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 performance of 121.7% in the last 5 years of Maxim Integrated Products, we see it is relatively greater, thus better in comparison to the benchmark SPY (70.9%)
• During the last 3 years, the total return, or increase in value is 62.3%, which is greater, thus better than the value of 47.1% from the benchmark.

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.'

• Compared with the benchmark SPY (11.3%) in the period of the last 5 years, the compounded annual growth rate (CAGR) of 17.3% of Maxim Integrated Products is greater, thus better.
• During the last 3 years, the annual performance (CAGR) is 17.6%, which is higher, thus better than the value of 13.7% 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.'

• Looking at the 30 days standard deviation of 26.8% in the last 5 years of Maxim Integrated Products, we see it is relatively larger, thus worse in comparison to the benchmark SPY (13.5%)
• Looking at volatility in of 27% in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to SPY (12.8%).

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 28% in the last 5 years of Maxim Integrated Products, we see it is relatively higher, thus worse in comparison to the benchmark SPY (14.8%)
• Compared with SPY (14.6%) in the period of the last 3 years, the downside risk of 29.5% is greater, 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.'

• Compared with the benchmark SPY (0.65) in the period of the last 5 years, the risk / return profile (Sharpe) of 0.55 of Maxim Integrated Products is lower, thus worse.
• Compared with SPY (0.88) in the period of the last 3 years, the Sharpe Ratio of 0.56 is lower, thus worse.

Sortino:

'The Sortino ratio measures the risk-adjusted return of an investment asset, portfolio, or strategy. It is a modification of the Sharpe ratio but penalizes only those returns falling below a user-specified target or required rate of return, while the Sharpe ratio penalizes both upside and downside volatility equally. Though both ratios measure an investment's risk-adjusted return, they do so in significantly different ways that will frequently lead to differing conclusions as to the true nature of the investment's return-generating efficiency. The Sortino ratio is used as a way to compare the risk-adjusted performance of programs with differing risk and return profiles. In general, risk-adjusted returns seek to normalize the risk across programs and then see which has the higher return unit per risk.'

• The ratio of annual return and downside deviation over 5 years of Maxim Integrated Products is 0.53, which is lower, thus worse compared to the benchmark SPY (0.59) in the same period.
• Compared with SPY (0.77) in the period of the last 3 years, the downside risk / excess return profile of 0.51 is lower, thus worse.

Ulcer:

'The ulcer index is a stock market risk measure or technical analysis indicator devised by Peter Martin in 1987, and published by him and Byron McCann in their 1989 book The Investors Guide to Fidelity Funds. It's designed as a measure of volatility, but only volatility in the downward direction, i.e. the amount of drawdown or retracement occurring over a period. Other volatility measures like standard deviation treat up and down movement equally, but a trader doesn't mind upward movement, it's the downside that causes stress and stomach ulcers that the index's name suggests.'

• The Ulcer Ratio over 5 years of Maxim Integrated Products is 10 , which is larger, thus worse compared to the benchmark SPY (3.99 ) in the same period.
• During the last 3 years, the Ulcer Ratio is 11 , which is higher, thus worse than the value of 4.1 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.'

• Compared with the benchmark SPY (-19.3 days) in the period of the last 5 years, the maximum drop from peak to valley of -27.7 days of Maxim Integrated Products is lower, thus worse.
• Compared with SPY (-19.3 days) in the period of the last 3 years, the maximum reduction from previous high of -27.7 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.'

• Compared with the benchmark SPY (187 days) in the period of the last 5 years, the maximum days below previous high of 371 days of Maxim Integrated Products is larger, thus worse.
• During the last 3 years, the maximum days below previous high is 371 days, which is larger, thus worse than the value of 139 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 days below previous high over 5 years of Maxim Integrated Products is 95 days, which is higher, thus worse compared to the benchmark SPY (42 days) in the same period.
• Looking at average time in days below previous high water mark in of 113 days in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (36 days).