Description

Seagen Inc. - Common Stock

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.'

Applying this definition to our asset in some examples:
  • Looking at the total return, or increase in value of 275% in the last 5 years of Seagen, we see it is relatively greater, thus better in comparison to the benchmark SPY (97.4%)
  • During the last 3 years, the total return is 19.6%, which is lower, thus worse than the value of 44.7% 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.'

Which means for our asset as example:
  • The annual performance (CAGR) over 5 years of Seagen is 30.3%, which is greater, thus better compared to the benchmark SPY (14.6%) in the same period.
  • Compared with SPY (13.2%) in the period of the last 3 years, the annual return (CAGR) of 6.2% is lower, thus worse.

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:
  • The historical 30 days volatility over 5 years of Seagen is 40.7%, which is larger, thus worse compared to the benchmark SPY (21%) in the same period.
  • Looking at historical 30 days volatility in of 36.1% in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to SPY (17.4%).

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.'

Applying this definition to our asset in some examples:
  • Looking at the downside risk of 25.3% in the last 5 years of Seagen, we see it is relatively larger, thus worse in comparison to the benchmark SPY (15%)
  • Looking at downside deviation in of 23.5% in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (12.1%).

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.'

Applying this definition to our asset in some examples:
  • Compared with the benchmark SPY (0.58) in the period of the last 5 years, the risk / return profile (Sharpe) of 0.68 of Seagen is larger, thus better.
  • Compared with SPY (0.61) in the period of the last 3 years, the risk / return profile (Sharpe) of 0.1 is smaller, thus worse.

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.'

Which means for our asset as example:
  • The ratio of annual return and downside deviation over 5 years of Seagen is 1.1, which is higher, thus better compared to the benchmark SPY (0.8) in the same period.
  • Looking at ratio of annual return and downside deviation in of 0.16 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (0.88).

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.'

Using this definition on our asset we see for example:
  • Looking at the Ulcer Ratio of 21 in the last 5 years of Seagen, we see it is relatively larger, thus worse in comparison to the benchmark SPY (9.33 )
  • Looking at Downside risk index in of 23 in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to SPY (8.63 ).

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.'

Using this definition on our asset we see for example:
  • Looking at the maximum reduction from previous high of -48.7 days in the last 5 years of Seagen, we see it is relatively smaller, thus worse in comparison to the benchmark SPY (-33.7 days)
  • Compared with SPY (-22.1 days) in the period of the last 3 years, the maximum drop from peak to valley of -45.9 days is smaller, thus worse.

MaxDuration:

'The Drawdown Duration is the length of any peak to peak period, or the time between new equity highs. The Max Drawdown Duration is the worst (the maximum/longest) amount of time an investment has seen between peaks (equity highs) in days.'

Using this definition on our asset we see for example:
  • The maximum time in days below previous high water mark over 5 years of Seagen is 739 days, which is higher, thus worse compared to the benchmark SPY (488 days) in the same period.
  • During the last 3 years, the maximum days below previous high is 569 days, which is higher, thus worse than the value of 325 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.'

Applying this definition to our asset in some examples:
  • Looking at the average days under water of 241 days in the last 5 years of Seagen, we see it is relatively larger, thus worse in comparison to the benchmark SPY (122 days)
  • Looking at average days below previous high in of 229 days in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to SPY (89 days).

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 Seagen are hypothetical and do not account for slippage, fees or taxes.