Description

Seagen Inc. - Common Stock

Statistics (YTD)

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

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.'

Which means for our asset as example:
  • Looking at the total return, or performance of 265.2% in the last 5 years of Seagen, we see it is relatively larger, thus better in comparison to the benchmark SPY (116.9%)
  • Looking at total return, or increase in value in of 189.2% in the period of the last 3 years, we see it is relatively higher, thus better in comparison to SPY (63.4%).

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.'

Using this definition on our asset we see for example:
  • Compared with the benchmark SPY (16.8%) in the period of the last 5 years, the annual performance (CAGR) of 29.6% of Seagen is greater, thus better.
  • Compared with SPY (17.8%) in the period of the last 3 years, the annual performance (CAGR) of 42.5% is larger, thus better.

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.'

Using this definition on our asset we see for example:
  • Looking at the historical 30 days volatility of 44% in the last 5 years of Seagen, we see it is relatively greater, thus worse in comparison to the benchmark SPY (18.7%)
  • Compared with SPY (22.5%) in the period of the last 3 years, the volatility of 45% is greater, thus worse.

DownVol:

'Downside risk is the financial risk associated with losses. That is, it is the risk of the actual return being below the expected return, or the uncertainty about the magnitude of that difference. 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.'

Using this definition on our asset we see for example:
  • Looking at the downside deviation of 28.7% in the last 5 years of Seagen, we see it is relatively higher, thus worse in comparison to the benchmark SPY (13.6%)
  • During the last 3 years, the downside volatility is 28.5%, which is larger, thus worse than the value of 16.3% from the benchmark.

Sharpe:

'The Sharpe ratio (also known as the Sharpe index, the Sharpe measure, and the reward-to-variability ratio) is a way to examine the performance of an investment by adjusting for its risk. The ratio measures the excess return (or risk premium) per unit of deviation in an investment asset or a trading strategy, typically referred to as risk, named after William F. Sharpe.'

Using this definition on our asset we see for example:
  • Looking at the ratio of return and volatility (Sharpe) of 0.62 in the last 5 years of Seagen, we see it is relatively lower, thus worse in comparison to the benchmark SPY (0.76)
  • Compared with SPY (0.68) in the period of the last 3 years, the ratio of return and volatility (Sharpe) of 0.89 is larger, thus better.

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 (1.05) in the period of the last 5 years, the downside risk / excess return profile of 0.95 of Seagen is smaller, thus worse.
  • Compared with SPY (0.94) in the period of the last 3 years, the excess return divided by the downside deviation of 1.4 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.'

Which means for our asset as example:
  • The Ulcer Index over 5 years of Seagen is 17 , which is greater, thus worse compared to the benchmark SPY (5.58 ) in the same period.
  • During the last 3 years, the Ulcer Ratio is 15 , which is larger, thus worse than the value of 6.83 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.'

Which means for our asset as example:
  • The maximum reduction from previous high over 5 years of Seagen is -37.7 days, which is smaller, thus worse compared to the benchmark SPY (-33.7 days) in the same period.
  • During the last 3 years, the maximum drop from peak to valley is -36.7 days, which is smaller, thus worse than the value of -33.7 days from the benchmark.

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.'

Applying this definition to our asset in some examples:
  • The maximum time in days below previous high water mark over 5 years of Seagen is 434 days, which is higher, thus worse compared to the benchmark SPY (139 days) in the same period.
  • During the last 3 years, the maximum days below previous high is 247 days, which is higher, thus worse than the value of 139 days from the benchmark.

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 Seagen is 120 days, which is higher, thus worse compared to the benchmark SPY (33 days) in the same period.
  • Looking at average days below previous high in of 67 days in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (35 days).

Performance (YTD)

Historical returns have been extended using synthetic data.

Allocations
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Allocations

Returns (%)

  • Note that yearly returns do not equal the sum of monthly returns due to compounding.
  • Performance results of Seagen 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.