Description

NortonLifeLock Inc. provides cyber safety solutions for consumers worldwide. The company offers Norton security solutions as a subscription service providing protection for PCs, Macs, and mobile devices against malware, viruses, adware, ransomware, and other online threats on various platforms; and LifeLock identity theft protection solution that offers monitoring, alerts, and restoration services to its customers. It also provides Norton Secure VPN and SurfEasy VPN for online privacy, as well as Norton family, a solution for home and family, which offers protection and security, parental control, and GPS location monitoring services. NortonLifeLock Inc. markets and sells its products and related services through retailers, telecom service providers, hardware original equipment manufacturers, and employee benefit providers, as well as e-commerce platform. The company was formerly known as Symantec Corporation and changed its name to NortonLifeLock Inc. in November 2019. NortonLifeLock Inc. was founded in 1982 and is headquartered in Tempe, Arizona.

Statistics (YTD)

What do these metrics mean? [Read More] [Hide]

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.'

Which means for our asset as example:
  • Looking at the total return, or increase in value of 126% in the last 5 years of NortonLifeLock, we see it is relatively larger, thus better in comparison to the benchmark SPY (122.7%)
  • During the last 3 years, the total return is 117.6%, which is greater, thus better than the value of 65.3% 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.'

Using this definition on our asset we see for example:
  • The compounded annual growth rate (CAGR) over 5 years of NortonLifeLock is 17.7%, which is higher, thus better compared to the benchmark SPY (17.4%) in the same period.
  • Looking at compounded annual growth rate (CAGR) in of 29.6% in the period of the last 3 years, we see it is relatively higher, thus better in comparison to SPY (18.2%).

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.'

Which means for our asset as example:
  • Looking at the historical 30 days volatility of 35% in the last 5 years of NortonLifeLock, we see it is relatively larger, thus worse in comparison to the benchmark SPY (18.7%)
  • Looking at 30 days standard deviation in of 35.9% in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (22.5%).

DownVol:

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

Applying this definition to our asset in some examples:
  • Compared with the benchmark SPY (13.6%) in the period of the last 5 years, the downside deviation of 25.5% of NortonLifeLock is larger, thus worse.
  • Looking at downside risk in of 22.9% in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (16.3%).

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.'

Applying this definition to our asset in some examples:
  • The Sharpe Ratio over 5 years of NortonLifeLock is 0.44, which is lower, thus worse compared to the benchmark SPY (0.8) in the same period.
  • During the last 3 years, the risk / return profile (Sharpe) is 0.76, which is greater, thus better than the value of 0.7 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.'

Applying this definition to our asset in some examples:
  • Compared with the benchmark SPY (1.1) in the period of the last 5 years, the ratio of annual return and downside deviation of 0.6 of NortonLifeLock is lower, thus worse.
  • Compared with SPY (0.96) in the period of the last 3 years, the downside risk / excess return profile of 1.18 is larger, thus better.

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.'

Which means for our asset as example:
  • Compared with the benchmark SPY (5.58 ) in the period of the last 5 years, the Ulcer Ratio of 22 of NortonLifeLock is larger, thus worse.
  • During the last 3 years, the Ulcer Ratio is 10 , which is higher, thus worse than the value of 6.83 from the benchmark.

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.'

Applying this definition to our asset in some examples:
  • Looking at the maximum DrawDown of -47.6 days in the last 5 years of NortonLifeLock, we see it is relatively lower, thus worse in comparison to the benchmark SPY (-33.7 days)
  • During the last 3 years, the maximum reduction from previous high is -26.5 days, which is higher, thus better than the value of -33.7 days from the benchmark.

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'

Applying this definition to our asset in some examples:
  • The maximum days under water over 5 years of NortonLifeLock is 599 days, which is higher, thus worse compared to the benchmark SPY (139 days) in the same period.
  • Looking at maximum days under water in of 177 days in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to SPY (139 days).

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.'

Using this definition on our asset we see for example:
  • Looking at the average days under water of 175 days in the last 5 years of NortonLifeLock, we see it is relatively higher, thus worse in comparison to the benchmark SPY (33 days)
  • During the last 3 years, the average days below previous high is 42 days, which is greater, thus worse than the value of 35 days from the benchmark.

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 NortonLifeLock 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.