Maxim Integrated Products (MXIM)

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.'

• Looking at the total return, or increase in value of 84.3% in the last 5 years of Maxim Integrated Products, we see it is relatively greater, thus better in comparison to the benchmark SPY (66.2%)
• Compared with SPY (47.5%) in the period of the last 3 years, the total return, or increase in value of 60.3% is higher, thus better.

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.'

• The annual performance (CAGR) over 5 years of Maxim Integrated Products is 13%, which is higher, thus better compared to the benchmark SPY (10.7%) in the same period.
• During the last 3 years, the annual return (CAGR) is 17.1%, which is higher, thus better than the value of 13.9% 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 volatility over 5 years of Maxim Integrated Products is 26.5%, which is higher, thus worse compared to the benchmark SPY (13.3%) in the same period.
• Compared with SPY (12.5%) in the period of the last 3 years, the historical 30 days volatility of 26% 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 volatility of 27.6% in the last 5 years of Maxim Integrated Products, we see it is relatively greater, thus worse in comparison to the benchmark SPY (14.6%)
• Compared with SPY (14.2%) in the period of the last 3 years, the downside risk of 28.2% 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.'

• Looking at the Sharpe Ratio of 0.4 in the last 5 years of Maxim Integrated Products, we see it is relatively smaller, thus worse in comparison to the benchmark SPY (0.62)
• During the last 3 years, the Sharpe Ratio is 0.56, which is smaller, thus worse than the value of 0.91 from the benchmark.

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 excess return divided by the downside deviation of 0.38 in the last 5 years of Maxim Integrated Products, we see it is relatively smaller, thus worse in comparison to the benchmark SPY (0.56)
• Compared with SPY (0.8) in the period of the last 3 years, the downside risk / excess return profile of 0.52 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.'

• The Downside risk index over 5 years of Maxim Integrated Products is 10 , which is greater, thus better compared to the benchmark SPY (3.96 ) in the same period.
• During the last 3 years, the Ulcer Ratio is 9.52 , which is larger, thus better than the value of 4.01 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 -27.7 days in the last 5 years of Maxim Integrated Products, we see it is relatively lower, thus worse in comparison to the benchmark SPY (-19.3 days)
• Looking at maximum reduction from previous high in of -27.7 days in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (-19.3 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). 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'

• Looking at the maximum days under water of 328 days in the last 5 years of Maxim Integrated Products, we see it is relatively larger, thus worse in comparison to the benchmark SPY (187 days)
• During the last 3 years, the maximum days below previous high is 328 days, which is larger, thus worse than the value of 139 days from the benchmark.

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.'

• The average days below previous high over 5 years of Maxim Integrated Products is 89 days, which is greater, thus worse compared to the benchmark SPY (41 days) in the same period.
• During the last 3 years, the average time in days below previous high water mark is 92 days, which is greater, thus worse than the value of 36 days from the benchmark.