Skyworks Solutions (SWKS)

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.'

• The total return, or performance over 5 years of Skyworks Solutions is 28.1%, which is lower, thus worse compared to the benchmark SPY (86.8%) in the same period.
• During the last 3 years, the total return, or performance is -42.5%, which is lower, thus worse than the value of 26.3% 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.'

• Looking at the compounded annual growth rate (CAGR) of 5.1% in the last 5 years of Skyworks Solutions, we see it is relatively lower, thus worse in comparison to the benchmark SPY (13.3%)
• During the last 3 years, the annual return (CAGR) is -16.9%, which is smaller, thus worse than the value of 8.1% from the benchmark.

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.'

• Looking at the volatility of 40.8% in the last 5 years of Skyworks Solutions, we see it is relatively higher, thus worse in comparison to the benchmark SPY (20.9%)
• During the last 3 years, the historical 30 days volatility is 35%, which is greater, thus worse than the value of 17.3% from the benchmark.

DownVol:

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

• Looking at the downside risk of 28.2% in the last 5 years of Skyworks Solutions, we see it is relatively larger, thus worse in comparison to the benchmark SPY (15%)
• Looking at downside risk in of 25% in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to SPY (12.1%).

Sharpe:

'The Sharpe ratio is the measure of risk-adjusted return of a financial portfolio. Sharpe ratio is a measure of excess portfolio return over the risk-free rate relative to its standard deviation. Normally, the 90-day Treasury bill rate is taken as the proxy for risk-free rate. A portfolio with a higher Sharpe ratio is considered superior relative to its peers. The measure was named after William F Sharpe, a Nobel laureate and professor of finance, emeritus at Stanford University.'

• The risk / return profile (Sharpe) over 5 years of Skyworks Solutions is 0.06, which is lower, thus worse compared to the benchmark SPY (0.52) in the same period.
• During the last 3 years, the risk / return profile (Sharpe) is -0.55, which is lower, thus worse than the value of 0.32 from the benchmark.

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.'

• Compared with the benchmark SPY (0.72) in the period of the last 5 years, the ratio of annual return and downside deviation of 0.09 of Skyworks Solutions is lower, thus worse.
• During the last 3 years, the ratio of annual return and downside deviation is -0.77, which is lower, thus worse than the value of 0.46 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 (9.33 ) in the period of the last 5 years, the Ulcer Ratio of 32 of Skyworks Solutions is larger, thus worse.
• Looking at Ulcer Index in of 40 in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to SPY (10 ).

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 DrawDown of -59.2 days in the last 5 years of Skyworks Solutions, 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 drop from peak to valley of -59.2 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.'

• Looking at the maximum days under water of 755 days in the last 5 years of Skyworks Solutions, we see it is relatively larger, thus worse in comparison to the benchmark SPY (488 days)
• Looking at maximum time in days below previous high water mark in of 755 days in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to SPY (488 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.'

• The average days under water over 5 years of Skyworks Solutions is 249 days, which is greater, thus worse compared to the benchmark SPY (122 days) in the same period.
• Looking at average days below previous high in of 378 days in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to SPY (178 days).