lululemon (LULU)

TotalReturn:

'The total return on a portfolio of investments takes into account not only the capital appreciation on the portfolio, but also the income received on the portfolio. The income typically consists of interest, dividends, and securities lending fees. This contrasts with the price return, which takes into account only the capital gain on an investment.'

• Compared with the benchmark SPY (86.4%) in the period of the last 5 years, the total return, or performance of -47.3% of lululemon is lower, thus worse.
• Looking at total return in of -44.5% in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (74.4%).

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 -12.1% in the last 5 years of lululemon, we see it is relatively smaller, thus worse in comparison to the benchmark SPY (13.3%)
• Compared with SPY (20.6%) in the period of the last 3 years, the compounded annual growth rate (CAGR) of -18% is smaller, thus worse.

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 (17.1%) in the period of the last 5 years, the historical 30 days volatility of 41.4% of lululemon is larger, thus worse.
• Compared with SPY (15.2%) in the period of the last 3 years, the 30 days standard deviation of 41.3% is higher, 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.'

• Compared with the benchmark SPY (11.8%) in the period of the last 5 years, the downside volatility of 30.4% of lululemon is larger, thus worse.
• Looking at downside risk in of 30.9% in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to SPY (10.2%).

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.'

• Looking at the ratio of return and volatility (Sharpe) of -0.35 in the last 5 years of lululemon, we see it is relatively smaller, thus worse in comparison to the benchmark SPY (0.63)
• During the last 3 years, the risk / return profile (Sharpe) is -0.5, which is lower, thus worse than the value of 1.19 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 ratio of annual return and downside deviation of -0.48 in the last 5 years of lululemon, we see it is relatively lower, thus worse in comparison to the benchmark SPY (0.92)
• During the last 3 years, the downside risk / excess return profile is -0.66, which is lower, thus worse than the value of 1.77 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.'

• Looking at the Ulcer Ratio of 35 in the last 5 years of lululemon, we see it is relatively higher, thus worse in comparison to the benchmark SPY (8.42 )
• Looking at Downside risk index in of 39 in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (3.42 ).

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.'

• Compared with the benchmark SPY (-24.5 days) in the period of the last 5 years, the maximum reduction from previous high of -68.7 days of lululemon is lower, thus worse.
• Looking at maximum drop from peak to valley in of -68.7 days in the period of the last 3 years, we see it is relatively lower, 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 below previous high of 533 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 533 days is larger, 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 230 days in the last 5 years of lululemon, we see it is relatively higher, thus worse in comparison to the benchmark SPY (119 days)
• Looking at average days under water in of 201 days in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to SPY (19 days).