NVIDIA (NVDA)

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.'

• Looking at the total return, or performance of 365.5% in the last 5 years of NVIDIA, we see it is relatively greater, thus better in comparison to the benchmark SPY (75.6%)
• During the last 3 years, the total return, or performance is 315.3%, which is larger, thus better than the value of 40% 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.'

• Looking at the annual return (CAGR) of 36.1% in the last 5 years of NVIDIA, we see it is relatively higher, thus better in comparison to the benchmark SPY (11.9%)
• During the last 3 years, the compounded annual growth rate (CAGR) is 60.8%, which is greater, thus better than the value of 11.9% from the benchmark.

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.'

• Looking at the volatility of 49.6% in the last 5 years of NVIDIA, we see it is relatively higher, thus worse in comparison to the benchmark SPY (20.3%)
• Looking at 30 days standard deviation in of 52.5% in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to SPY (23.6%).

DownVol:

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

• Compared with the benchmark SPY (14.9%) in the period of the last 5 years, the downside deviation of 34.5% of NVIDIA is higher, thus worse.
• Compared with SPY (17.3%) in the period of the last 3 years, the downside deviation of 34.9% is larger, thus worse.

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 (0.46) in the period of the last 5 years, the ratio of return and volatility (Sharpe) of 0.68 of NVIDIA is greater, thus better.
• During the last 3 years, the ratio of return and volatility (Sharpe) is 1.11, which is greater, thus better than the value of 0.4 from the benchmark.

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 ratio of annual return and downside deviation over 5 years of NVIDIA is 0.97, which is higher, thus better compared to the benchmark SPY (0.63) in the same period.
• During the last 3 years, the excess return divided by the downside deviation is 1.67, which is greater, thus better than the value of 0.54 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.'

• The Downside risk index over 5 years of NVIDIA is 24 , which is higher, thus worse compared to the benchmark SPY (6.62 ) in the same period.
• During the last 3 years, the Downside risk index is 16 , which is higher, thus worse than the value of 7.55 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 drop from peak to valley of -56 days of NVIDIA is smaller, thus worse.
• Compared with SPY (-33.7 days) in the period of the last 3 years, the maximum DrawDown of -53.2 days is smaller, thus worse.

MaxDuration:

'The Maximum 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. It is the length of time the account was in the Max Drawdown. A Max Drawdown measures a retrenchment from when an equity curve reaches a new high. It’s the maximum an account lost during that retrenchment. This method is applied because a valley can’t be measured until a new high occurs. Once the new high is reached, the percentage change from the old high to the bottom of the largest trough is recorded.'

• The maximum days below previous high over 5 years of NVIDIA is 344 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 144 days in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to SPY (120 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.'

• Compared with the benchmark SPY (37 days) in the period of the last 5 years, the average days below previous high of 71 days of NVIDIA is larger, thus worse.
• Looking at average time in days below previous high water mark in of 29 days in the period of the last 3 years, we see it is relatively lower, thus better in comparison to SPY (31 days).