Description

Linear Technology Corporation (Linear Technology) is designing, manufacturing and marketing a range of analog integrated circuits for companies globally. The Company's products provide a bridge between its analog world and the digital electronics in communications, networking, industrial, automotive, computer, medical, instrumentation, consumer, and military and aerospace systems. Linear Technology produces power management, data conversion, signal conditioning, radio frequency (RF) and interface integrated circuits (ICs), Module subsystems, and wireless sensor network products.

Statistics (YTD)

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TotalReturn:

'Total return is the amount of value an investor earns from a security over a specific period, typically one year, when all distributions are reinvested. Total return is expressed as a percentage of the amount invested. For example, a total return of 20% means the security increased by 20% of its original value due to a price increase, distribution of dividends (if a stock), coupons (if a bond) or capital gains (if a fund). Total return is a strong measure of an investment’s overall performance.'

Applying this definition to our asset in some examples:
  • Looking at the total return of 96% in the last 5 years of Linear Technology, we see it is relatively lower, thus worse in comparison to the benchmark SPY (121.2%)
  • Looking at total return, or increase in value in of 35% in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (67.5%).

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 (17.2%) in the period of the last 5 years, the compounded annual growth rate (CAGR) of 14.4% of Linear Technology is smaller, thus worse.
  • During the last 3 years, the annual return (CAGR) is 10.5%, which is lower, thus worse than the value of 18.7% 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:
  • Looking at the 30 days standard deviation of 23.9% in the last 5 years of Linear Technology, we see it is relatively higher, thus worse in comparison to the benchmark SPY (18.7%)
  • Compared with SPY (22.5%) in the period of the last 3 years, the 30 days standard deviation of 26.8% is larger, thus worse.

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 13.9% in the last 5 years of Linear Technology, we see it is relatively larger, thus worse in comparison to the benchmark SPY (13.6%)
  • Compared with SPY (16.3%) in the period of the last 3 years, the downside deviation of 14.9% is lower, thus better.

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.'

Which means for our asset as example:
  • Looking at the ratio of return and volatility (Sharpe) of 0.5 in the last 5 years of Linear Technology, we see it is relatively lower, thus worse in comparison to the benchmark SPY (0.79)
  • Looking at Sharpe Ratio in of 0.3 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (0.72).

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:
  • Looking at the excess return divided by the downside deviation of 0.86 in the last 5 years of Linear Technology, we see it is relatively smaller, thus worse in comparison to the benchmark SPY (1.08)
  • During the last 3 years, the ratio of annual return and downside deviation is 0.53, which is smaller, thus worse than the value of 1 from the benchmark.

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.'

Using this definition on our asset we see for example:
  • The Ulcer Index over 5 years of Linear Technology is 9.19 , which is larger, thus worse compared to the benchmark SPY (5.59 ) in the same period.
  • Looking at Downside risk index in of 11 in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to SPY (6.83 ).

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.'

Using this definition on our asset we see for example:
  • The maximum drop from peak to valley over 5 years of Linear Technology is -25.8 days, which is larger, thus better compared to the benchmark SPY (-33.7 days) in the same period.
  • Looking at maximum drop from peak to valley in of -25.8 days in the period of the last 3 years, we see it is relatively higher, thus better 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.'

Using this definition on our asset we see for example:
  • The maximum days under water over 5 years of Linear Technology is 583 days, which is larger, thus worse compared to the benchmark SPY (139 days) in the same period.
  • Looking at maximum days under water in of 583 days in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (139 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.'

Which means for our asset as example:
  • Compared with the benchmark SPY (33 days) in the period of the last 5 years, the average days below previous high of 168 days of Linear Technology is greater, thus worse.
  • Compared with SPY (35 days) in the period of the last 3 years, the average days under water of 236 days is higher, thus worse.

Performance (YTD)

Historical returns have been extended using synthetic data.

Allocations
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Allocations

Returns (%)

  • Note that yearly returns do not equal the sum of monthly returns due to compounding.
  • Performance results of Linear Technology 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.