Description

Intel Corporation provides computing, networking, data storage, and communication solutions worldwide. It operates through Data Center Group, Internet of Things Group, Non-Volatile Memory Solutions Group, Programmable Solutions Group, Client Computing Group, and All Other segments. The company offers platform products, such as CPU and chipset, system-on-chip, and multichip package products for cloud, enterprise, and communication infrastructure markets. It also provides NAND flash memory and DC persistent products for enterprise and cloud-based data centers, and users of business and consumer desktops and laptops; programmable semiconductors, such as field-programmable gate arrays, application-specific integrated circuits, and related products for communications, data center, industrial, and military markets; and various processors for notebooks, mobiles, and desktop PCs. In addition, it offers boards and systems, such as server boards and small form factor systems; and connectivity products for cellular modems, Ethernet controllers, silicon photonics, Wi-Fi, and Bluetooth. Further, the company develops computer vision and machine learning- based sensing, data analysis, localization, mapping, and driving policy technologies for advanced driver assistance systems and autonomous driving. It serves original equipment manufacturers, original design manufacturers, industrial and communication equipment manufacturers, and cloud service providers. The company was founded in 1968 and is headquartered in Santa Clara, California.

Statistics (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.'

Applying this definition to our asset in some examples:
  • The total return over 5 years of Intel is -55.7%, which is lower, thus worse compared to the benchmark SPY (110.4%) in the same period.
  • Looking at total return, or increase in value in of -34.4% in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (72.5%).

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.'

Using this definition on our asset we see for example:
  • Compared with the benchmark SPY (16.1%) in the period of the last 5 years, the compounded annual growth rate (CAGR) of -15.1% of Intel is lower, thus worse.
  • During the last 3 years, the annual return (CAGR) is -13.2%, which is lower, thus worse than the value of 20.1% 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.'

Which means for our asset as example:
  • The historical 30 days volatility over 5 years of Intel is 43.7%, which is greater, thus worse compared to the benchmark SPY (17.5%) in the same period.
  • Looking at historical 30 days volatility in of 49.1% in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to SPY (17.5%).

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:
  • The downside risk over 5 years of Intel is 31.8%, which is greater, thus worse compared to the benchmark SPY (12.1%) in the same period.
  • During the last 3 years, the downside deviation is 34.6%, which is larger, thus worse than the value of 11.5% 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.'

Using this definition on our asset we see for example:
  • Compared with the benchmark SPY (0.78) in the period of the last 5 years, the ratio of return and volatility (Sharpe) of -0.4 of Intel is lower, thus worse.
  • Looking at risk / return profile (Sharpe) in of -0.32 in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (1.01).

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.'

Which means for our asset as example:
  • The excess return divided by the downside deviation over 5 years of Intel is -0.55, which is lower, thus worse compared to the benchmark SPY (1.13) in the same period.
  • Compared with SPY (1.53) in the period of the last 3 years, the excess return divided by the downside deviation of -0.45 is smaller, thus worse.

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.'

Applying this definition to our asset in some examples:
  • The Ulcer Ratio over 5 years of Intel is 44 , which is larger, thus worse compared to the benchmark SPY (8.48 ) in the same period.
  • Compared with SPY (5.31 ) in the period of the last 3 years, the Ulcer Ratio of 37 is greater, thus worse.

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.'

Which means for our asset as example:
  • Looking at the maximum reduction from previous high of -70.8 days in the last 5 years of Intel, we see it is relatively smaller, thus worse in comparison to the benchmark SPY (-24.5 days)
  • During the last 3 years, the maximum reduction from previous high is -63.8 days, which is lower, thus worse than the value of -18.8 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.'

Applying this definition to our asset in some examples:
  • The maximum days under water over 5 years of Intel is 1069 days, which is greater, thus worse compared to the benchmark SPY (488 days) in the same period.
  • During the last 3 years, the maximum days under water is 385 days, which is larger, thus worse than the value of 199 days from the benchmark.

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:
  • The average days under water over 5 years of Intel is 468 days, which is larger, thus worse compared to the benchmark SPY (120 days) in the same period.
  • Compared with SPY (47 days) in the period of the last 3 years, the average days under water of 175 days is higher, thus worse.

Performance (YTD)

Historical returns have been extended using synthetic data.

Allocations ()

Allocations

Returns (%)

  • Note that yearly returns do not equal the sum of monthly returns due to compounding.
  • Performance results of Intel are hypothetical and do not account for slippage, fees or taxes.