Linear Technology (LLTC)

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.'

• Compared with the benchmark SPY (115.2%) in the period of the last 5 years, the total return, or increase in value of 124.1% of Linear Technology is larger, thus better.
• Compared with SPY (70.9%) in the period of the last 3 years, the total return, or increase in value of 47% is lower, thus worse.

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.'

• Compared with the benchmark SPY (16.6%) in the period of the last 5 years, the annual performance (CAGR) of 17.5% of Linear Technology is higher, thus better.
• Looking at compounded annual growth rate (CAGR) in of 13.7% in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (19.7%).

Volatility:

'Volatility is a statistical measure of the dispersion of returns for a given security or market index. Volatility can either be measured by using the standard deviation or variance between returns from that same security or market index. Commonly, the higher the volatility, the riskier the security. In the securities markets, volatility is often associated with big swings in either direction. For example, when the stock market rises and falls more than one percent over a sustained period of time, it is called a 'volatile' market.'

• Looking at the historical 30 days volatility of 23.8% in the last 5 years of Linear Technology, we see it is relatively larger, thus worse in comparison to the benchmark SPY (17.6%)
• Compared with SPY (17.5%) in the period of the last 3 years, the volatility of 26.8% is greater, 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.'

• The downside deviation over 5 years of Linear Technology is 13.8%, which is greater, thus worse compared to the benchmark SPY (12.1%) in the same period.
• During the last 3 years, the downside volatility is 14.8%, which is greater, thus worse than the value of 11.6% 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.'

• Compared with the benchmark SPY (0.81) in the period of the last 5 years, the Sharpe Ratio of 0.63 of Linear Technology is lower, thus worse.
• Looking at risk / return profile (Sharpe) in of 0.42 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (0.98).

Sortino:

'The Sortino ratio measures the risk-adjusted return of an investment asset, portfolio, or strategy. It is a modification of the Sharpe ratio but penalizes only those returns falling below a user-specified target or required rate of return, while the Sharpe ratio penalizes both upside and downside volatility equally. Though both ratios measure an investment's risk-adjusted return, they do so in significantly different ways that will frequently lead to differing conclusions as to the true nature of the investment's return-generating efficiency. The Sortino ratio is used as a way to compare the risk-adjusted performance of programs with differing risk and return profiles. In general, risk-adjusted returns seek to normalize the risk across programs and then see which has the higher return unit per risk.'

• The downside risk / excess return profile over 5 years of Linear Technology is 1.09, which is smaller, thus worse compared to the benchmark SPY (1.17) in the same period.
• Compared with SPY (1.49) in the period of the last 3 years, the ratio of annual return and downside deviation of 0.75 is lower, thus worse.

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.'

• Looking at the Ulcer Ratio of 7.81 in the last 5 years of Linear Technology, we see it is relatively smaller, thus better in comparison to the benchmark SPY (8.48 )
• Compared with SPY (5.31 ) in the period of the last 3 years, the Ulcer Ratio of 9.25 is greater, thus worse.

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.'

• Looking at the maximum reduction from previous high of -23.5 days in the last 5 years of Linear Technology, we see it is relatively higher, thus better in comparison to the benchmark SPY (-24.5 days)
• During the last 3 years, the maximum DrawDown is -23.5 days, which is lower, thus worse than the value of -18.8 days from the benchmark.

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 343 days in the last 5 years of Linear Technology, we see it is relatively smaller, thus better in comparison to the benchmark SPY (488 days)
• Compared with SPY (199 days) in the period of the last 3 years, the maximum time in days below previous high water mark of 343 days is greater, thus worse.

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.'

• The average days under water over 5 years of Linear Technology is 89 days, which is smaller, thus better compared to the benchmark SPY (120 days) in the same period.
• Compared with SPY (47 days) in the period of the last 3 years, the average time in days below previous high water mark of 123 days is larger, thus worse.