Lam Research (LRCX)

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 (61.9%) in the period of the last 5 years, the total return of 156.2% of Lam Research is higher, thus better.
• During the last 3 years, the total return is 181.4%, which is higher, thus better than the value of 79.4% 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.'

• The compounded annual growth rate (CAGR) over 5 years of Lam Research is 20.7%, which is larger, thus better compared to the benchmark SPY (10.1%) in the same period.
• Compared with SPY (21.5%) in the period of the last 3 years, the compounded annual growth rate (CAGR) of 41.2% is greater, thus better.

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.'

• Compared with the benchmark SPY (21.5%) in the period of the last 5 years, the volatility of 48.1% of Lam Research is greater, thus worse.
• Looking at historical 30 days volatility in of 50.4% in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to SPY (21.2%).

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 risk over 5 years of Lam Research is 32.6%, which is larger, thus worse compared to the benchmark SPY (15.5%) in the same period.
• Compared with SPY (14.1%) in the period of the last 3 years, the downside volatility of 32.8% is greater, thus worse.

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.'

• The Sharpe Ratio over 5 years of Lam Research is 0.38, which is larger, thus better compared to the benchmark SPY (0.36) in the same period.
• During the last 3 years, the ratio of return and volatility (Sharpe) is 0.77, which is smaller, thus worse than the value of 0.9 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.'

• Looking at the downside risk / excess return profile of 0.56 in the last 5 years of Lam Research, we see it is relatively larger, thus better in comparison to the benchmark SPY (0.49)
• During the last 3 years, the ratio of annual return and downside deviation is 1.18, which is smaller, thus worse than the value of 1.35 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.'

• The Ulcer Ratio over 5 years of Lam Research is 22 , which is larger, thus worse compared to the benchmark SPY (9.15 ) in the same period.
• Compared with SPY (9.78 ) in the period of the last 3 years, the Ulcer Index of 23 is higher, thus worse.

MaxDD:

'Maximum drawdown is defined as the peak-to-trough decline of an investment during a specific period. It is usually quoted as a percentage of the peak value. The maximum drawdown can be calculated based on absolute returns, in order to identify strategies that suffer less during market downturns, such as low-volatility strategies. However, the maximum drawdown can also be calculated based on returns relative to a benchmark index, for identifying strategies that show steady outperformance over time.'

• Compared with the benchmark SPY (-33.7 days) in the period of the last 5 years, the maximum drop from peak to valley of -56.4 days of Lam Research is smaller, thus worse.
• During the last 3 years, the maximum DrawDown is -56.4 days, which is lower, thus worse than the value of -24.5 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 time in days below previous high water mark of 332 days in the last 5 years of Lam Research, we see it is relatively larger, thus worse in comparison to the benchmark SPY (305 days)
• During the last 3 years, the maximum days below previous high is 296 days, which is smaller, thus better than the value of 305 days from the benchmark.

AveDuration:

'The Average Drawdown Duration is an extension of the Maximum Drawdown. However, this metric does not explain the drawdown in dollars or percentages, rather in days, weeks, or months. 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 time in days below previous high water mark of 103 days in the last 5 years of Lam Research, we see it is relatively greater, thus worse in comparison to the benchmark SPY (65 days)
• Compared with SPY (80 days) in the period of the last 3 years, the average days under water of 87 days is larger, thus worse.