Description of KLA-Tencor

KLA-Tencor Corporation - Common Stock

Statistics of KLA-Tencor (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.'

Which means for our asset as example:
  • Compared with the benchmark SPY (66.2%) in the period of the last 5 years, the total return, or increase in value of 146.3% of KLA-Tencor is larger, thus better.
  • During the last 3 years, the total return, or performance is 82.6%, which is higher, thus better than the value of 45.7% from the benchmark.

CAGR:

'The compound annual growth rate isn't a true return rate, but rather a representational figure. It is essentially a number that describes the rate at which an investment would have grown if it had grown the same rate every year and the profits were reinvested at the end of each year. In reality, this sort of performance is unlikely. However, CAGR can be used to smooth returns so that they may be more easily understood when compared to alternative investments.'

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 19.8% of KLA-Tencor is higher, thus better.
  • Compared with SPY (13.4%) in the period of the last 3 years, the compounded annual growth rate (CAGR) of 22.3% 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.'

Applying this definition to our asset in some examples:
  • The historical 30 days volatility over 5 years of KLA-Tencor is 28.5%, which is greater, thus worse compared to the benchmark SPY (13.3%) in the same period.
  • During the last 3 years, the 30 days standard deviation is 29.2%, which is larger, thus worse than the value of 12.5% 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.'

Applying this definition to our asset in some examples:
  • Looking at the downside risk of 30.7% in the last 5 years of KLA-Tencor, we see it is relatively higher, thus worse in comparison to the benchmark SPY (14.6%)
  • Compared with SPY (14.1%) in the period of the last 3 years, the downside deviation of 32.8% is higher, 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.'

Which means for our asset as example:
  • Compared with the benchmark SPY (0.62) in the period of the last 5 years, the Sharpe Ratio of 0.61 of KLA-Tencor is lower, thus worse.
  • Compared with SPY (0.87) in the period of the last 3 years, the Sharpe Ratio of 0.68 is smaller, thus worse.

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.'

Applying this definition to our asset in some examples:
  • The ratio of annual return and downside deviation over 5 years of KLA-Tencor is 0.56, which is greater, thus better compared to the benchmark SPY (0.56) in the same period.
  • Looking at downside risk / excess return profile in of 0.6 in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (0.77).

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:
  • Compared with the benchmark SPY (3.96 ) in the period of the last 5 years, the Downside risk index of 12 of KLA-Tencor is larger, thus better.
  • Looking at Ulcer Index in of 10 in the period of the last 3 years, we see it is relatively larger, 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.'

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 -34.5 days of KLA-Tencor is lower, thus worse.
  • Looking at maximum drop from peak to valley in of -32.2 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 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'

Using this definition on our asset we see for example:
  • The maximum days under water over 5 years of KLA-Tencor is 306 days, which is higher, thus worse compared to the benchmark SPY (187 days) in the same period.
  • Looking at maximum days below previous high in of 253 days in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to SPY (131 days).

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 KLA-Tencor is 80 days, which is larger, thus worse compared to the benchmark SPY (39 days) in the same period.
  • During the last 3 years, the average days under water is 62 days, which is higher, thus worse than the value of 34 days from the benchmark.

Performance of KLA-Tencor (YTD)

Historical returns have been extended using synthetic data.

Allocations of KLA-Tencor
()

Allocations

Returns of KLA-Tencor (%)

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