NetApp (NTAP)

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 (102%) in the period of the last 5 years, the total return, or increase in value of 140.4% of NetApp is higher, thus better.
• Looking at total return, or increase in value in of 38% in the period of the last 3 years, we see it is relatively greater, thus better in comparison to SPY (31.5%).

CAGR:

'The compound annual growth rate (CAGR) is a useful measure of growth over multiple time periods. It can be thought of as the growth rate that gets you from the initial investment value to the ending investment value if you assume that the investment has been compounding over the time period.'

• Looking at the annual performance (CAGR) of 19.2% in the last 5 years of NetApp, we see it is relatively higher, thus better in comparison to the benchmark SPY (15.1%)
• Looking at compounded annual growth rate (CAGR) in of 11.4% in the period of the last 3 years, we see it is relatively greater, thus better in comparison to SPY (9.6%).

Volatility:

'In finance, volatility (symbol σ) is the degree of variation of a trading price series over time as measured by the standard deviation of logarithmic returns. Historic volatility measures a time series of past market prices. Implied volatility looks forward in time, being derived from the market price of a market-traded derivative (in particular, an option). Commonly, the higher the volatility, the riskier the security.'

• Compared with the benchmark SPY (20.9%) in the period of the last 5 years, the volatility of 35.8% of NetApp is larger, thus worse.
• During the last 3 years, the historical 30 days volatility is 30.5%, which is larger, thus worse than the value of 17.6% from the benchmark.

DownVol:

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

• The downside volatility over 5 years of NetApp is 24.2%, which is greater, thus worse compared to the benchmark SPY (14.9%) in the same period.
• During the last 3 years, the downside volatility is 19.5%, which is greater, thus worse than the value of 12.4% 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.'

• Looking at the ratio of return and volatility (Sharpe) of 0.47 in the last 5 years of NetApp, we see it is relatively smaller, thus worse in comparison to the benchmark SPY (0.6)
• Looking at risk / return profile (Sharpe) in of 0.29 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (0.4).

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.'

• The downside risk / excess return profile over 5 years of NetApp is 0.69, which is smaller, thus worse compared to the benchmark SPY (0.84) in the same period.
• Compared with SPY (0.57) in the period of the last 3 years, the excess return divided by the downside deviation of 0.45 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.'

• Looking at the Ulcer Index of 20 in the last 5 years of NetApp, we see it is relatively higher, thus worse in comparison to the benchmark SPY (9.32 )
• During the last 3 years, the Ulcer Ratio is 19 , which is larger, thus worse than the value of 10 from the benchmark.

MaxDD:

'A maximum drawdown is the maximum loss from a peak to a trough of a portfolio, before a new peak is attained. Maximum Drawdown is an indicator of downside risk over a specified time period. It can be used both as a stand-alone measure or as an input into other metrics such as 'Return over Maximum Drawdown' and the Calmar Ratio. Maximum Drawdown is expressed in percentage terms.'

• Compared with the benchmark SPY (-33.7 days) in the period of the last 5 years, the maximum reduction from previous high of -45.9 days of NetApp is lower, thus worse.
• During the last 3 years, the maximum drop from peak to valley is -37.7 days, which is lower, thus worse than the value of -24.5 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) in days.'

• Compared with the benchmark SPY (488 days) in the period of the last 5 years, the maximum days under water of 471 days of NetApp is lower, thus better.
• Compared with SPY (488 days) in the period of the last 3 years, the maximum time in days below previous high water mark of 471 days is lower, thus better.

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 NetApp is 124 days, which is larger, thus worse compared to the benchmark SPY (123 days) in the same period.
• Looking at average time in days below previous high water mark in of 161 days in the period of the last 3 years, we see it is relatively lower, thus better in comparison to SPY (177 days).