Description of Seagate Technology

Seagate Technology PLC - Ordinary Shares (Ireland)

Statistics of Seagate Technology (YTD)

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TotalReturn:

'Total return, when measuring performance, is the actual rate of return of an investment or a pool of investments over a given evaluation period. Total return includes interest, capital gains, dividends and distributions realized over a given period of time. Total return accounts for two categories of return: income including interest paid by fixed-income investments, distributions or dividends and capital appreciation, representing the change in the market price of an asset.'

Using this definition on our asset we see for example:
  • Looking at the total return, or increase in value of 17.2% in the last 5 years of Seagate Technology, we see it is relatively lower, thus worse in comparison to the benchmark SPY (66.2%)
  • Looking at total return, or increase in value in of 70.9% in the period of the last 3 years, we see it is relatively greater, thus better in comparison to SPY (45.7%).

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.'

Using this definition on our asset we see for example:
  • The annual return (CAGR) over 5 years of Seagate Technology is 3.2%, which is lower, thus worse compared to the benchmark SPY (10.7%) in the same period.
  • Compared with SPY (13.4%) in the period of the last 3 years, the annual return (CAGR) of 19.6% 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.'

Applying this definition to our asset in some examples:
  • The volatility over 5 years of Seagate Technology is 40%, which is greater, thus worse compared to the benchmark SPY (13.3%) in the same period.
  • During the last 3 years, the 30 days standard deviation is 43%, which is larger, thus worse than the value of 12.5% from the benchmark.

DownVol:

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

Which means for our asset as example:
  • Compared with the benchmark SPY (14.6%) in the period of the last 5 years, the downside risk of 44.9% of Seagate Technology is larger, thus worse.
  • Looking at downside deviation in of 49.9% in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (14.1%).

Sharpe:

'The Sharpe ratio was developed by Nobel laureate William F. Sharpe, and is used to help investors understand the return of an investment compared to its risk. The ratio is the average return earned in excess of the risk-free rate per unit of volatility or total risk. Subtracting the risk-free rate from the mean return allows an investor to better isolate the profits associated with risk-taking activities. One intuition of this calculation is that a portfolio engaging in 'zero risk' investments, such as the purchase of U.S. Treasury bills (for which the expected return is the risk-free rate), has a Sharpe ratio of exactly zero. Generally, the greater the value of the Sharpe ratio, the more attractive the risk-adjusted return.'

Which means for our asset as example:
  • Looking at the risk / return profile (Sharpe) of 0.02 in the last 5 years of Seagate Technology, we see it is relatively lower, thus worse in comparison to the benchmark SPY (0.62)
  • Looking at Sharpe Ratio in of 0.4 in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (0.87).

Sortino:

'The Sortino ratio measures the risk-adjusted return of an investment asset, portfolio, or strategy. It is a modification of the Sharpe ratio but penalizes only those returns falling below a user-specified target or required rate of return, while the Sharpe ratio penalizes both upside and downside volatility equally. Though both ratios measure an investment's risk-adjusted return, they do so in significantly different ways that will frequently lead to differing conclusions as to the true nature of the investment's return-generating efficiency. The Sortino ratio is used as a way to compare the risk-adjusted performance of programs with differing risk and return profiles. In general, risk-adjusted returns seek to normalize the risk across programs and then see which has the higher return unit per risk.'

Which means for our asset as example:
  • Looking at the downside risk / excess return profile of 0.02 in the last 5 years of Seagate Technology, we see it is relatively lower, thus worse in comparison to the benchmark SPY (0.56)
  • During the last 3 years, the ratio of annual return and downside deviation is 0.34, which is smaller, thus worse than the value of 0.77 from the benchmark.

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.'

Which means for our asset as example:
  • Compared with the benchmark SPY (3.96 ) in the period of the last 5 years, the Ulcer Ratio of 32 of Seagate Technology is higher, thus better.
  • During the last 3 years, the Ulcer Index is 20 , which is higher, thus better than the value of 4.01 from the benchmark.

MaxDD:

'Maximum drawdown measures the loss in any losing period during a fund’s investment record. It is defined as the percent retrenchment from a fund’s peak value to the fund’s valley value. The drawdown is in effect from the time the fund’s retrenchment begins until a new fund high is reached. The maximum drawdown encompasses both the period from the fund’s peak to the fund’s valley (length), and the time from the fund’s valley to a new fund high (recovery). It measures the largest percentage drawdown that has occurred in any fund’s data record.'

Applying this definition to our asset in some examples:
  • Compared with the benchmark SPY (-19.3 days) in the period of the last 5 years, the maximum DrawDown of -70 days of Seagate Technology is lower, thus worse.
  • Looking at maximum DrawDown in of -44.8 days in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (-19.3 days).

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.'

Which means for our asset as example:
  • Looking at the maximum time in days below previous high water mark of 804 days in the last 5 years of Seagate Technology, we see it is relatively higher, thus worse in comparison to the benchmark SPY (187 days)
  • Looking at maximum time in days below previous high water mark in of 234 days in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to SPY (131 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.'

Applying this definition to our asset in some examples:
  • The average days below previous high over 5 years of Seagate Technology is 290 days, which is larger, thus worse compared to the benchmark SPY (39 days) in the same period.
  • Compared with SPY (34 days) in the period of the last 3 years, the average days below previous high of 73 days is larger, thus worse.

Performance of Seagate Technology (YTD)

Historical returns have been extended using synthetic data.

Allocations of Seagate Technology
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Allocations

Returns of Seagate Technology (%)

  • "Year" returns in the table above are not equal to the sum of monthly returns due to compounding.
  • Performance results of Seagate Technology 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.