Description of Hologic

Hologic, Inc. - Common Stock

Statistics of Hologic (YTD)

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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.'

Which means for our asset as example:
  • The total return, or increase in value over 5 years of Hologic is 118.9%, which is larger, thus better compared to the benchmark SPY (68.1%) in the same period.
  • Compared with SPY (47.1%) in the period of the last 3 years, the total return, or performance of 39% is lower, thus worse.

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.'

Which means for our asset as example:
  • Looking at the annual performance (CAGR) of 17% in the last 5 years of Hologic, we see it is relatively larger, thus better in comparison to the benchmark SPY (11%)
  • During the last 3 years, the annual performance (CAGR) is 11.6%, which is lower, thus worse than the value of 13.8% from the benchmark.

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.'

Using this definition on our asset we see for example:
  • Looking at the historical 30 days volatility of 23.7% in the last 5 years of Hologic, we see it is relatively higher, thus worse in comparison to the benchmark SPY (13.2%)
  • Looking at volatility in of 22.6% in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (12.4%).

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.'

Using this definition on our asset we see for example:
  • Looking at the downside risk of 26.2% in the last 5 years of Hologic, we see it is relatively greater, thus worse in comparison to the benchmark SPY (14.6%)
  • Looking at downside deviation in of 25.9% in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to SPY (14%).

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.'

Applying this definition to our asset in some examples:
  • The Sharpe Ratio over 5 years of Hologic is 0.61, which is smaller, thus worse compared to the benchmark SPY (0.64) in the same period.
  • Compared with SPY (0.91) in the period of the last 3 years, the Sharpe Ratio of 0.4 is smaller, 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.'

Applying this definition to our asset in some examples:
  • Looking at the ratio of annual return and downside deviation of 0.55 in the last 5 years of Hologic, we see it is relatively lower, thus worse in comparison to the benchmark SPY (0.58)
  • Looking at excess return divided by the downside deviation in of 0.35 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (0.8).

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 Hologic is 11 , which is larger, thus better compared to the benchmark SPY (3.95 ) in the same period.
  • Looking at Ulcer Index in of 11 in the period of the last 3 years, we see it is relatively larger, thus better in comparison to SPY (4 ).

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.'

Which means for our asset as example:
  • Compared with the benchmark SPY (-19.3 days) in the period of the last 5 years, the maximum DrawDown of -24.5 days of Hologic is lower, thus worse.
  • During the last 3 years, the maximum reduction from previous high is -22.8 days, which is lower, thus worse than the value of -19.3 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.'

Applying this definition to our asset in some examples:
  • Looking at the maximum days under water of 418 days in the last 5 years of Hologic, we see it is relatively larger, 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 days under water of 418 days is higher, thus worse.

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.'

Applying this definition to our asset in some examples:
  • Looking at the average days below previous high of 149 days in the last 5 years of Hologic, we see it is relatively higher, thus worse in comparison to the benchmark SPY (39 days)
  • During the last 3 years, the average days below previous high is 131 days, which is larger, thus worse than the value of 33 days from the benchmark.

Performance of Hologic (YTD)

Historical returns have been extended using synthetic data.

Allocations of Hologic
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Allocations

Returns of Hologic (%)

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