Hasbro (HAS)

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.'

• Looking at the total return, or increase in value of -28.3% in the last 5 years of Hasbro, we see it is relatively smaller, thus worse in comparison to the benchmark SPY (57.1%)
• During the last 3 years, the total return is -15.6%, which is lower, thus worse than the value of 32% 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 compounded annual growth rate (CAGR) of -6.5% in the last 5 years of Hasbro, we see it is relatively smaller, thus worse in comparison to the benchmark SPY (9.5%)
• During the last 3 years, the compounded annual growth rate (CAGR) is -5.5%, which is smaller, thus worse than the value of 9.7% from the benchmark.

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.'

• The historical 30 days volatility over 5 years of Hasbro is 37.2%, which is greater, thus worse compared to the benchmark SPY (21.5%) in the same period.
• Looking at volatility in of 30.9% in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to SPY (17.9%).

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 deviation over 5 years of Hasbro is 26.3%, which is larger, thus worse compared to the benchmark SPY (15.5%) in the same period.
• During the last 3 years, the downside deviation is 21.5%, which is higher, thus worse than the value of 12.5% from the benchmark.

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 risk / return profile (Sharpe) of -0.24 in the last 5 years of Hasbro, we see it is relatively lower, thus worse in comparison to the benchmark SPY (0.32)
• Compared with SPY (0.41) in the period of the last 3 years, the ratio of return and volatility (Sharpe) of -0.26 is lower, thus worse.

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 (0.45) in the period of the last 5 years, the ratio of annual return and downside deviation of -0.34 of Hasbro is smaller, thus worse.
• During the last 3 years, the ratio of annual return and downside deviation is -0.37, which is lower, thus worse than the value of 0.58 from the benchmark.

Ulcer:

'The ulcer index is a stock market risk measure or technical analysis indicator devised by Peter Martin in 1987, and published by him and Byron McCann in their 1989 book The Investors Guide to Fidelity Funds. It's designed as a measure of volatility, but only volatility in the downward direction, i.e. the amount of drawdown or retracement occurring over a period. Other volatility measures like standard deviation treat up and down movement equally, but a trader doesn't mind upward movement, it's the downside that causes stress and stomach ulcers that the index's name suggests.'

• Compared with the benchmark SPY (9.57 ) in the period of the last 5 years, the Ulcer Index of 30 of Hasbro is greater, thus worse.
• During the last 3 years, the Ulcer Index is 24 , which is higher, thus worse than the value of 10 from the benchmark.

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.'

• The maximum reduction from previous high over 5 years of Hasbro is -63.8 days, which is smaller, 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 -52.5 days, which is smaller, thus worse than the value of -24.5 days from the benchmark.

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 days below previous high over 5 years of Hasbro is 1053 days, which is larger, thus worse compared to the benchmark SPY (439 days) in the same period.
• Looking at maximum days below previous high in of 438 days in the period of the last 3 years, we see it is relatively smaller, thus better in comparison to SPY (439 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 (106 days) in the period of the last 5 years, the average time in days below previous high water mark of 456 days of Hasbro is higher, thus worse.
• Looking at average days below previous high in of 145 days in the period of the last 3 years, we see it is relatively lower, thus better in comparison to SPY (149 days).