CrowdStrike (CRWD)

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.'

• Compared with the benchmark SPY (100.4%) in the period of the last 5 years, the total return, or increase in value of 117.6% of CrowdStrike is higher, thus better.
• During the last 3 years, the total return is 371.8%, which is larger, thus better than the value of 87.5% from the benchmark.

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.'

• Looking at the annual performance (CAGR) of 16.9% in the last 5 years of CrowdStrike, we see it is relatively higher, thus better in comparison to the benchmark SPY (15%)
• Compared with SPY (23.4%) in the period of the last 3 years, the compounded annual growth rate (CAGR) of 68.1% 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 volatility of 50.5% in the last 5 years of CrowdStrike, we see it is relatively greater, thus worse in comparison to the benchmark SPY (17.1%)
• Looking at historical 30 days volatility in of 44.8% in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (15.4%).

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.'

• The downside risk over 5 years of CrowdStrike is 35%, which is larger, thus worse compared to the benchmark SPY (11.8%) in the same period.
• During the last 3 years, the downside volatility is 29.7%, which is greater, thus worse than the value of 10.2% from the benchmark.

Sharpe:

'The Sharpe ratio is the measure of risk-adjusted return of a financial portfolio. Sharpe ratio is a measure of excess portfolio return over the risk-free rate relative to its standard deviation. Normally, the 90-day Treasury bill rate is taken as the proxy for risk-free rate. A portfolio with a higher Sharpe ratio is considered superior relative to its peers. The measure was named after William F Sharpe, a Nobel laureate and professor of finance, emeritus at Stanford University.'

• The ratio of return and volatility (Sharpe) over 5 years of CrowdStrike is 0.29, which is lower, thus worse compared to the benchmark SPY (0.73) in the same period.
• Compared with SPY (1.36) in the period of the last 3 years, the ratio of return and volatility (Sharpe) of 1.46 is greater, thus better.

Sortino:

'The Sortino ratio measures the risk-adjusted return of an investment asset, portfolio, or strategy. It is a modification of the Sharpe ratio but penalizes only those returns falling below a user-specified target or required rate of return, while the Sharpe ratio penalizes both upside and downside volatility equally. Though both ratios measure an investment's risk-adjusted return, they do so in significantly different ways that will frequently lead to differing conclusions as to the true nature of the investment's return-generating efficiency. The Sortino ratio is used as a way to compare the risk-adjusted performance of programs with differing risk and return profiles. In general, risk-adjusted returns seek to normalize the risk across programs and then see which has the higher return unit per risk.'

• Compared with the benchmark SPY (1.06) in the period of the last 5 years, the downside risk / excess return profile of 0.41 of CrowdStrike is lower, thus worse.
• During the last 3 years, the downside risk / excess return profile is 2.21, which is higher, thus better than the value of 2.05 from the benchmark.

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 CrowdStrike is 31 , which is greater, thus worse compared to the benchmark SPY (8.42 ) in the same period.
• Looking at Downside risk index in of 13 in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to SPY (3.51 ).

MaxDD:

'Maximum drawdown is defined as the peak-to-trough decline of an investment during a specific period. It is usually quoted as a percentage of the peak value. The maximum drawdown can be calculated based on absolute returns, in order to identify strategies that suffer less during market downturns, such as low-volatility strategies. However, the maximum drawdown can also be calculated based on returns relative to a benchmark index, for identifying strategies that show steady outperformance over time.'

• Compared with the benchmark SPY (-24.5 days) in the period of the last 5 years, the maximum drop from peak to valley of -67.7 days of CrowdStrike is lower, thus worse.
• Looking at maximum DrawDown in of -44.4 days in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (-18.8 days).

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 time in days below previous high water mark over 5 years of CrowdStrike is 550 days, which is higher, 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 143 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 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 (120 days) in the period of the last 5 years, the average time in days below previous high water mark of 146 days of CrowdStrike is greater, thus worse.
• Looking at average days under water in of 31 days in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (21 days).