (81.5%)
  • Compared with SPY (48.1%) in the period of the last 3 years, the total return, or performance of 27.1% is smaller, thus worse.

CAGR:

'The compound annual growth rate isn't a true return rate, but rather a representational figure. It is essentially a number that describes the rate at which an investment would have grown if it had grown the same rate every year and the profits were reinvested at the end of each year. In reality, this sort of performance is unlikely. However, CAGR can be used to smooth returns so that they may be more easily understood when compared to alternative investments.'

Applying this definition to our asset in some examples:
  • Compared with the benchmark SPY (12.7%) in the period of the last 5 years, the compounded annual growth rate (CAGR) of 15.1% of Salesforce is larger, thus better.
  • Looking at annual return (CAGR) in of 8.3% in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (14%).

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.'

Applying this definition to our asset in some examples:
  • The 30 days standard deviation over 5 years of Salesforce is 37.4%, which is greater, thus worse compared to the benchmark SPY (20.5%) in the same period.
  • During the last 3 years, the historical 30 days volatility is 41.8%, which is larger, thus worse than the value of 23.8% from the benchmark.

DownVol:

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

Which means for our asset as example:
  • Looking at the downside risk of 25.5% in the last 5 years of Salesforce, we see it is relatively larger, thus worse in comparison to the benchmark SPY (15%)
  • Looking at downside volatility in of 28.3% in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to SPY (17.3%).

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.'

Applying this definition to our asset in some examples:
  • Compared with the benchmark SPY (0.5) in the period of the last 5 years, the risk / return profile (Sharpe) of 0.34 of Salesforce is smaller, thus worse.
  • Compared with SPY (0.48) in the period of the last 3 years, the risk / return profile (Sharpe) of 0.14 is smaller, thus worse.

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.'

Applying this definition to our asset in some examples:
  • The excess return divided by the downside deviation over 5 years of Salesforce is 0.5, which is smaller, thus worse compared to the benchmark SPY (0.68) in the same period.
  • Looking at excess return divided by the downside deviation in of 0.21 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.'

Which means for our asset as example:
  • The Downside risk index over 5 years of Salesforce is 17 , which is greater, thus worse compared to the benchmark SPY (7.13 ) in the same period.
  • Compared with SPY (8.25 ) in the period of the last 3 years, the Downside risk index of 21 is higher, 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.'

Using this definition on our asset we see for example:
  • The maximum drop from peak to valley over 5 years of Salesforce is -49.8 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 -49.8 days, which is lower, thus worse than the value of -33.7 days from the benchmark.

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.'

Using this definition on our asset we see for example:
  • The maximum days under water over 5 years of Salesforce is 267 days, which is larger, thus worse compared to the benchmark SPY (150 days) in the same period.
  • Looking at maximum days below previous high in of 267 days in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to SPY (150 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.'

Using this definition on our asset we see for example:
  • The average time in days below previous high water mark over 5 years of Salesforce is 74 days, which is greater, thus worse compared to the benchmark SPY (41 days) in the same period.
  • During the last 3 years, the average time in days below previous high water mark is 86 days, which is higher, thus worse than the value of 36 days from the benchmark.

Performance (YTD)

Historical returns have been extended using synthetic data.

Allocations ()

Allocations

Returns (%)

  • Note that yearly returns do not equal the sum of monthly returns due to compounding.
  • Performance results of Salesforce are hypothetical, do not account for slippage, fees or taxes, and are based on backtesting, which has many inherent limitations, some of which are described in our Terms of Use.