Maxim Integrated Products (MXIM)

TotalReturn:

'Total return is the amount of value an investor earns from a security over a specific period, typically one year, when all distributions are reinvested. Total return is expressed as a percentage of the amount invested. For example, a total return of 20% means the security increased by 20% of its original value due to a price increase, distribution of dividends (if a stock), coupons (if a bond) or capital gains (if a fund). Total return is a strong measure of an investment’s overall performance.'

• Compared with the benchmark SPY (115.2%) in the period of the last 5 years, the total return of 184.6% of Maxim Integrated Products is larger, thus better.
• Compared with SPY (70.9%) in the period of the last 3 years, the total return, or performance of 79.9% is higher, thus better.

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 (16.6%) in the period of the last 5 years, the annual performance (CAGR) of 23.3% of Maxim Integrated Products is larger, thus better.
• Compared with SPY (19.7%) in the period of the last 3 years, the annual return (CAGR) of 21.6% is larger, thus better.

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 30 days standard deviation over 5 years of Maxim Integrated Products is 31.1%, which is higher, thus worse compared to the benchmark SPY (17.6%) in the same period.
• During the last 3 years, the 30 days standard deviation is 35.1%, which is greater, thus worse than the value of 17.5% from the benchmark.

DownVol:

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

• Looking at the downside risk of 21.5% in the last 5 years of Maxim Integrated Products, we see it is relatively higher, thus worse in comparison to the benchmark SPY (12.1%)
• Compared with SPY (11.6%) in the period of the last 3 years, the downside volatility of 24.5% is greater, thus worse.

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 (0.81) in the period of the last 5 years, the risk / return profile (Sharpe) of 0.67 of Maxim Integrated Products is smaller, thus worse.
• During the last 3 years, the Sharpe Ratio is 0.54, which is lower, thus worse than the value of 0.98 from the benchmark.

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.'

• Looking at the downside risk / excess return profile of 0.97 in the last 5 years of Maxim Integrated Products, we see it is relatively lower, thus worse in comparison to the benchmark SPY (1.17)
• Looking at downside risk / excess return profile in of 0.78 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (1.49).

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.'

• Looking at the Downside risk index of 9.74 in the last 5 years of Maxim Integrated Products, we see it is relatively larger, thus worse in comparison to the benchmark SPY (8.48 )
• Compared with SPY (5.31 ) in the period of the last 3 years, the Ulcer Index of 10 is greater, thus worse.

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.'

• The maximum drop from peak to valley over 5 years of Maxim Integrated Products is -33.6 days, which is lower, thus worse compared to the benchmark SPY (-24.5 days) in the same period.
• Looking at maximum drop from peak to valley in of -33.6 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.'

• Looking at the maximum time in days below previous high water mark of 371 days in the last 5 years of Maxim Integrated Products, we see it is relatively lower, thus better in comparison to the benchmark SPY (488 days)
• During the last 3 years, the maximum days below previous high is 208 days, which is larger, thus worse than the value of 199 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.'

• Compared with the benchmark SPY (120 days) in the period of the last 5 years, the average time in days below previous high water mark of 84 days of Maxim Integrated Products is lower, thus better.
• Looking at average time in days below previous high water mark in of 59 days in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to SPY (47 days).