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:

'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.'

Using this definition on our asset we see for example:
  • The total return over 5 years of Mattel is 28.4%, which is lower, thus worse compared to the benchmark SPY (63%) in the same period.
  • Looking at total return, or increase in value in of 47.1% in the period of the last 3 years, we see it is relatively greater, thus better in comparison to SPY (33.5%).

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.'

Using this definition on our asset we see for example:
  • Compared with the benchmark SPY (10.3%) in the period of the last 5 years, the annual return (CAGR) of 5.1% of Mattel is smaller, thus worse.
  • Looking at annual return (CAGR) in of 13.7% in the period of the last 3 years, we see it is relatively higher, thus better in comparison to SPY (10.1%).

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:
  • Compared with the benchmark SPY (21.6%) in the period of the last 5 years, the historical 30 days volatility of 44.9% of Mattel is larger, thus worse.
  • Looking at volatility in of 42.3% in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to SPY (25.1%).

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.'

Using this definition on our asset we see for example:
  • Looking at the downside risk of 30.3% in the last 5 years of Mattel, we see it is relatively greater, thus worse in comparison to the benchmark SPY (15.6%)
  • Looking at downside risk in of 28.7% in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to SPY (18.1%).

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:
  • Looking at the ratio of return and volatility (Sharpe) of 0.06 in the last 5 years of Mattel, we see it is relatively smaller, thus worse in comparison to the benchmark SPY (0.36)
  • Looking at Sharpe Ratio in of 0.27 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (0.3).

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.'

Which means for our asset as example:
  • Looking at the ratio of annual return and downside deviation of 0.09 in the last 5 years of Mattel, we see it is relatively smaller, thus worse in comparison to the benchmark SPY (0.5)
  • Looking at ratio of annual return and downside deviation in of 0.39 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (0.42).

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:
  • Looking at the Downside risk index of 26 in the last 5 years of Mattel, we see it is relatively higher, thus worse in comparison to the benchmark SPY (8.88 )
  • During the last 3 years, the Ulcer Ratio is 20 , which is higher, thus worse than the value of 11 from the benchmark.

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 drop from peak to valley of -59.7 days in the last 5 years of Mattel, we see it is relatively lower, thus worse in comparison to the benchmark SPY (-33.7 days)
  • Compared with SPY (-33.7 days) in the period of the last 3 years, the maximum reduction from previous high of -50.2 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.'

Using this definition on our asset we see for example:
  • Compared with the benchmark SPY (273 days) in the period of the last 5 years, the maximum days below previous high of 632 days of Mattel is greater, thus worse.
  • During the last 3 years, the maximum days below previous high is 194 days, which is lower, thus better than the value of 273 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.'

Which means for our asset as example:
  • The average days under water over 5 years of Mattel is 188 days, which is greater, thus worse compared to the benchmark SPY (57 days) in the same period.
  • During the last 3 years, the average days under water is 63 days, which is smaller, thus better than the value of 73 days from the benchmark.

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.