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)

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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.'

Applying this definition to our asset in some examples:
  • The total return, or increase in value over 5 years of NortonLifeLock is 51.2%, which is smaller, thus worse compared to the benchmark SPY (63%) in the same period.
  • Looking at total return, or increase in value in of 68.2% in the period of the last 3 years, we see it is relatively greater, thus better in comparison to SPY (33.5%).

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:
  • Compared with the benchmark SPY (10.3%) in the period of the last 5 years, the annual performance (CAGR) of 8.6% of NortonLifeLock is smaller, thus worse.
  • Compared with SPY (10.1%) in the period of the last 3 years, the annual performance (CAGR) of 18.9% is higher, thus better.

Volatility:

'Volatility is a rate at which the price of a security increases or decreases for a given set of returns. Volatility is measured by calculating the standard deviation of the annualized returns over a given period of time. It shows the range to which the price of a security may increase or decrease. Volatility measures the risk of a security. It is used in option pricing formula to gauge the fluctuations in the returns of the underlying assets. Volatility indicates the pricing behavior of the security and helps estimate the fluctuations that may happen in a short period of time.'

Which means for our asset as example:
  • The 30 days standard deviation over 5 years of NortonLifeLock is 36.8%, which is higher, thus worse compared to the benchmark SPY (21.6%) in the same period.
  • During the last 3 years, the 30 days standard deviation is 33.3%, which is larger, thus worse than the value of 25.1% from the benchmark.

DownVol:

'Downside risk is the financial risk associated with losses. That is, it is the risk of the actual return being below the expected return, or the uncertainty about the magnitude of that difference. 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.'

Which means for our asset as example:
  • Compared with the benchmark SPY (15.6%) in the period of the last 5 years, the downside deviation of 26.6% of NortonLifeLock is greater, thus worse.
  • Looking at downside deviation in of 22.1% in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (18.1%).

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:
  • Looking at the risk / return profile (Sharpe) of 0.17 in the last 5 years of NortonLifeLock, we see it is relatively lower, thus worse in comparison to the benchmark SPY (0.36)
  • Compared with SPY (0.3) in the period of the last 3 years, the risk / return profile (Sharpe) of 0.49 is larger, thus better.

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.'

Using this definition on our asset we see for example:
  • Compared with the benchmark SPY (0.5) 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.
  • During the last 3 years, the ratio of annual return and downside deviation is 0.74, which is higher, thus better than the value of 0.42 from the benchmark.

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.'

Using this definition on our asset we see for example:
  • The Ulcer Ratio over 5 years of NortonLifeLock is 18 , which is higher, thus worse compared to the benchmark SPY (8.88 ) in the same period.
  • During the last 3 years, the Ulcer Ratio is 14 , which is larger, thus worse than the value of 11 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.'

Applying this definition to our asset in some examples:
  • The maximum drop from peak to valley over 5 years of NortonLifeLock is -39.6 days, which is lower, thus worse compared to the benchmark SPY (-33.7 days) in the same period.
  • Compared with SPY (-33.7 days) in the period of the last 3 years, the maximum drop from peak to valley of -33.5 days is greater, thus better.

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.'

Using this definition on our asset we see for example:
  • Looking at the maximum days under water of 519 days in the last 5 years of NortonLifeLock, we see it is relatively higher, thus worse in comparison to the benchmark SPY (273 days)
  • During the last 3 years, the maximum time in days below previous high water mark is 190 days, which is lower, thus better than the value of 273 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.'

Applying this definition to our asset in some examples:
  • Compared with the benchmark SPY (57 days) in the period of the last 5 years, the average days below previous high of 153 days of NortonLifeLock is higher, thus worse.
  • Looking at average days below previous high in of 72 days in the period of the last 3 years, we see it is relatively lower, thus better in comparison to SPY (73 days).

Performance (YTD)

Historical returns have been extended using synthetic data.

Allocations ()

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.