Description of Hasbro

Hasbro, Inc. - Common Stock

Statistics of Hasbro (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.'

Applying this definition to our asset in some examples:
  • Compared with the benchmark SPY (66.2%) in the period of the last 5 years, the total return, or performance of 74.1% of Hasbro is greater, thus better.
  • Looking at total return in of 17.1% in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (45.7%).

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.'

Applying this definition to our asset in some examples:
  • Compared with the benchmark SPY (10.7%) in the period of the last 5 years, the compounded annual growth rate (CAGR) of 11.7% of Hasbro is greater, thus better.
  • During the last 3 years, the annual return (CAGR) is 5.4%, which is lower, thus worse than the value of 13.4% 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.'

Applying this definition to our asset in some examples:
  • The historical 30 days volatility over 5 years of Hasbro is 25.2%, which is greater, thus worse compared to the benchmark SPY (13.3%) in the same period.
  • Looking at historical 30 days volatility in of 25.7% in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (12.5%).

DownVol:

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

Applying this definition to our asset in some examples:
  • Looking at the downside deviation of 24.1% in the last 5 years of Hasbro, we see it is relatively greater, thus worse in comparison to the benchmark SPY (14.6%)
  • Looking at downside risk in of 24.2% in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to SPY (14.1%).

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.'

Which means for our asset as example:
  • Compared with the benchmark SPY (0.62) in the period of the last 5 years, the ratio of return and volatility (Sharpe) of 0.37 of Hasbro is lower, thus worse.
  • Looking at risk / return profile (Sharpe) in of 0.11 in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (0.87).

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.'

Applying this definition to our asset in some examples:
  • Looking at the downside risk / excess return profile of 0.38 in the last 5 years of Hasbro, we see it is relatively smaller, thus worse in comparison to the benchmark SPY (0.56)
  • Compared with SPY (0.77) in the period of the last 3 years, the downside risk / excess return profile of 0.12 is smaller, thus worse.

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.'

Applying this definition to our asset in some examples:
  • The Ulcer Ratio over 5 years of Hasbro is 12 , which is greater, thus better compared to the benchmark SPY (3.96 ) in the same period.
  • Looking at Downside risk index in of 14 in the period of the last 3 years, we see it is relatively greater, thus better in comparison to SPY (4.01 ).

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.'

Applying this definition to our asset in some examples:
  • Compared with the benchmark SPY (-19.3 days) in the period of the last 5 years, the maximum DrawDown of -30.2 days of Hasbro is lower, thus worse.
  • Looking at maximum drop from peak to valley in of -30.2 days in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (-19.3 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.'

Using this definition on our asset we see for example:
  • Looking at the maximum time in days below previous high water mark of 420 days in the last 5 years of Hasbro, we see it is relatively greater, thus worse in comparison to the benchmark SPY (187 days)
  • Compared with SPY (131 days) in the period of the last 3 years, the maximum time in days below previous high water mark of 420 days is greater, thus worse.

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.'

Using this definition on our asset we see for example:
  • Looking at the average days under water of 107 days in the last 5 years of Hasbro, we see it is relatively greater, thus worse in comparison to the benchmark SPY (39 days)
  • During the last 3 years, the average days under water is 138 days, which is larger, thus worse than the value of 34 days from the benchmark.

Performance of Hasbro (YTD)

Historical returns have been extended using synthetic data.

Allocations of Hasbro
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Allocations

Returns of Hasbro (%)

  • "Year" returns in the table above are not equal to the sum of monthly returns due to compounding.
  • Performance results of Hasbro 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.