Description

NXP Semiconductors N.V. offers various semiconductor products. The company's product portfolio includes microcontrollers; application processors including i.MX application processors and i.MX 8 family of applications processors ; communication processors; wireless connectivity solutions, such as Near Field Communications, Ultra-wideband, Bluetooth low-energy, Zigbee, and Wi-Fi and Wi-Fi/Bluetooth integrated SoCs; analog and interface devices; Radio Frequency power amplifiers; and security controllers, as well as semiconductor-based environmental and inertial sensors, including pressure, inertial, magnetic, and gyroscopic sensors. Its product solutions are used in a range of applications, including automotive, industrial and Internet of Things, mobile, and communication infrastructure. The company markets its products to various original equipment manufacturers, original design manufacturers, contract manufacturers, and distributors. It operates is China, the Netherlands, the United States, Singapore, Germany, Japan, South Korea, Malaysia, and internationally. The company was formerly known as KASLION Acquisition B.V and changed its name to NXP Semiconductors N.V. in May 2010. NXP Semiconductors N.V. was founded in 2006 and is headquartered in Eindhoven, the Netherlands.

Statistics (YTD)

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

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.'

Which means for our asset as example:
  • Compared with the benchmark SPY (61.3%) in the period of the last 5 years, the total return of 46.7% of NXP Semiconductors N.V. is lower, thus worse.
  • Looking at total return, or performance in of 53.2% in the period of the last 3 years, we see it is relatively higher, thus better in comparison to SPY (31.6%).

CAGR:

'The compound annual growth rate isn't a true return rate, but rather a representational figure. It is essentially a number that describes the rate at which an investment would have grown if it had grown the same rate every year and the profits were reinvested at the end of each year. In reality, this sort of performance is unlikely. However, CAGR can be used to smooth returns so that they may be more easily understood when compared to alternative investments.'

Which means for our asset as example:
  • The compounded annual growth rate (CAGR) over 5 years of NXP Semiconductors N.V. is 8%, which is lower, thus worse compared to the benchmark SPY (10%) in the same period.
  • Compared with SPY (9.6%) in the period of the last 3 years, the compounded annual growth rate (CAGR) of 15.3% is larger, 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.'

Applying this definition to our asset in some examples:
  • The 30 days standard deviation over 5 years of NXP Semiconductors N.V. is 43.4%, which is higher, thus worse compared to the benchmark SPY (20.8%) in the same period.
  • Compared with SPY (24%) in the period of the last 3 years, the historical 30 days volatility of 47.7% is greater, thus worse.

DownVol:

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

Using this definition on our asset we see for example:
  • Compared with the benchmark SPY (15.3%) in the period of the last 5 years, the downside volatility of 29.9% of NXP Semiconductors N.V. is greater, thus worse.
  • Compared with SPY (17.6%) in the period of the last 3 years, the downside risk of 33.2% is greater, 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.'

Applying this definition to our asset in some examples:
  • Compared with the benchmark SPY (0.36) in the period of the last 5 years, the Sharpe Ratio of 0.13 of NXP Semiconductors N.V. is lower, thus worse.
  • During the last 3 years, the Sharpe Ratio is 0.27, which is lower, thus worse than the value of 0.3 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.'

Applying this definition to our asset in some examples:
  • Compared with the benchmark SPY (0.49) in the period of the last 5 years, the excess return divided by the downside deviation of 0.18 of NXP Semiconductors N.V. is lower, thus worse.
  • Compared with SPY (0.4) in the period of the last 3 years, the excess return divided by the downside deviation of 0.38 is smaller, 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.'

Applying this definition to our asset in some examples:
  • Looking at the Ulcer Index of 19 in the last 5 years of NXP Semiconductors N.V., we see it is relatively higher, thus worse in comparison to the benchmark SPY (7.61 )
  • Looking at Downside risk index in of 17 in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to SPY (8.93 ).

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.'

Using this definition on our asset we see for example:
  • Looking at the maximum DrawDown of -53.3 days in the last 5 years of NXP Semiconductors N.V., we see it is relatively lower, thus worse in comparison to the benchmark SPY (-33.7 days)
  • Looking at maximum DrawDown in of -53.3 days in the period of the last 3 years, we see it is relatively lower, 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.'

Which means for our asset as example:
  • The maximum time in days below previous high water mark over 5 years of NXP Semiconductors N.V. is 454 days, which is greater, thus worse compared to the benchmark SPY (185 days) in the same period.
  • Looking at maximum days under water in of 203 days in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to SPY (185 days).

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.'

Which means for our asset as example:
  • The average days below previous high over 5 years of NXP Semiconductors N.V. is 124 days, which is greater, thus worse compared to the benchmark SPY (46 days) in the same period.
  • During the last 3 years, the average days below previous high is 60 days, which is higher, thus worse than the value of 44 days from the benchmark.

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 NXP Semiconductors N.V. 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.