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 (81.9%) in the period of the last 5 years, the total return of 74.2% of Microchip Technology is lower, thus worse.
• Compared with SPY (46.1%) in the period of the last 3 years, the total return, or performance of 61.5% is larger, thus better.

CAGR:

'The compound annual growth rate isn't a true return rate, but rather a representational figure. It is essentially a number that describes the rate at which an investment would have grown if it had grown the same rate every year and the profits were reinvested at the end of each year. In reality, this sort of performance is unlikely. However, CAGR can be used to smooth returns so that they may be more easily understood when compared to alternative investments.'

• Compared with the benchmark SPY (12.7%) in the period of the last 5 years, the compounded annual growth rate (CAGR) of 11.8% of Microchip Technology is lower, thus worse.
• During the last 3 years, the compounded annual growth rate (CAGR) is 17.3%, which is higher, thus better than the value of 13.5% from the benchmark.

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.'

• The 30 days standard deviation over 5 years of Microchip Technology is 41.7%, which is higher, thus worse compared to the benchmark SPY (19.8%) in the same period.
• Looking at 30 days standard deviation in of 47.2% in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to SPY (23%).

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.'

• Looking at the downside volatility of 29.4% in the last 5 years of Microchip Technology, we see it is relatively larger, thus worse in comparison to the benchmark SPY (14.5%)
• During the last 3 years, the downside volatility is 32.5%, which is larger, thus worse than the value of 16.8% from the benchmark.

Sharpe:

'The Sharpe ratio was developed by Nobel laureate William F. Sharpe, and is used to help investors understand the return of an investment compared to its risk. The ratio is the average return earned in excess of the risk-free rate per unit of volatility or total risk. Subtracting the risk-free rate from the mean return allows an investor to better isolate the profits associated with risk-taking activities. One intuition of this calculation is that a portfolio engaging in 'zero risk' investments, such as the purchase of U.S. Treasury bills (for which the expected return is the risk-free rate), has a Sharpe ratio of exactly zero. Generally, the greater the value of the Sharpe ratio, the more attractive the risk-adjusted return.'

• The risk / return profile (Sharpe) over 5 years of Microchip Technology is 0.22, which is lower, thus worse compared to the benchmark SPY (0.52) in the same period.
• During the last 3 years, the ratio of return and volatility (Sharpe) is 0.31, which is smaller, thus worse than the value of 0.48 from the benchmark.

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.'

• The downside risk / excess return profile over 5 years of Microchip Technology is 0.32, which is smaller, thus worse compared to the benchmark SPY (0.7) in the same period.
• During the last 3 years, the downside risk / excess return profile is 0.46, which is smaller, thus worse than the value of 0.65 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.'

• The Downside risk index over 5 years of Microchip Technology is 14 , which is greater, thus worse compared to the benchmark SPY (6.08 ) in the same period.
• During the last 3 years, the Downside risk index is 13 , which is greater, thus worse than the value of 6.77 from the benchmark.

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.'

• Looking at the maximum drop from peak to valley of -49.7 days in the last 5 years of Microchip Technology, 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 drop from peak to valley of -49.7 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.'

• The maximum time in days below previous high water mark over 5 years of Microchip Technology is 382 days, which is higher, thus worse compared to the benchmark SPY (139 days) in the same period.
• Compared with SPY (119 days) in the period of the last 3 years, the maximum time in days below previous high water mark of 158 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 89 days, which is higher, thus worse compared to the benchmark SPY (35 days) in the same period.
• During the last 3 years, the average days under water is 42 days, which is larger, thus worse than the value of 27 days from the benchmark.