Texas Instruments (TXN)

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.'

• Compared with the benchmark SPY (88%) in the period of the last 5 years, the total return, or performance of 238% of Texas Instruments is higher, thus better.
• Looking at total return, or performance in of 70% in the period of the last 3 years, we see it is relatively larger, thus better in comparison to SPY (39.5%).

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 (13.5%) in the period of the last 5 years, the annual return (CAGR) of 27.6% of Texas Instruments is higher, thus better.
• During the last 3 years, the annual return (CAGR) is 19.3%, which is higher, thus better than the value of 11.7% 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.'

• The 30 days standard deviation over 5 years of Texas Instruments is 29.4%, which is higher, thus worse compared to the benchmark SPY (18.8%) in the same period.
• Looking at historical 30 days volatility in of 33.7% in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to SPY (22.3%).

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.'

• The downside risk over 5 years of Texas Instruments is 20.1%, which is greater, thus worse compared to the benchmark SPY (13.7%) in the same period.
• Compared with SPY (16.5%) in the period of the last 3 years, the downside deviation of 23.5% 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 Sharpe Ratio of 0.85 in the last 5 years of Texas Instruments, we see it is relatively larger, thus better in comparison to the benchmark SPY (0.58)
• Looking at risk / return profile (Sharpe) in of 0.5 in the period of the last 3 years, we see it is relatively higher, thus better in comparison to SPY (0.41).

Sortino:

'The Sortino ratio, a variation of the Sharpe ratio only factors in the downside, or negative volatility, rather than the total volatility used in calculating the Sharpe ratio. The theory behind the Sortino variation is that upside volatility is a plus for the investment, and it, therefore, should not be included in the risk calculation. Therefore, the Sortino ratio takes upside volatility out of the equation and uses only the downside standard deviation in its calculation instead of the total standard deviation that is used in calculating the Sharpe ratio.'

• Looking at the ratio of annual return and downside deviation of 1.25 in the last 5 years of Texas Instruments, we see it is relatively larger, thus better in comparison to the benchmark SPY (0.8)
• Looking at excess return divided by the downside deviation in of 0.72 in the period of the last 3 years, we see it is relatively greater, thus better in comparison to SPY (0.56).

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 Ulcer Ratio of 8.13 in the last 5 years of Texas Instruments, we see it is relatively larger, thus worse in comparison to the benchmark SPY (5.79 )
• During the last 3 years, the Ulcer Ratio is 9.83 , which is larger, thus worse than the value of 7.08 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.'

• Looking at the maximum drop from peak to valley of -29.9 days in the last 5 years of Texas Instruments, we see it is relatively greater, thus better in comparison to the benchmark SPY (-33.7 days)
• During the last 3 years, the maximum DrawDown is -29.9 days, which is higher, thus better 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). 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'

• Looking at the maximum days below previous high of 306 days in the last 5 years of Texas Instruments, we see it is relatively larger, thus worse in comparison to the benchmark SPY (139 days)
• During the last 3 years, the maximum time in days below previous high water mark is 306 days, which is larger, thus worse than the value of 139 days from the benchmark.

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 Texas Instruments is 59 days, which is greater, thus worse compared to the benchmark SPY (37 days) in the same period.
• Looking at average days under water in of 81 days in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to SPY (45 days).