Description

Seagate Technology plc provides data storage technology and solutions in Singapore, the United States, the Netherlands, and internationally. The company offers hard disk and solid state drives, including serial advanced technology attachment, serial attached SCSI, and non-volatile memory express products; solid state hybrid drives; and storage subsystems. Its products are used in enterprise servers and storage systems; and edge compute and non-compute applications. The company also provides enterprise data solutions portfolio comprising storage subsystems for enterprises, cloud service providers, and scale-out storage servers and original equipment manufacturers (OEMs). In addition, it offers external storage solutions under the Seagate Backup Plus and Expansion product lines, as well as under the LaCie and Maxtor brands in capacities up to 168TB. The company sells its products primarily to OEMs, distributors, and retailers. Seagate Technology plc was founded in 1978 and is based in Dublin, Ireland.

Statistics (YTD)

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

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.'

Applying this definition to our asset in some examples:
  • Compared with the benchmark SPY (115.1%) in the period of the last 5 years, the total return, or performance of 278.6% of Seagate Technology is larger, thus better.
  • During the last 3 years, the total return, or performance is 141.3%, which is greater, thus better than the value of 71.1% from the benchmark.

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.'

Which means for our asset as example:
  • Compared with the benchmark SPY (16.6%) in the period of the last 5 years, the compounded annual growth rate (CAGR) of 30.6% of Seagate Technology is larger, thus better.
  • Looking at annual performance (CAGR) in of 34.3% in the period of the last 3 years, we see it is relatively larger, thus better in comparison to SPY (19.7%).

Volatility:

'Volatility is a statistical measure of the dispersion of returns for a given security or market index. Volatility can either be measured by using the standard deviation or variance between returns from that same security or market index. Commonly, the higher the volatility, the riskier the security. In the securities markets, volatility is often associated with big swings in either direction. For example, when the stock market rises and falls more than one percent over a sustained period of time, it is called a 'volatile' market.'

Which means for our asset as example:
  • Compared with the benchmark SPY (17.5%) in the period of the last 5 years, the volatility of 37.8% of Seagate Technology is larger, thus worse.
  • During the last 3 years, the historical 30 days volatility is 38.2%, which is greater, thus worse than the value of 17.5% from the benchmark.

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.'

Using this definition on our asset we see for example:
  • The downside deviation over 5 years of Seagate Technology is 25.7%, which is greater, thus worse compared to the benchmark SPY (12.1%) in the same period.
  • During the last 3 years, the downside volatility is 26.1%, which is larger, thus worse than the value of 11.5% 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.'

Which means for our asset as example:
  • The risk / return profile (Sharpe) over 5 years of Seagate Technology is 0.74, which is lower, thus worse compared to the benchmark SPY (0.8) in the same period.
  • Looking at Sharpe Ratio in of 0.83 in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (0.98).

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.'

Applying this definition to our asset in some examples:
  • Looking at the ratio of annual return and downside deviation of 1.09 in the last 5 years of Seagate Technology, we see it is relatively lower, thus worse in comparison to the benchmark SPY (1.17)
  • During the last 3 years, the excess return divided by the downside deviation is 1.22, which is lower, thus worse than the value of 1.49 from the benchmark.

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:
  • The Downside risk index over 5 years of Seagate Technology is 26 , which is higher, thus worse compared to the benchmark SPY (8.48 ) in the same period.
  • During the last 3 years, the Downside risk index is 18 , which is larger, thus worse than the value of 5.31 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.'

Using this definition on our asset we see for example:
  • The maximum DrawDown over 5 years of Seagate Technology is -57 days, which is lower, thus worse compared to the benchmark SPY (-24.5 days) in the same period.
  • Compared with SPY (-18.8 days) in the period of the last 3 years, the maximum DrawDown of -41.3 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). Many assume Max DD Duration is the length of time between new highs during which the Max DD (magnitude) occurred. But that isn’t always the case. The Max DD duration is the longest time between peaks, period. So it could be the time when the program also had its biggest peak to valley loss (and usually is, because the program needs a long time to recover from the largest loss), but it doesn’t have to be'

Applying this definition to our asset in some examples:
  • Looking at the maximum days below previous high of 614 days in the last 5 years of Seagate Technology, we see it is relatively larger, thus worse in comparison to the benchmark SPY (488 days)
  • Looking at maximum days below previous high in of 342 days in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (199 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.'

Using this definition on our asset we see for example:
  • Compared with the benchmark SPY (120 days) in the period of the last 5 years, the average days under water of 181 days of Seagate Technology is higher, thus worse.
  • During the last 3 years, the average time in days below previous high water mark is 104 days, which is greater, thus worse than the value of 47 days from the benchmark.

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