Micron Technology (MU)

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 of 313.4% in the last 5 years of Micron Technology, we see it is relatively greater, thus better in comparison to the benchmark SPY (115.1%)
• Looking at total return in of 256.1% in the period of the last 3 years, we see it is relatively greater, thus better in comparison to SPY (87.5%).

CAGR:

'Compound annual growth rate (CAGR) is a business and investing specific term for the geometric progression ratio that provides a constant rate of return over the time period. CAGR is not an accounting term, but it is often used to describe some element of the business, for example revenue, units delivered, registered users, etc. CAGR dampens the effect of volatility of periodic returns that can render arithmetic means irrelevant. It is particularly useful to compare growth rates from various data sets of common domain such as revenue growth of companies in the same industry.'

• The annual return (CAGR) over 5 years of Micron Technology is 33%, which is larger, thus better compared to the benchmark SPY (16.6%) in the same period.
• Looking at compounded annual growth rate (CAGR) in of 53.1% in the period of the last 3 years, we see it is relatively larger, thus better in comparison to SPY (23.5%).

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.'

• Compared with the benchmark SPY (17.2%) in the period of the last 5 years, the 30 days standard deviation of 46.8% of Micron Technology is greater, thus worse.
• Looking at 30 days standard deviation in of 49.4% in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (16.4%).

DownVol:

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

• The downside risk over 5 years of Micron Technology is 31.5%, which is greater, thus worse compared to the benchmark SPY (11.8%) in the same period.
• Looking at downside volatility in of 32.5% in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to SPY (10.7%).

Sharpe:

'The Sharpe ratio (also known as the Sharpe index, the Sharpe measure, and the reward-to-variability ratio) is a way to examine the performance of an investment by adjusting for its risk. The ratio measures the excess return (or risk premium) per unit of deviation in an investment asset or a trading strategy, typically referred to as risk, named after William F. Sharpe.'

• Compared with the benchmark SPY (0.82) in the period of the last 5 years, the risk / return profile (Sharpe) of 0.65 of Micron Technology is lower, thus worse.
• Looking at risk / return profile (Sharpe) in of 1.03 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (1.28).

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 excess return divided by the downside deviation over 5 years of Micron Technology is 0.97, which is lower, thus worse compared to the benchmark SPY (1.2) in the same period.
• Looking at downside risk / excess return profile in of 1.56 in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (1.97).

Ulcer:

'Ulcer Index is a method for measuring investment risk that addresses the real concerns of investors, unlike the widely used standard deviation of return. UI is a measure of the depth and duration of drawdowns in prices from earlier highs. Using Ulcer Index instead of standard deviation can lead to very different conclusions about investment risk and risk-adjusted return, especially when evaluating strategies that seek to avoid major declines in portfolio value (market timing, dynamic asset allocation, hedge funds, etc.). The Ulcer Index was originally developed in 1987. Since then, it has been widely recognized and adopted by the investment community. According to Nelson Freeburg, editor of Formula Research, Ulcer Index is “perhaps the most fully realized statistical portrait of risk there is.'

• The Ulcer Index over 5 years of Micron Technology is 28 , which is higher, thus worse compared to the benchmark SPY (8.43 ) in the same period.
• Looking at Ulcer Index in of 23 in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (3.64 ).

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 DrawDown of -57.6 days of Micron Technology is lower, thus worse.
• Looking at maximum drop from peak to valley in of -57.6 days in the period of the last 3 years, we see it is relatively lower, 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.'

• The maximum time in days below previous high water mark over 5 years of Micron Technology is 536 days, which is higher, thus worse compared to the benchmark SPY (488 days) in the same period.
• During the last 3 years, the maximum days under water is 308 days, which is greater, thus worse than the value of 87 days from the benchmark.

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 Micron Technology is 176 days, which is greater, thus worse compared to the benchmark SPY (120 days) in the same period.
• During the last 3 years, the average days under water is 85 days, which is greater, thus worse than the value of 21 days from the benchmark.