CrowdStrike (CRWD)

TotalReturn:

'Total return, when measuring performance, is the actual rate of return of an investment or a pool of investments over a given evaluation period. Total return includes interest, capital gains, dividends and distributions realized over a given period of time. Total return accounts for two categories of return: income including interest paid by fixed-income investments, distributions or dividends and capital appreciation, representing the change in the market price of an asset.'

• The total return, or performance over 5 years of CrowdStrike is 297.6%, which is larger, thus better compared to the benchmark SPY (107.5%) in the same period.
• Looking at total return in of 281.4% in the period of the last 3 years, we see it is relatively greater, thus better in comparison to SPY (78.7%).

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 (15.8%) in the period of the last 5 years, the compounded annual growth rate (CAGR) of 31.9% of CrowdStrike is greater, thus better.
• Looking at annual performance (CAGR) in of 56.6% in the period of the last 3 years, we see it is relatively greater, thus better in comparison to SPY (21.5%).

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.'

• Compared with the benchmark SPY (17.1%) in the period of the last 5 years, the 30 days standard deviation of 51.4% of CrowdStrike is larger, thus worse.
• During the last 3 years, the historical 30 days volatility is 46%, which is higher, thus worse than the value of 15.6% from the benchmark.

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.'

• Compared with the benchmark SPY (11.7%) in the period of the last 5 years, the downside deviation of 35.1% of CrowdStrike is larger, thus worse.
• Compared with SPY (10.4%) in the period of the last 3 years, the downside volatility of 31.1% is greater, 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.'

• Compared with the benchmark SPY (0.78) in the period of the last 5 years, the risk / return profile (Sharpe) of 0.57 of CrowdStrike is lower, thus worse.
• Compared with SPY (1.21) in the period of the last 3 years, the risk / return profile (Sharpe) of 1.18 is lower, thus worse.

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.'

• Compared with the benchmark SPY (1.13) in the period of the last 5 years, the downside risk / excess return profile of 0.84 of CrowdStrike is lower, thus worse.
• Looking at downside risk / excess return profile in of 1.74 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (1.83).

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 (8.42 ) in the period of the last 5 years, the Ulcer Index of 31 of CrowdStrike is greater, thus worse.
• Looking at Ulcer Ratio in of 15 in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to SPY (3.61 ).

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.'

• The maximum reduction from previous high over 5 years of CrowdStrike is -67.7 days, which is lower, thus worse compared to the benchmark SPY (-24.5 days) in the same period.
• Looking at maximum drop from peak to valley 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 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.'

• Compared with the benchmark SPY (488 days) in the period of the last 5 years, the maximum days under water of 550 days of CrowdStrike is larger, thus worse.
• Looking at maximum days below previous high 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 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.'

• Compared with the benchmark SPY (120 days) in the period of the last 5 years, the average days under water of 148 days of CrowdStrike is larger, thus worse.
• Looking at average days under water in of 41 days in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (21 days).