Description

Mattel, Inc., a children's entertainment company, designs and produces toys and consumer products worldwide. The company operates through North America, International, and American Girl segments. It offers dolls and accessories, as well as content, gaming, and lifestyle products for children under the Barbie, Enchantimals, and Polly Pocket brands; dolls and books under the American Girl brand name; diecast cars, tracks, playsets, and play products for kids, adults, and collectors under the Hot Wheels brand name; and infant, toddler, and preschool products comprising content, toys, live events, and other lifestyle products under the Fisher-Price and Thomas & Friends, Power wheels, Fireman Sam, and Shimmer and Shine brands. The company also provides action figures, building sets, and games under the MEGA, UNO, Toy Story (Disney Pixar), Jurassic World (NBCUniversal), and WWE brands; and licensor partner brands, including Disney, WWE, Nickelodeon, Warner Bros. Consumer Products, NBCUniversal, and Microsoft. It sells its products directly to consumers through its catalog, Website, and proprietary retail stores; retailers, including discount and free-standing toy stores, chain stores, department stores, and other retail outlets; and wholesalers, as well as through agents and distributors. Mattel, Inc. was founded in 1945 and is headquartered in El Segundo, California.

Statistics (YTD)

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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.'

Using this definition on our asset we see for example:
  • Looking at the total return, or performance of 24.9% in the last 5 years of Mattel, we see it is relatively smaller, thus worse in comparison to the benchmark SPY (62.7%)
  • Compared with SPY (34.7%) in the period of the last 3 years, the total return of 78.1% is greater, thus better.

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:
  • Compared with the benchmark SPY (10.2%) in the period of the last 5 years, the compounded annual growth rate (CAGR) of 4.6% of Mattel is smaller, thus worse.
  • During the last 3 years, the annual performance (CAGR) is 21.3%, which is higher, thus better than the value of 10.5% from the benchmark.

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.'

Which means for our asset as example:
  • The 30 days standard deviation over 5 years of Mattel is 47.2%, which is greater, thus worse compared to the benchmark SPY (20.9%) in the same period.
  • Looking at historical 30 days volatility in of 43.2% in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to SPY (24.1%).

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.'

Which means for our asset as example:
  • Looking at the downside risk of 31.3% in the last 5 years of Mattel, we see it is relatively larger, thus worse in comparison to the benchmark SPY (15.3%)
  • During the last 3 years, the downside deviation is 29%, which is higher, thus worse than the value of 17.6% from the benchmark.

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.'

Which means for our asset as example:
  • The ratio of return and volatility (Sharpe) over 5 years of Mattel is 0.04, which is lower, thus worse compared to the benchmark SPY (0.37) in the same period.
  • Looking at ratio of return and volatility (Sharpe) in of 0.43 in the period of the last 3 years, we see it is relatively larger, thus better in comparison to SPY (0.33).

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.'

Which means for our asset as example:
  • Compared with the benchmark SPY (0.51) in the period of the last 5 years, the downside risk / excess return profile of 0.07 of Mattel is lower, thus worse.
  • Looking at ratio of annual return and downside deviation in of 0.65 in the period of the last 3 years, we see it is relatively larger, thus better in comparison to SPY (0.45).

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.'

Which means for our asset as example:
  • Looking at the Downside risk index of 27 in the last 5 years of Mattel, we see it is relatively higher, thus worse in comparison to the benchmark SPY (7.71 )
  • Compared with SPY (9.08 ) in the period of the last 3 years, the Ulcer Index of 17 is larger, 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.'

Applying this definition to our asset in some examples:
  • Looking at the maximum DrawDown of -61.6 days in the last 5 years of Mattel, we see it is relatively smaller, thus worse in comparison to the benchmark SPY (-33.7 days)
  • Looking at maximum drop from peak to valley in of -50.7 days in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (-33.7 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.'

Which means for our asset as example:
  • Looking at the maximum time in days below previous high water mark of 787 days in the last 5 years of Mattel, we see it is relatively higher, thus worse in comparison to the benchmark SPY (189 days)
  • Compared with SPY (189 days) in the period of the last 3 years, the maximum time in days below previous high water mark of 215 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.'

Which means for our asset as example:
  • Looking at the average days under water of 265 days in the last 5 years of Mattel, we see it is relatively greater, thus worse in comparison to the benchmark SPY (46 days)
  • Compared with SPY (45 days) in the period of the last 3 years, the average time in days below previous high water mark of 53 days is higher, thus worse.

Performance (YTD)

Historical returns have been extended using synthetic data.

Allocations ()

Allocations

Returns (%)

  • Note that yearly returns do not equal the sum of monthly returns due to compounding.
  • Performance results of Mattel 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.