Description of NXP Semiconductors N.V.

NXP Semiconductors N.V. - Common Stock

Statistics of NXP Semiconductors N.V. (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.'

Which means for our asset as example:
  • Compared with the benchmark SPY (68.2%) in the period of the last 5 years, the total return, or increase in value of 58.9% of NXP Semiconductors N.V. is lower, thus worse.
  • Looking at total return in of 14.1% in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (47.7%).

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.'

Applying this definition to our asset in some examples:
  • Looking at the annual performance (CAGR) of 9.7% in the last 5 years of NXP Semiconductors N.V., we see it is relatively smaller, thus worse in comparison to the benchmark SPY (11%)
  • Looking at compounded annual growth rate (CAGR) in of 4.5% in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (13.9%).

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.'

Which means for our asset as example:
  • Compared with the benchmark SPY (13.2%) in the period of the last 5 years, the 30 days standard deviation of 35.2% of NXP Semiconductors N.V. is larger, thus worse.
  • Looking at historical 30 days volatility in of 29.7% in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to SPY (12.4%).

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.'

Applying this definition to our asset in some examples:
  • Looking at the downside volatility of 35% in the last 5 years of NXP Semiconductors N.V., we see it is relatively higher, thus worse in comparison to the benchmark SPY (14.6%)
  • Looking at downside risk in of 27.6% in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to SPY (14%).

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 (0.64) in the period of the last 5 years, the ratio of return and volatility (Sharpe) of 0.2 of NXP Semiconductors N.V. is smaller, thus worse.
  • Looking at ratio of return and volatility (Sharpe) in of 0.07 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (0.92).

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.'

Using this definition on our asset we see for example:
  • Compared with the benchmark SPY (0.58) in the period of the last 5 years, the ratio of annual return and downside deviation of 0.21 of NXP Semiconductors N.V. is lower, thus worse.
  • Looking at excess return divided by the downside deviation in of 0.07 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (0.81).

Ulcer:

'Ulcer Index is a method for measuring investment risk that addresses the real concerns of investors, unlike the widely used standard deviation of return. UI is a measure of the depth and duration of drawdowns in prices from earlier highs. Using Ulcer Index instead of standard deviation can lead to very different conclusions about investment risk and risk-adjusted return, especially when evaluating strategies that seek to avoid major declines in portfolio value (market timing, dynamic asset allocation, hedge funds, etc.). The Ulcer Index was originally developed in 1987. Since then, it has been widely recognized and adopted by the investment community. According to Nelson Freeburg, editor of Formula Research, Ulcer Index is “perhaps the most fully realized statistical portrait of risk there is.'

Using this definition on our asset we see for example:
  • The Ulcer Ratio over 5 years of NXP Semiconductors N.V. is 18 , which is larger, thus better compared to the benchmark SPY (3.95 ) in the same period.
  • Compared with SPY (4 ) in the period of the last 3 years, the Ulcer Ratio of 16 is larger, thus better.

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.'

Which means for our asset as example:
  • Compared with the benchmark SPY (-19.3 days) in the period of the last 5 years, the maximum reduction from previous high of -45.8 days of NXP Semiconductors N.V. is smaller, thus worse.
  • Compared with SPY (-19.3 days) in the period of the last 3 years, the maximum drop from peak to valley of -45.8 days is lower, 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.'

Which means for our asset as example:
  • The maximum days under water over 5 years of NXP Semiconductors N.V. is 550 days, which is higher, thus worse compared to the benchmark SPY (187 days) in the same period.
  • Compared with SPY (131 days) in the period of the last 3 years, the maximum time in days below previous high water mark of 270 days is larger, thus worse.

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.'

Using this definition on our asset we see for example:
  • The average days below previous high over 5 years of NXP Semiconductors N.V. is 163 days, which is greater, thus worse compared to the benchmark SPY (39 days) in the same period.
  • Looking at average time in days below previous high water mark in of 71 days in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to SPY (33 days).

Performance of NXP Semiconductors N.V. (YTD)

Historical returns have been extended using synthetic data.

Allocations of NXP Semiconductors N.V.
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Allocations

Returns of NXP Semiconductors N.V. (%)

  • "Year" returns in the table above are not equal to 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.