Description of lululemon athletica inc.

lululemon athletica inc. - Common Stock

Statistics of lululemon athletica inc. (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, or performance of 205.5% in the last 5 years of lululemon athletica inc., we see it is relatively larger, thus better in comparison to the benchmark SPY (68.2%)
  • During the last 3 years, the total return, or increase in value is 138.2%, which is greater, thus better than the value of 47.7% from the benchmark.

CAGR:

'Compound annual growth rate (CAGR) is a business and investing specific term for the geometric progression ratio that provides a constant rate of return over the time period. CAGR is not an accounting term, but it is often used to describe some element of the business, for example revenue, units delivered, registered users, etc. CAGR dampens the effect of volatility of periodic returns that can render arithmetic means irrelevant. It is particularly useful to compare growth rates from various data sets of common domain such as revenue growth of companies in the same industry.'

Applying this definition to our asset in some examples:
  • Looking at the annual return (CAGR) of 25.1% in the last 5 years of lululemon athletica inc., we see it is relatively larger, thus better in comparison to the benchmark SPY (11%)
  • Compared with SPY (13.9%) in the period of the last 3 years, the annual performance (CAGR) of 33.6% 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.'

Applying this definition to our asset in some examples:
  • The 30 days standard deviation over 5 years of lululemon athletica inc. is 37.5%, which is higher, thus worse compared to the benchmark SPY (13.2%) in the same period.
  • Looking at 30 days standard deviation in of 36.6% in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to SPY (12.4%).

DownVol:

'The downside volatility is similar to the volatility, or standard deviation, but only takes losing/negative periods into account.'

Which means for our asset as example:
  • The downside volatility over 5 years of lululemon athletica inc. is 38.3%, which is greater, thus worse compared to the benchmark SPY (14.6%) in the same period.
  • Looking at downside volatility in of 36.2% in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (14%).

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.'

Applying this definition to our asset in some examples:
  • The risk / return profile (Sharpe) over 5 years of lululemon athletica inc. is 0.6, which is smaller, thus worse compared to the benchmark SPY (0.64) in the same period.
  • Looking at Sharpe Ratio in of 0.85 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (0.92).

Sortino:

'The Sortino ratio improves upon the Sharpe ratio by isolating downside volatility from total volatility by dividing excess return by the downside deviation. The Sortino ratio is a variation of the Sharpe ratio that differentiates harmful volatility from total overall volatility by using the asset's standard deviation of negative asset returns, called downside deviation. The Sortino ratio takes the asset's return and subtracts the risk-free rate, and then divides that amount by the asset's downside deviation. The ratio was named after Frank A. Sortino.'

Using this definition on our asset we see for example:
  • The ratio of annual return and downside deviation over 5 years of lululemon athletica inc. is 0.59, which is greater, thus better compared to the benchmark SPY (0.58) in the same period.
  • Looking at downside risk / excess return profile in of 0.86 in the period of the last 3 years, we see it is relatively greater, thus better in comparison to SPY (0.81).

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 lululemon athletica inc. is 18 , which is higher, thus better compared to the benchmark SPY (3.95 ) in the same period.
  • Looking at Ulcer Index in of 18 in the period of the last 3 years, we see it is relatively greater, thus better in comparison to SPY (4 ).

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 lululemon athletica inc. is -40.6 days, which is lower, thus worse compared to the benchmark SPY (-19.3 days) in the same period.
  • Compared with SPY (-19.3 days) in the period of the last 3 years, the maximum reduction from previous high of -40.6 days is lower, thus worse.

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.'

Which means for our asset as example:
  • Compared with the benchmark SPY (187 days) in the period of the last 5 years, the maximum time in days below previous high water mark of 368 days of lululemon athletica inc. is larger, thus worse.
  • During the last 3 years, the maximum time in days below previous high water mark is 368 days, which is larger, thus worse than the value of 131 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.'

Applying this definition to our asset in some examples:
  • The average days below previous high over 5 years of lululemon athletica inc. is 116 days, which is larger, thus worse compared to the benchmark SPY (39 days) in the same period.
  • Compared with SPY (33 days) in the period of the last 3 years, the average days below previous high of 111 days is higher, thus worse.

Performance of lululemon athletica inc. (YTD)

Historical returns have been extended using synthetic data.

Allocations of lululemon athletica inc.
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Allocations

Returns of lululemon athletica inc. (%)

  • "Year" returns in the table above are not equal to the sum of monthly returns due to compounding.
  • Performance results of lululemon athletica inc. 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.