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 increase in value of 739.3% in the last 5 years of NVIDIA, we see it is relatively higher, thus better in comparison to the benchmark SPY (106.8%)
• Compared with SPY (71.9%) in the period of the last 3 years, the total return, or performance of 461.2% is larger, thus better.

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.'

• Compared with the benchmark SPY (15.7%) in the period of the last 5 years, the annual performance (CAGR) of 53.1% of NVIDIA is larger, thus better.
• Looking at annual return (CAGR) in of 77.7% in the period of the last 3 years, we see it is relatively greater, thus better in comparison to SPY (19.8%).

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.'

• Looking at the volatility of 47.3% in the last 5 years of NVIDIA, we see it is relatively greater, thus worse in comparison to the benchmark SPY (18.9%)
• During the last 3 years, the volatility is 48.2%, which is higher, thus worse than the value of 21.9% from the benchmark.

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.'

• Compared with the benchmark SPY (13.8%) in the period of the last 5 years, the downside deviation of 32.5% of NVIDIA is larger, thus worse.
• During the last 3 years, the downside volatility is 32%, which is greater, thus worse than the value of 15.9% 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 (0.69) in the period of the last 5 years, the ratio of return and volatility (Sharpe) of 1.07 of NVIDIA is greater, thus better.
• Looking at ratio of return and volatility (Sharpe) in of 1.56 in the period of the last 3 years, we see it is relatively higher, thus better in comparison to SPY (0.79).

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.'

• Compared with the benchmark SPY (0.95) in the period of the last 5 years, the ratio of annual return and downside deviation of 1.56 of NVIDIA is higher, thus better.
• Compared with SPY (1.09) in the period of the last 3 years, the ratio of annual return and downside deviation of 2.35 is higher, thus better.

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.'

• Compared with the benchmark SPY (5.61 ) in the period of the last 5 years, the Ulcer Index of 21 of NVIDIA is greater, thus worse.
• During the last 3 years, the Downside risk index is 10 , which is higher, thus worse than the value of 6.08 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.'

• 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.
• Looking at maximum reduction from previous high in of -37.6 days in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (-33.7 days).

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.'

• Looking at the maximum days below previous high of 344 days in the last 5 years of NVIDIA, we see it is relatively greater, thus worse in comparison to the benchmark SPY (139 days)
• Looking at maximum days under water in of 129 days in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to SPY (119 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.'

• The average time in days below previous high water mark over 5 years of NVIDIA is 65 days, which is higher, thus worse compared to the benchmark SPY (32 days) in the same period.
• Looking at average days under water in of 27 days in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to SPY (22 days).