Description

KLA Corporation designs, manufactures, and markets process control and yield management solutions for the semiconductor and related nanoelectronics industries worldwide. The company offers chip and wafer manufacturing products, including defect inspection and review systems, metrology solutions, in situ process monitoring products, computational lithography software, and data analytics systems for chip manufacturers to manage yield throughout the semiconductor fabrication process. It also provides reticle manufacturing products, such as reticle inspection, metrology, and data analytics systems for mask shops; and packaging manufacturing products comprising packaging process control on wafer, automated optical inspection, data analytics, and packaging process control after singulation. In addition, the company offers compound semiconductor, power device, light emitting diode, and microelectromechanical system manufacturing products; data storage media/head manufacturing products; general purpose/lab applications; and previous-generation KLA systems. Further, it provides wafer processing solutions; printed circuit boards, and display and inspection components; products for the deposition of thin film coating of materials on crystalline silicon photovoltaic wafers; and other services. The company offers its products and services for use by various bare wafer, integrated circuit, reticle, and hard disk drive manufacturers. The company was formerly known as KLA-Tencor Corporation and changed its name to KLA Corporation in July 2019. KLA Corporation was founded in 1975 and is headquartered in Milpitas, California.

Statistics (YTD)

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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.'

Using this definition on our asset we see for example:
  • Compared with the benchmark SPY (58.9%) in the period of the last 5 years, the total return, or performance of 305% of KLA is greater, thus better.
  • During the last 3 years, the total return, or increase in value is 158%, which is larger, thus better than the value of 33.9% 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.'

Applying this definition to our asset in some examples:
  • Looking at the annual return (CAGR) of 32.3% in the last 5 years of KLA, we see it is relatively larger, thus better in comparison to the benchmark SPY (9.7%)
  • Compared with SPY (10.2%) in the period of the last 3 years, the annual performance (CAGR) of 37.1% is greater, thus better.

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.'

Applying this definition to our asset in some examples:
  • The volatility over 5 years of KLA is 44.9%, which is greater, thus worse compared to the benchmark SPY (21.6%) in the same period.
  • During the last 3 years, the historical 30 days volatility is 50.8%, which is higher, thus worse than the value of 25% from the benchmark.

DownVol:

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

Using this definition on our asset we see for example:
  • Looking at the downside risk of 30.2% in the last 5 years of KLA, we see it is relatively greater, thus worse in comparison to the benchmark SPY (15.7%)
  • Compared with SPY (18.1%) in the period of the last 3 years, the downside risk of 34% 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.'

Using this definition on our asset we see for example:
  • The risk / return profile (Sharpe) over 5 years of KLA is 0.66, which is larger, thus better compared to the benchmark SPY (0.33) in the same period.
  • Looking at ratio of return and volatility (Sharpe) in of 0.68 in the period of the last 3 years, we see it is relatively larger, thus better in comparison to SPY (0.31).

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:
  • The downside risk / excess return profile over 5 years of KLA is 0.99, which is larger, thus better compared to the benchmark SPY (0.46) in the same period.
  • Looking at excess return divided by the downside deviation in of 1.02 in the period of the last 3 years, we see it is relatively greater, thus better in comparison to SPY (0.43).

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.'

Using this definition on our asset we see for example:
  • Compared with the benchmark SPY (8.91 ) in the period of the last 5 years, the Ulcer Ratio of 14 of KLA is higher, thus worse.
  • Compared with SPY (11 ) in the period of the last 3 years, the Ulcer Index of 15 is higher, 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.'

Using this definition on our asset we see for example:
  • The maximum DrawDown over 5 years of KLA is -40.3 days, which is smaller, thus worse compared to the benchmark SPY (-33.7 days) in the same period.
  • Looking at maximum drop from peak to valley in of -40.3 days in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (-33.7 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). Many assume Max DD Duration is the length of time between new highs during which the Max DD (magnitude) occurred. But that isn’t always the case. The Max DD duration is the longest time between peaks, period. So it could be the time when the program also had its biggest peak to valley loss (and usually is, because the program needs a long time to recover from the largest loss), but it doesn’t have to be'

Applying this definition to our asset in some examples:
  • Compared with the benchmark SPY (271 days) in the period of the last 5 years, the maximum time in days below previous high water mark of 262 days of KLA is lower, thus better.
  • During the last 3 years, the maximum time in days below previous high water mark is 262 days, which is smaller, thus better than the value of 271 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.'

Which means for our asset as example:
  • Compared with the benchmark SPY (60 days) in the period of the last 5 years, the average time in days below previous high water mark of 72 days of KLA is larger, thus worse.
  • Looking at average days under water in of 67 days in the period of the last 3 years, we see it is relatively smaller, thus better in comparison to SPY (72 days).

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 KLA 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.