Take-Two Interactive (TTWO)

TotalReturn:

'Total return is the amount of value an investor earns from a security over a specific period, typically one year, when all distributions are reinvested. Total return is expressed as a percentage of the amount invested. For example, a total return of 20% means the security increased by 20% of its original value due to a price increase, distribution of dividends (if a stock), coupons (if a bond) or capital gains (if a fund). Total return is a strong measure of an investment’s overall performance.'

• The total return, or increase in value over 5 years of Take-Two Interactive is 13.2%, which is lower, thus worse compared to the benchmark SPY (61.3%) in the same period.
• Compared with SPY (31.6%) in the period of the last 3 years, the total return of -7.9% is lower, 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.'

• The annual performance (CAGR) over 5 years of Take-Two Interactive is 2.5%, which is smaller, thus worse compared to the benchmark SPY (10%) in the same period.
• During the last 3 years, the annual performance (CAGR) is -2.7%, which is smaller, thus worse than the value of 9.6% from the benchmark.

Volatility:

'Volatility is a rate at which the price of a security increases or decreases for a given set of returns. Volatility is measured by calculating the standard deviation of the annualized returns over a given period of time. It shows the range to which the price of a security may increase or decrease. Volatility measures the risk of a security. It is used in option pricing formula to gauge the fluctuations in the returns of the underlying assets. Volatility indicates the pricing behavior of the security and helps estimate the fluctuations that may happen in a short period of time.'

• Looking at the volatility of 37.8% in the last 5 years of Take-Two Interactive, we see it is relatively larger, thus worse in comparison to the benchmark SPY (20.8%)
• Compared with SPY (24%) in the period of the last 3 years, the volatility of 37.4% is larger, thus worse.

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.'

• The downside volatility over 5 years of Take-Two Interactive is 27.1%, which is larger, thus worse compared to the benchmark SPY (15.3%) in the same period.
• Compared with SPY (17.6%) in the period of the last 3 years, the downside volatility of 27% is larger, thus worse.

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.'

• Looking at the ratio of return and volatility (Sharpe) of 0 in the last 5 years of Take-Two Interactive, we see it is relatively lower, thus worse in comparison to the benchmark SPY (0.36)
• Compared with SPY (0.3) in the period of the last 3 years, the risk / return profile (Sharpe) of -0.14 is lower, thus worse.

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 excess return divided by the downside deviation of 0 in the last 5 years of Take-Two Interactive, we see it is relatively smaller, thus worse in comparison to the benchmark SPY (0.49)
• Compared with SPY (0.4) in the period of the last 3 years, the downside risk / excess return profile of -0.19 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.'

• Compared with the benchmark SPY (7.61 ) in the period of the last 5 years, the Downside risk index of 20 of Take-Two Interactive is higher, thus worse.
• Compared with SPY (8.93 ) in the period of the last 3 years, the Ulcer Ratio of 22 is greater, thus worse.

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.'

• The maximum reduction from previous high over 5 years of Take-Two Interactive is -51.4 days, which is lower, thus worse compared to the benchmark SPY (-33.7 days) in the same period.
• During the last 3 years, the maximum DrawDown is -51.4 days, which is smaller, thus worse than the value of -33.7 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 Take-Two Interactive is 413 days, which is higher, thus worse compared to the benchmark SPY (185 days) in the same period.
• During the last 3 years, the maximum days below previous high is 413 days, which is greater, thus worse than the value of 185 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.'

• Looking at the average days under water of 151 days in the last 5 years of Take-Two Interactive, we see it is relatively higher, thus worse in comparison to the benchmark SPY (46 days)
• Looking at average days under water in of 132 days in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to SPY (44 days).