Description

Marvell Technology Group Ltd. - Common Stock

Statistics (YTD)

What do these metrics mean? [Read More] [Hide]

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.'

Applying this definition to our asset in some examples:
  • Looking at the total return, or increase in value of 152.7% in the last 5 years of Marvell Technology Group, we see it is relatively larger, thus better in comparison to the benchmark SPY (60.7%)
  • Looking at total return, or increase in value in of 76.1% in the period of the last 3 years, we see it is relatively higher, thus better in comparison to SPY (29.5%).

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.'

Which means for our asset as example:
  • Compared with the benchmark SPY (10%) in the period of the last 5 years, the annual performance (CAGR) of 20.4% of Marvell Technology Group is greater, thus better.
  • Looking at compounded annual growth rate (CAGR) in of 20.7% in the period of the last 3 years, we see it is relatively higher, thus better in comparison to SPY (9%).

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.'

Which means for our asset as example:
  • Looking at the 30 days standard deviation of 45.6% in the last 5 years of Marvell Technology Group, we see it is relatively greater, thus worse in comparison to the benchmark SPY (20.8%)
  • Compared with SPY (24%) in the period of the last 3 years, the volatility of 51.8% 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.'

Which means for our asset as example:
  • Looking at the downside volatility of 30.6% in the last 5 years of Marvell Technology Group, we see it is relatively greater, thus worse in comparison to the benchmark SPY (15.3%)
  • Compared with SPY (17.6%) in the period of the last 3 years, the downside volatility of 34.8% is higher, 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.'

Which means for our asset as example:
  • The risk / return profile (Sharpe) over 5 years of Marvell Technology Group is 0.39, which is higher, thus better compared to the benchmark SPY (0.36) in the same period.
  • Compared with SPY (0.27) in the period of the last 3 years, the ratio of return and volatility (Sharpe) of 0.35 is greater, thus better.

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.'

Using this definition on our asset we see for example:
  • Compared with the benchmark SPY (0.49) in the period of the last 5 years, the ratio of annual return and downside deviation of 0.58 of Marvell Technology Group is larger, thus better.
  • During the last 3 years, the ratio of annual return and downside deviation is 0.52, which is higher, thus better than the value of 0.37 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.'

Which means for our asset as example:
  • Looking at the Ulcer Index of 19 in the last 5 years of Marvell Technology Group, we see it is relatively greater, thus worse in comparison to the benchmark SPY (7.52 )
  • During the last 3 years, the Ulcer Index is 20 , which is larger, thus worse than the value of 8.81 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.'

Applying this definition to our asset in some examples:
  • The maximum DrawDown over 5 years of Marvell Technology Group is -53.4 days, which is smaller, thus worse compared to the benchmark SPY (-33.7 days) in the same period.
  • During the last 3 years, the maximum DrawDown is -53.4 days, which is lower, thus worse than the value of -33.7 days from the benchmark.

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). Many assume Max DD Duration is the length of time between new highs during which the Max DD (magnitude) occurred. But that isn’t always the case. The Max DD duration is the longest time between peaks, period. So it could be the time when the program also had its biggest peak to valley loss (and usually is, because the program needs a long time to recover from the largest loss), but it doesn’t have to be'

Which means for our asset as example:
  • Compared with the benchmark SPY (182 days) in the period of the last 5 years, the maximum days under water of 275 days of Marvell Technology Group is larger, thus worse.
  • Compared with SPY (182 days) in the period of the last 3 years, the maximum time in days below previous high water mark of 200 days is larger, 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.'

Applying this definition to our asset in some examples:
  • The average days under water over 5 years of Marvell Technology Group is 65 days, which is higher, thus worse compared to the benchmark SPY (45 days) in the same period.
  • Compared with SPY (43 days) in the period of the last 3 years, the average days under water of 47 days is greater, thus worse.

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 Marvell Technology Group 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.