lululemon (LULU)

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 (81.9%) in the period of the last 5 years, the total return, or increase in value of -74.1% of lululemon is smaller, thus worse.
• Compared with SPY (77.2%) in the period of the last 3 years, the total return of -75.1% is smaller, thus worse.

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 return (CAGR) of -23.8% in the last 5 years of lululemon, we see it is relatively lower, thus worse in comparison to the benchmark SPY (12.8%)
• Compared with SPY (21.1%) in the period of the last 3 years, the annual performance (CAGR) of -37.2% is lower, thus worse.

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 30 days standard deviation of 43.4% of lululemon is larger, thus worse.
• Compared with SPY (15.3%) in the period of the last 3 years, the volatility of 44.1% 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.'

• Looking at the downside volatility of 32.6% in the last 5 years of lululemon, we see it is relatively greater, thus worse in comparison to the benchmark SPY (11.8%)
• Looking at downside risk in of 34.9% in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (10.3%).

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.'

• Compared with the benchmark SPY (0.6) in the period of the last 5 years, the risk / return profile (Sharpe) of -0.6 of lululemon is lower, thus worse.
• Compared with SPY (1.21) in the period of the last 3 years, the risk / return profile (Sharpe) of -0.9 is lower, thus worse.

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.'

• Compared with the benchmark SPY (0.87) in the period of the last 5 years, the downside risk / excess return profile of -0.8 of lululemon is lower, thus worse.
• During the last 3 years, the downside risk / excess return profile is -1.14, which is lower, thus worse than the value of 1.81 from the benchmark.

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.'

• Compared with the benchmark SPY (8.46 ) in the period of the last 5 years, the Downside risk index of 43 of lululemon is greater, thus worse.
• Compared with SPY (3.37 ) in the period of the last 3 years, the Downside risk index of 50 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 (-24.5 days) in the period of the last 5 years, the maximum drop from peak to valley of -80.3 days of lululemon is lower, thus worse.
• Looking at maximum DrawDown in of -80.3 days in the period of the last 3 years, we see it is relatively smaller, 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.'

• Looking at the maximum days under water of 672 days in the last 5 years of lululemon, we see it is relatively greater, thus worse in comparison to the benchmark SPY (488 days)
• Compared with SPY (87 days) in the period of the last 3 years, the maximum time in days below previous high water mark of 672 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.'

• Looking at the average days under water of 292 days in the last 5 years of lululemon, we see it is relatively greater, thus worse in comparison to the benchmark SPY (118 days)
• Compared with SPY (18 days) in the period of the last 3 years, the average days below previous high of 307 days is higher, thus worse.