NortonLifeLock (NLOK)

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.'

• Compared with the benchmark SPY (99.6%) in the period of the last 5 years, the total return, or increase in value of 51.2% of NortonLifeLock is smaller, thus worse.
• During the last 3 years, the total return, or increase in value is 68.2%, which is lower, thus worse than the value of 78.1% from the benchmark.

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.'

• Looking at the annual performance (CAGR) of 8.6% in the last 5 years of NortonLifeLock, we see it is relatively lower, thus worse in comparison to the benchmark SPY (14.9%)
• During the last 3 years, the annual performance (CAGR) is 18.9%, which is lower, thus worse than the value of 21.3% 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.'

• Compared with the benchmark SPY (17.1%) in the period of the last 5 years, the volatility of 36.8% of NortonLifeLock is larger, thus worse.
• Compared with SPY (15.5%) in the period of the last 3 years, the historical 30 days volatility of 33.3% is larger, thus worse.

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.'

• Looking at the downside volatility of 26.6% in the last 5 years of NortonLifeLock, we see it is relatively larger, thus worse in comparison to the benchmark SPY (11.8%)
• During the last 3 years, the downside volatility is 22.1%, which is larger, thus worse than the value of 10.4% from the benchmark.

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 (0.72) in the period of the last 5 years, the Sharpe Ratio of 0.17 of NortonLifeLock is smaller, thus worse.
• Looking at ratio of return and volatility (Sharpe) in of 0.49 in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (1.21).

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.'

• Compared with the benchmark SPY (1.05) in the period of the last 5 years, the ratio of annual return and downside deviation of 0.23 of NortonLifeLock is lower, thus worse.
• Compared with SPY (1.82) in the period of the last 3 years, the downside risk / excess return profile of 0.74 is lower, 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 Ulcer Index over 5 years of NortonLifeLock is 18 , which is higher, thus worse compared to the benchmark SPY (8.42 ) in the same period.
• Looking at Downside risk index in of 14 in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to SPY (3.57 ).

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.'

• Looking at the maximum drop from peak to valley of -39.6 days in the last 5 years of NortonLifeLock, we see it is relatively lower, thus worse in comparison to the benchmark SPY (-24.5 days)
• Looking at maximum DrawDown in of -33.5 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). 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'

• The maximum days below previous high over 5 years of NortonLifeLock is 519 days, which is greater, thus worse compared to the benchmark SPY (488 days) in the same period.
• During the last 3 years, the maximum days under water is 190 days, which is larger, 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 days under water over 5 years of NortonLifeLock is 153 days, which is greater, thus worse compared to the benchmark SPY (120 days) in the same period.
• Looking at average time in days below previous high water mark in of 72 days in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to SPY (21 days).