Lumentum (LITE)

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.'

• Compared with the benchmark SPY (75.9%) in the period of the last 5 years, the total return, or performance of 918% of Lumentum is higher, thus better.
• During the last 3 years, the total return, or increase in value is 2044.1%, which is higher, thus better than the value of 87.4% from the benchmark.

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.'

• Looking at the annual performance (CAGR) of 59.4% in the last 5 years of Lumentum, we see it is relatively higher, thus better in comparison to the benchmark SPY (12%)
• Compared with SPY (23.4%) in the period of the last 3 years, the compounded annual growth rate (CAGR) of 179.3% is larger, 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.'

• Compared with the benchmark SPY (17.2%) in the period of the last 5 years, the volatility of 65% of Lumentum is larger, thus worse.
• Compared with SPY (15.2%) in the period of the last 3 years, the volatility of 76% is higher, thus worse.

DownVol:

'Downside risk is the financial risk associated with losses. That is, it is the risk of the actual return being below the expected return, or the uncertainty about the magnitude of that difference. 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.'

• The downside risk over 5 years of Lumentum is 43.4%, which is greater, thus worse compared to the benchmark SPY (11.8%) in the same period.
• Looking at downside risk in of 49.7% in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (10.1%).

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.'

• Looking at the ratio of return and volatility (Sharpe) of 0.88 in the last 5 years of Lumentum, we see it is relatively greater, thus better in comparison to the benchmark SPY (0.55)
• During the last 3 years, the Sharpe Ratio is 2.33, which is greater, thus better than the value of 1.37 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.'

• The excess return divided by the downside deviation over 5 years of Lumentum is 1.31, which is greater, thus better compared to the benchmark SPY (0.8) in the same period.
• Looking at excess return divided by the downside deviation in of 3.56 in the period of the last 3 years, we see it is relatively higher, thus better in comparison to SPY (2.07).

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.'

• The Ulcer Index over 5 years of Lumentum is 37 , which is higher, thus worse compared to the benchmark SPY (8.45 ) in the same period.
• Looking at Ulcer Index in of 17 in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to SPY (3.2 ).

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 (-24.5 days) in the period of the last 5 years, the maximum reduction from previous high of -66.5 days of Lumentum is lower, thus worse.
• Looking at maximum drop from peak to valley in of -50.6 days in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (-18.8 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.'

• Compared with the benchmark SPY (488 days) in the period of the last 5 years, the maximum days under water of 887 days of Lumentum is higher, thus worse.
• Looking at maximum days under water in of 120 days in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to SPY (87 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.'

• Compared with the benchmark SPY (118 days) in the period of the last 5 years, the average time in days below previous high water mark of 341 days of Lumentum is greater, thus worse.
• Compared with SPY (17 days) in the period of the last 3 years, the average days under water of 33 days is greater, thus worse.