KLA (KLAC)

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.'

• The total return, or performance over 5 years of KLA is 410.2%, which is larger, thus better compared to the benchmark SPY (129.1%) in the same period.
• During the last 3 years, the total return, or performance is 283.4%, which is larger, thus better than the value of 71.3% 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.'

• Compared with the benchmark SPY (18.1%) in the period of the last 5 years, the compounded annual growth rate (CAGR) of 38.6% of KLA is higher, thus better.
• Compared with SPY (19.7%) in the period of the last 3 years, the compounded annual growth rate (CAGR) of 56.5% is higher, thus better.

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 volatility over 5 years of KLA is 40.1%, which is larger, thus worse compared to the benchmark SPY (18.7%) in the same period.
• During the last 3 years, the volatility is 46.1%, which is higher, thus worse than the value of 22.5% from the benchmark.

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.'

• Looking at the downside risk of 27% in the last 5 years of KLA, we see it is relatively higher, thus worse in comparison to the benchmark SPY (13.6%)
• During the last 3 years, the downside risk is 30.4%, which is larger, thus worse than the value of 16.3% 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 0.9 in the last 5 years of KLA, we see it is relatively greater, thus better in comparison to the benchmark SPY (0.83)
• During the last 3 years, the risk / return profile (Sharpe) is 1.17, which is greater, thus better than the value of 0.76 from the benchmark.

Sortino:

'The Sortino ratio, a variation of the Sharpe ratio only factors in the downside, or negative volatility, rather than the total volatility used in calculating the Sharpe ratio. The theory behind the Sortino variation is that upside volatility is a plus for the investment, and it, therefore, should not be included in the risk calculation. Therefore, the Sortino ratio takes upside volatility out of the equation and uses only the downside standard deviation in its calculation instead of the total standard deviation that is used in calculating the Sharpe ratio.'

• Compared with the benchmark SPY (1.15) in the period of the last 5 years, the excess return divided by the downside deviation of 1.33 of KLA is greater, thus better.
• During the last 3 years, the ratio of annual return and downside deviation is 1.78, which is larger, thus better than the value of 1.05 from the benchmark.

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.'

• Looking at the Downside risk index of 10 in the last 5 years of KLA, we see it is relatively greater, thus worse in comparison to the benchmark SPY (5.59 )
• During the last 3 years, the Ulcer Index is 8.82 , which is greater, thus worse than the value of 6.38 from the benchmark.

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.'

• Compared with the benchmark SPY (-33.7 days) in the period of the last 5 years, the maximum DrawDown of -37.2 days of KLA is lower, thus worse.
• Looking at maximum reduction from previous high in of -37.2 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) in days.'

• Looking at the maximum days below previous high of 253 days in the last 5 years of KLA, we see it is relatively higher, thus worse in comparison to the benchmark SPY (139 days)
• During the last 3 years, the maximum days below previous high is 111 days, which is lower, thus better than the value of 119 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.'

• Looking at the average days below previous high of 49 days in the last 5 years of KLA, we see it is relatively greater, thus worse in comparison to the benchmark SPY (32 days)
• Looking at average time in days below previous high water mark in of 26 days in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to SPY (25 days).