Microchip Technology (MCHP)

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 (104.2%) in the period of the last 5 years, the total return, or performance of 40.8% of Microchip Technology is smaller, thus worse.
• Looking at total return in of 8.7% in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (62.9%).

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.'

• The annual return (CAGR) over 5 years of Microchip Technology is 7.1%, which is lower, thus worse compared to the benchmark SPY (15.4%) in the same period.
• Compared with SPY (17.7%) in the period of the last 3 years, the annual return (CAGR) of 2.8% is smaller, thus worse.

Volatility:

'Volatility is a statistical measure of the dispersion of returns for a given security or market index. Volatility can either be measured by using the standard deviation or variance between returns from that same security or market index. Commonly, the higher the volatility, the riskier the security. In the securities markets, volatility is often associated with big swings in either direction. For example, when the stock market rises and falls more than one percent over a sustained period of time, it is called a 'volatile' market.'

• Looking at the volatility of 43.3% in the last 5 years of Microchip Technology, we see it is relatively higher, thus worse in comparison to the benchmark SPY (17.5%)
• Compared with SPY (17.2%) in the period of the last 3 years, the 30 days standard deviation of 45.4% 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 risk of 29.5% in the last 5 years of Microchip Technology, we see it is relatively larger, thus worse in comparison to the benchmark SPY (12.1%)
• During the last 3 years, the downside risk is 30.5%, which is larger, thus worse than the value of 11.4% from the benchmark.

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.'

• The Sharpe Ratio over 5 years of Microchip Technology is 0.11, which is lower, thus worse compared to the benchmark SPY (0.74) in the same period.
• Looking at risk / return profile (Sharpe) in of 0.01 in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (0.89).

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.'

• Looking at the downside risk / excess return profile of 0.16 in the last 5 years of Microchip Technology, we see it is relatively smaller, thus worse in comparison to the benchmark SPY (1.07)
• During the last 3 years, the ratio of annual return and downside deviation is 0.01, which is smaller, thus worse than the value of 1.33 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 (8.48 ) in the period of the last 5 years, the Ulcer Ratio of 21 of Microchip Technology is greater, thus worse.
• During the last 3 years, the Downside risk index is 23 , which is higher, thus worse than the value of 4.62 from the benchmark.

MaxDD:

'Maximum drawdown measures the loss in any losing period during a fund’s investment record. It is defined as the percent retrenchment from a fund’s peak value to the fund’s valley value. The drawdown is in effect from the time the fund’s retrenchment begins until a new fund high is reached. The maximum drawdown encompasses both the period from the fund’s peak to the fund’s valley (length), and the time from the fund’s valley to a new fund high (recovery). It measures the largest percentage drawdown that has occurred in any fund’s data record.'

• Compared with the benchmark SPY (-24.5 days) in the period of the last 5 years, the maximum reduction from previous high of -63.8 days of Microchip Technology is smaller, thus worse.
• During the last 3 years, the maximum DrawDown is -63.8 days, which is lower, thus worse than the value of -18.8 days from the benchmark.

MaxDuration:

'The Maximum 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. It is the length of time the account was in the Max Drawdown. A Max Drawdown measures a retrenchment from when an equity curve reaches a new high. It’s the maximum an account lost during that retrenchment. This method is applied because a valley can’t be measured until a new high occurs. Once the new high is reached, the percentage change from the old high to the bottom of the largest trough is recorded.'

• The maximum time in days below previous high water mark over 5 years of Microchip Technology is 378 days, which is lower, thus better compared to the benchmark SPY (488 days) in the same period.
• Compared with SPY (109 days) in the period of the last 3 years, the maximum days under water of 313 days is higher, thus worse.

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.'

• The average time in days below previous high water mark over 5 years of Microchip Technology is 117 days, which is lower, thus better compared to the benchmark SPY (120 days) in the same period.
• Compared with SPY (28 days) in the period of the last 3 years, the average days under water of 93 days is higher, thus worse.