Description

Texas Instruments Incorporated designs, manufactures, and sells semiconductors to electronics designers and manufacturers worldwide. It operates in two segments, Analog and Embedded Processing. The Analog segment offers power products to manage power requirements in various levels using battery management solutions, portable components, power supply controls, point-of-load products, switches and interfaces, integrated protection devices, high-voltage products, and mobile lighting and display products. This segment also provides signal chain products that sense, condition, and measure signals to allow information to be transferred or converted for further processing and control for use in end markets, including amplifiers, data converters, interface products, motor drives, clocks, and sensing products.; and high volume products comprising integrated analog and standard products, which are primarily for sale into personal electronics, industrial, and automotive markets. The Embedded Processing segment offers connected microcontrollers, such as microcontrollers, microcontrollers with integrated wireless capabilities, and stand-alone wireless connectivity solutions that are used in electronic equipment; digital signal processors for mathematical computations; and applications processors for specific computing activity. This segment offers products for use in various markets, such as industrial, automotive, Personal electronics, communications equipment, enterprise systems, and calculators and other. The company also provides DLP products primarily for use in projectors to create high-definition images; calculators; and application-specific integrated circuits. Texas Instruments Incorporated markets and sells its semiconductor products through direct sales and distributors, as well as through its website. The company was founded in 1930 and is headquartered in Dallas, Texas.

Statistics (YTD)

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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:
  • Looking at the total return of 67.3% in the last 5 years of Texas Instruments, we see it is relatively larger, thus better in comparison to the benchmark SPY (60.6%)
  • Compared with SPY (38%) in the period of the last 3 years, the total return, or increase in value of 26.9% 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.'

Using this definition on our asset we see for example:
  • Compared with the benchmark SPY (10%) in the period of the last 5 years, the annual return (CAGR) of 10.9% of Texas Instruments is higher, thus better.
  • During the last 3 years, the compounded annual growth rate (CAGR) is 8.3%, which is smaller, thus worse than the value of 11.3% 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.'

Using this definition on our asset we see for example:
  • The 30 days standard deviation over 5 years of Texas Instruments is 32%, which is greater, thus worse compared to the benchmark SPY (21.5%) in the same period.
  • Looking at 30 days standard deviation in of 27.9% in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (17.9%).

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:
  • Looking at the downside volatility of 22.2% in the last 5 years of Texas Instruments, we see it is relatively greater, thus worse in comparison to the benchmark SPY (15.5%)
  • Compared with SPY (12.5%) in the period of the last 3 years, the downside risk of 19.5% is larger, thus worse.

Sharpe:

'The Sharpe ratio was developed by Nobel laureate William F. Sharpe, and is used to help investors understand the return of an investment compared to its risk. The ratio is the average return earned in excess of the risk-free rate per unit of volatility or total risk. Subtracting the risk-free rate from the mean return allows an investor to better isolate the profits associated with risk-taking activities. One intuition of this calculation is that a portfolio engaging in 'zero risk' investments, such as the purchase of U.S. Treasury bills (for which the expected return is the risk-free rate), has a Sharpe ratio of exactly zero. Generally, the greater the value of the Sharpe ratio, the more attractive the risk-adjusted return.'

Which means for our asset as example:
  • The Sharpe Ratio over 5 years of Texas Instruments is 0.26, which is lower, thus worse compared to the benchmark SPY (0.35) in the same period.
  • During the last 3 years, the Sharpe Ratio is 0.21, which is smaller, thus worse than the value of 0.49 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.'

Which means for our asset as example:
  • Compared with the benchmark SPY (0.48) in the period of the last 5 years, the downside risk / excess return profile of 0.38 of Texas Instruments is lower, thus worse.
  • During the last 3 years, the downside risk / excess return profile is 0.3, which is smaller, thus worse than the value of 0.71 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.'

Which means for our asset as example:
  • Looking at the Ulcer Ratio of 9.78 in the last 5 years of Texas Instruments, we see it is relatively higher, thus worse in comparison to the benchmark SPY (9.55 )
  • Compared with SPY (10 ) in the period of the last 3 years, the Downside risk index of 10 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.'

Using this definition on our asset we see for example:
  • 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 larger, thus better in comparison to the benchmark SPY (-33.7 days)
  • Looking at maximum reduction from previous high in of -24.8 days in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (-24.5 days).

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.'

Which means for our asset as example:
  • Looking at the maximum days under water of 481 days in the last 5 years of Texas Instruments, we see it is relatively higher, thus worse in comparison to the benchmark SPY (431 days)
  • Looking at maximum days below previous high in of 481 days in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to SPY (431 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.'

Which means for our asset as example:
  • Compared with the benchmark SPY (105 days) in the period of the last 5 years, the average days under water of 117 days of Texas Instruments is higher, thus worse.
  • Compared with SPY (144 days) in the period of the last 3 years, the average days under water of 171 days is higher, thus worse.

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 Texas Instruments are hypothetical, do not account for slippage, fees or taxes, and are based on backtesting, which has many inherent limitations, some of which are described in our Terms of Use.