Microchip Technology (MCHP)

TotalReturn:

'Total return, when measuring performance, is the actual rate of return of an investment or a pool of investments over a given evaluation period. Total return includes interest, capital gains, dividends and distributions realized over a given period of time. Total return accounts for two categories of return: income including interest paid by fixed-income investments, distributions or dividends and capital appreciation, representing the change in the market price of an asset.'

• Compared with the benchmark SPY (91.3%) in the period of the last 5 years, the total return, or performance of 22.8% of Microchip Technology is smaller, thus worse.
• Looking at total return, or increase in value in of 13.6% in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (89.3%).

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 performance (CAGR) of 4.2% in the last 5 years of Microchip Technology, we see it is relatively smaller, thus worse in comparison to the benchmark SPY (13.9%)
• Compared with SPY (23.9%) in the period of the last 3 years, the compounded annual growth rate (CAGR) of 4.4% is smaller, thus worse.

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.'

• Looking at the volatility of 45.8% in the last 5 years of Microchip Technology, we see it is relatively larger, thus worse in comparison to the benchmark SPY (17.1%)
• Looking at historical 30 days volatility in of 49% in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to SPY (15.3%).

DownVol:

'Downside risk is the financial risk associated with losses. That is, it is the risk of the actual return being below the expected return, or the uncertainty about the magnitude of that difference. 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.'

• The downside deviation over 5 years of Microchip Technology is 30.5%, which is higher, thus worse compared to the benchmark SPY (11.8%) in the same period.
• Compared with SPY (10.1%) in the period of the last 3 years, the downside deviation of 32.3% is greater, thus worse.

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 ratio of return and volatility (Sharpe) over 5 years of Microchip Technology is 0.04, which is lower, thus worse compared to the benchmark SPY (0.67) in the same period.
• Looking at Sharpe Ratio in of 0.04 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (1.4).

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.'

• Compared with the benchmark SPY (0.97) in the period of the last 5 years, the downside risk / excess return profile of 0.06 of Microchip Technology is lower, thus worse.
• During the last 3 years, the ratio of annual return and downside deviation is 0.06, which is lower, thus worse than the value of 2.11 from the benchmark.

Ulcer:

'The ulcer index is a stock market risk measure or technical analysis indicator devised by Peter Martin in 1987, and published by him and Byron McCann in their 1989 book The Investors Guide to Fidelity Funds. It's designed as a measure of volatility, but only volatility in the downward direction, i.e. the amount of drawdown or retracement occurring over a period. Other volatility measures like standard deviation treat up and down movement equally, but a trader doesn't mind upward movement, it's the downside that causes stress and stomach ulcers that the index's name suggests.'

• Compared with the benchmark SPY (8.45 ) in the period of the last 5 years, the Downside risk index of 24 of Microchip Technology is higher, thus worse.
• Looking at Ulcer Index in of 27 in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (3.23 ).

MaxDD:

'Maximum drawdown is defined as the peak-to-trough decline of an investment during a specific period. It is usually quoted as a percentage of the peak value. The maximum drawdown can be calculated based on absolute returns, in order to identify strategies that suffer less during market downturns, such as low-volatility strategies. However, the maximum drawdown can also be calculated based on returns relative to a benchmark index, for identifying strategies that show steady outperformance over time.'

• Compared with the benchmark SPY (-24.5 days) in the period of the last 5 years, the maximum drop from peak to valley of -63.8 days of Microchip Technology is lower, thus worse.
• Looking at maximum drop from peak to valley in of -63.8 days in the period of the last 3 years, we see it is relatively smaller, 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.'

• Compared with the benchmark SPY (488 days) in the period of the last 5 years, the maximum time in days below previous high water mark of 486 days of Microchip Technology is lower, thus better.
• Compared with SPY (87 days) in the period of the last 3 years, the maximum time in days below previous high water mark of 486 days is higher, 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.'

• Compared with the benchmark SPY (119 days) in the period of the last 5 years, the average days under water of 168 days of Microchip Technology is greater, thus worse.
• Looking at average days under water in of 171 days in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to SPY (17 days).