Ulta Beauty (ULTA)

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.'

• The total return, or performance over 5 years of Ulta Beauty is 66%, which is smaller, thus worse compared to the benchmark SPY (80.9%) in the same period.
• Compared with SPY (75.3%) in the period of the last 3 years, the total return of 5.5% is lower, thus worse.

CAGR:

'The compound annual growth rate isn't a true return rate, but rather a representational figure. It is essentially a number that describes the rate at which an investment would have grown if it had grown the same rate every year and the profits were reinvested at the end of each year. In reality, this sort of performance is unlikely. However, CAGR can be used to smooth returns so that they may be more easily understood when compared to alternative investments.'

• Compared with the benchmark SPY (12.6%) in the period of the last 5 years, the annual return (CAGR) of 10.7% of Ulta Beauty is smaller, thus worse.
• Compared with SPY (20.7%) in the period of the last 3 years, the annual return (CAGR) of 1.8% is smaller, thus worse.

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.'

• Compared with the benchmark SPY (17%) in the period of the last 5 years, the 30 days standard deviation of 34.2% of Ulta Beauty is greater, thus worse.
• Looking at 30 days standard deviation in of 35.1% in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to SPY (15%).

DownVol:

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

• Looking at the downside deviation of 23.5% in the last 5 years of Ulta Beauty, we see it is relatively larger, thus worse in comparison to the benchmark SPY (11.7%)
• Looking at downside deviation in of 24.1% in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to SPY (10.1%).

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.'

• Looking at the Sharpe Ratio of 0.24 in the last 5 years of Ulta Beauty, we see it is relatively smaller, thus worse in comparison to the benchmark SPY (0.6)
• Looking at Sharpe Ratio in of -0.02 in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (1.21).

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 ratio of annual return and downside deviation of 0.35 in the last 5 years of Ulta Beauty, we see it is relatively lower, thus worse in comparison to the benchmark SPY (0.86)
• During the last 3 years, the downside risk / excess return profile is -0.03, which is lower, thus worse than the value of 1.81 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.'

• Compared with the benchmark SPY (8.43 ) in the period of the last 5 years, the Ulcer Ratio of 18 of Ulta Beauty is larger, thus worse.
• Looking at Ulcer Ratio in of 23 in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (3.41 ).

MaxDD:

'Maximum drawdown is defined as the peak-to-trough decline of an investment during a specific period. It is usually quoted as a percentage of the peak value. The maximum drawdown can be calculated based on absolute returns, in order to identify strategies that suffer less during market downturns, such as low-volatility strategies. However, the maximum drawdown can also be calculated based on returns relative to a benchmark index, for identifying strategies that show steady outperformance over time.'

• The maximum drop from peak to valley over 5 years of Ulta Beauty is -44.6 days, which is lower, thus worse compared to the benchmark SPY (-24.5 days) in the same period.
• Looking at maximum drop from peak to valley in of -44.6 days in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (-18.8 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). 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 under water of 434 days in the last 5 years of Ulta Beauty, we see it is relatively smaller, thus better in comparison to the benchmark SPY (488 days)
• During the last 3 years, the maximum days below previous high is 434 days, which is larger, thus worse than the value of 87 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.'

• The average days below previous high over 5 years of Ulta Beauty is 107 days, which is smaller, thus better compared to the benchmark SPY (119 days) in the same period.
• Looking at average days below previous high in of 160 days in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to SPY (19 days).