Seagate Technology (STX)

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.'

• Compared with the benchmark SPY (57.1%) in the period of the last 5 years, the total return, or increase in value of 71.8% of Seagate Technology is greater, thus better.
• Looking at total return, or increase in value in of 50.9% in the period of the last 3 years, we see it is relatively larger, thus better in comparison to SPY (32%).

CAGR:

'The compound annual growth rate (CAGR) is a useful measure of growth over multiple time periods. It can be thought of as the growth rate that gets you from the initial investment value to the ending investment value if you assume that the investment has been compounding over the time period.'

• Compared with the benchmark SPY (9.5%) in the period of the last 5 years, the annual performance (CAGR) of 11.5% of Seagate Technology is greater, thus better.
• Looking at annual performance (CAGR) in of 14.7% in the period of the last 3 years, we see it is relatively larger, thus better in comparison to SPY (9.7%).

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.'

• Compared with the benchmark SPY (21.5%) in the period of the last 5 years, the 30 days standard deviation of 39.2% of Seagate Technology is greater, thus worse.
• During the last 3 years, the 30 days standard deviation is 39%, which is greater, thus worse than the value of 17.9% from the benchmark.

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.'

• Compared with the benchmark SPY (15.5%) in the period of the last 5 years, the downside risk of 27.4% of Seagate Technology is greater, thus worse.
• Looking at downside deviation in of 26.6% in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to SPY (12.5%).

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.'

• Compared with the benchmark SPY (0.32) in the period of the last 5 years, the risk / return profile (Sharpe) of 0.23 of Seagate Technology is lower, thus worse.
• Looking at risk / return profile (Sharpe) in of 0.31 in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (0.41).

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.'

• Looking at the downside risk / excess return profile of 0.33 in the last 5 years of Seagate Technology, we see it is relatively lower, thus worse in comparison to the benchmark SPY (0.45)
• During the last 3 years, the downside risk / excess return profile is 0.46, which is lower, thus worse than the value of 0.58 from the benchmark.

Ulcer:

'The Ulcer Index is a technical indicator that measures downside risk, in terms of both the depth and duration of price declines. The index increases in value as the price moves farther away from a recent high and falls as the price rises to new highs. The indicator is usually calculated over a 14-day period, with the Ulcer Index showing the percentage drawdown a trader can expect from the high over that period. The greater the value of the Ulcer Index, the longer it takes for a stock to get back to the former high.'

• Compared with the benchmark SPY (9.57 ) in the period of the last 5 years, the Downside risk index of 26 of Seagate Technology is greater, thus worse.
• During the last 3 years, the Ulcer Ratio is 31 , which is higher, thus worse than the value of 10 from the benchmark.

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.'

• Looking at the maximum drop from peak to valley of -57 days in the last 5 years of Seagate Technology, we see it is relatively lower, thus worse in comparison to the benchmark SPY (-33.7 days)
• Compared with SPY (-24.5 days) in the period of the last 3 years, the maximum DrawDown of -57 days is lower, 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.'

• The maximum days under water over 5 years of Seagate Technology is 438 days, which is lower, thus better compared to the benchmark SPY (439 days) in the same period.
• During the last 3 years, the maximum days below previous high is 438 days, which is smaller, thus better than the value of 439 days from the benchmark.

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 days under water over 5 years of Seagate Technology is 117 days, which is greater, thus worse compared to the benchmark SPY (106 days) in the same period.
• Compared with SPY (149 days) in the period of the last 3 years, the average days below previous high of 151 days is greater, thus worse.