Skyworks Solutions (SWKS)

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.'

• Looking at the total return, or increase in value of 21.2% in the last 5 years of Skyworks Solutions, we see it is relatively lower, thus worse in comparison to the benchmark SPY (68.1%)
• Compared with SPY (47%) in the period of the last 3 years, the total return of 1.9% is smaller, thus worse.

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 (11%) in the period of the last 5 years, the annual performance (CAGR) of 3.9% of Skyworks Solutions is smaller, thus worse.
• Looking at compounded annual growth rate (CAGR) in of 0.6% in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (13.7%).

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.'

• Compared with the benchmark SPY (21.4%) in the period of the last 5 years, the volatility of 41.8% of Skyworks Solutions is larger, thus worse.
• Looking at historical 30 days volatility in of 46.3% in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to SPY (18.7%).

DownVol:

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

• Looking at the downside volatility of 28.9% in the last 5 years of Skyworks Solutions, we see it is relatively greater, thus worse in comparison to the benchmark SPY (15.4%)
• During the last 3 years, the downside volatility is 31.9%, which is higher, thus worse than the value of 13.3% 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.'

• Compared with the benchmark SPY (0.4) in the period of the last 5 years, the risk / return profile (Sharpe) of 0.03 of Skyworks Solutions is lower, thus worse.
• During the last 3 years, the risk / return profile (Sharpe) is -0.04, which is lower, thus worse than the value of 0.6 from the benchmark.

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.'

• Looking at the excess return divided by the downside deviation of 0.05 in the last 5 years of Skyworks Solutions, we see it is relatively smaller, thus worse in comparison to the benchmark SPY (0.55)
• Compared with SPY (0.84) in the period of the last 3 years, the ratio of annual return and downside deviation of -0.06 is lower, thus worse.

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.'

• Looking at the Downside risk index of 28 in the last 5 years of Skyworks Solutions, we see it is relatively greater, thus worse in comparison to the benchmark SPY (9.45 )
• Looking at Downside risk index in of 29 in the period of the last 3 years, we see it is relatively larger, 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.'

• Compared with the benchmark SPY (-33.7 days) in the period of the last 5 years, the maximum reduction from previous high of -59.2 days of Skyworks Solutions is lower, thus worse.
• During the last 3 years, the maximum drop from peak to valley is -59.2 days, which is smaller, thus worse than the value of -24.5 days from the benchmark.

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 Skyworks Solutions is 458 days, which is larger, thus worse compared to the benchmark SPY (351 days) in the same period.
• Compared with SPY (351 days) in the period of the last 3 years, the maximum days under water of 458 days is higher, thus worse.

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.'

• Compared with the benchmark SPY (78 days) in the period of the last 5 years, the average days below previous high of 174 days of Skyworks Solutions is greater, thus worse.
• Looking at average days under water in of 152 days in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to SPY (101 days).