Description

Micron Technology, Inc. manufactures and sells memory and storage solutions worldwide. The company operates through four segments: Compute and Networking Business Unit, Mobile Business Unit, Storage Business Unit, and Embedded Business Unit. It offers memory and storage technologies, including DRAM, NAND, NOR Flash, and 3D XPoint memory under the Micron, Crucial, and Ballistix brands, as well as private labels. The company provides memory products for the cloud server, enterprise, client, graphics, and networking markets; memory products for smartphone and other mobile-device markets; SSDs and component-level solutions for the enterprise and cloud, client, and consumer storage markets; other discrete storage products in component and wafer forms for the removable storage markets, as well as 3D XPoint memory products; and memory and storage products for the automotive, industrial, and consumer markets. It markets its products through its internal sales force, independent sales representatives, distributors, and e-tailers; and Web-based customer direct sales channel, as well as through channel and distribution partners primarily to original equipment manufacturers and retailers. The company has strategic collaboration with BMW Group. Micron Technology, Inc. was founded in 1978 and is headquartered in Boise, Idaho.

Statistics (YTD)

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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:
  • Compared with the benchmark SPY (120.8%) in the period of the last 5 years, the total return, or increase in value of 748.1% of Micron Technology is larger, thus better.
  • Looking at total return, or performance in of 73.6% in the period of the last 3 years, we see it is relatively larger, thus better in comparison to SPY (66.3%).

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:
  • Looking at the compounded annual growth rate (CAGR) of 53.4% in the last 5 years of Micron Technology, we see it is relatively larger, thus better in comparison to the benchmark SPY (17.2%)
  • Looking at annual performance (CAGR) in of 20.2% in the period of the last 3 years, we see it is relatively higher, thus better in comparison to SPY (18.5%).

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.'

Using this definition on our asset we see for example:
  • Compared with the benchmark SPY (18.7%) in the period of the last 5 years, the 30 days standard deviation of 47.1% of Micron Technology is greater, thus worse.
  • Looking at 30 days standard deviation in of 49.9% in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to SPY (22.4%).

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 31.8% in the last 5 years of Micron Technology, we see it is relatively greater, thus worse in comparison to the benchmark SPY (13.6%)
  • Compared with SPY (16.3%) in the period of the last 3 years, the downside risk of 34.9% is larger, 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.'

Applying this definition to our asset in some examples:
  • The risk / return profile (Sharpe) over 5 years of Micron Technology is 1.08, which is larger, thus better compared to the benchmark SPY (0.78) in the same period.
  • Looking at ratio of return and volatility (Sharpe) in of 0.35 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (0.71).

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.'

Applying this definition to our asset in some examples:
  • Compared with the benchmark SPY (1.08) in the period of the last 5 years, the downside risk / excess return profile of 1.6 of Micron Technology is greater, thus better.
  • Compared with SPY (0.98) in the period of the last 3 years, the excess return divided by the downside deviation of 0.51 is smaller, 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.'

Which means for our asset as example:
  • Compared with the benchmark SPY (5.59 ) in the period of the last 5 years, the Ulcer Index of 21 of Micron Technology is greater, thus worse.
  • Compared with SPY (6.83 ) in the period of the last 3 years, the Ulcer Ratio of 26 is higher, thus worse.

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.'

Which means for our asset as example:
  • Looking at the maximum reduction from previous high of -53.7 days in the last 5 years of Micron 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 -53.7 days is smaller, 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.'

Applying this definition to our asset in some examples:
  • The maximum days under water over 5 years of Micron Technology is 627 days, which is greater, thus worse compared to the benchmark SPY (139 days) in the same period.
  • Looking at maximum time in days below previous high water mark in of 627 days in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (139 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.'

Which means for our asset as example:
  • Looking at the average days under water of 180 days in the last 5 years of Micron Technology, we see it is relatively greater, thus worse in comparison to the benchmark SPY (33 days)
  • Compared with SPY (35 days) in the period of the last 3 years, the average days under water of 272 days is greater, thus worse.

Performance (YTD)

Historical returns have been extended using synthetic data.

Allocations
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Allocations

Returns (%)

  • Note that yearly returns do not equal the sum of monthly returns due to compounding.
  • Performance results of Micron Technology 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.