Marvell Technology Group (MRVL)

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.'

• Looking at the total return, or performance of 380.4% in the last 5 years of Marvell Technology Group, we see it is relatively greater, thus better in comparison to the benchmark SPY (98.9%)
• During the last 3 years, the total return, or performance is 67.6%, which is higher, thus better than the value of 39.9% from the benchmark.

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.'

• Compared with the benchmark SPY (14.8%) in the period of the last 5 years, the annual return (CAGR) of 37% of Marvell Technology Group is larger, thus better.
• Looking at annual return (CAGR) in of 18.9% in the period of the last 3 years, we see it is relatively larger, thus better in comparison to SPY (11.9%).

Volatility:

'Volatility is a rate at which the price of a security increases or decreases for a given set of returns. Volatility is measured by calculating the standard deviation of the annualized returns over a given period of time. It shows the range to which the price of a security may increase or decrease. Volatility measures the risk of a security. It is used in option pricing formula to gauge the fluctuations in the returns of the underlying assets. Volatility indicates the pricing behavior of the security and helps estimate the fluctuations that may happen in a short period of time.'

• The 30 days standard deviation over 5 years of Marvell Technology Group is 55.5%, which is higher, thus worse compared to the benchmark SPY (21%) in the same period.
• Compared with SPY (17.3%) in the period of the last 3 years, the historical 30 days volatility of 58.8% is larger, thus worse.

DownVol:

'The downside volatility is similar to the volatility, or standard deviation, but only takes losing/negative periods into account.'

• Looking at the downside deviation of 35.9% in the last 5 years of Marvell Technology Group, we see it is relatively larger, thus worse in comparison to the benchmark SPY (15%)
• During the last 3 years, the downside deviation is 38%, which is greater, thus worse than the value of 12.1% 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 Marvell Technology Group is 0.62, which is higher, thus better compared to the benchmark SPY (0.58) in the same period.
• Compared with SPY (0.54) in the period of the last 3 years, the risk / return profile (Sharpe) of 0.28 is smaller, thus worse.

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.'

• Looking at the downside risk / excess return profile of 0.96 in the last 5 years of Marvell Technology Group, we see it is relatively greater, thus better in comparison to the benchmark SPY (0.82)
• Compared with SPY (0.78) in the period of the last 3 years, the ratio of annual return and downside deviation of 0.43 is lower, thus worse.

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 Ulcer Ratio over 5 years of Marvell Technology Group is 30 , which is larger, thus worse compared to the benchmark SPY (9.33 ) in the same period.
• Looking at Ulcer Index in of 30 in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to SPY (8.64 ).

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 DrawDown of -61.9 days in the last 5 years of Marvell Technology Group, 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 -55.2 days in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (-22.1 days).

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 days under water over 5 years of Marvell Technology Group is 732 days, which is higher, thus worse compared to the benchmark SPY (488 days) in the same period.
• Looking at maximum days below previous high in of 515 days in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to SPY (325 days).

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.'

• Looking at the average time in days below previous high water mark of 238 days in the last 5 years of Marvell Technology Group, we see it is relatively greater, thus worse in comparison to the benchmark SPY (122 days)
• During the last 3 years, the average days under water is 201 days, which is higher, thus worse than the value of 89 days from the benchmark.