Ulta Beauty (ULTA)

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 (115.2%) in the period of the last 5 years, the total return of 130% of Ulta Beauty is higher, thus better.
• Looking at total return, or performance in of 21.4% in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (70.9%).

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.'

• Looking at the compounded annual growth rate (CAGR) of 18.2% in the last 5 years of Ulta Beauty, we see it is relatively greater, thus better in comparison to the benchmark SPY (16.6%)
• Looking at annual performance (CAGR) in of 6.7% in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (19.7%).

Volatility:

'In finance, volatility (symbol σ) is the degree of variation of a trading price series over time as measured by the standard deviation of logarithmic returns. Historic volatility measures a time series of past market prices. Implied volatility looks forward in time, being derived from the market price of a market-traded derivative (in particular, an option). Commonly, the higher the volatility, the riskier the security.'

• Compared with the benchmark SPY (17.6%) in the period of the last 5 years, the historical 30 days volatility of 35.3% of Ulta Beauty is greater, thus worse.
• Compared with SPY (17.5%) in the period of the last 3 years, the historical 30 days volatility of 32.9% is higher, 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 Ulta Beauty is 23.5%, which is greater, thus worse compared to the benchmark SPY (12.1%) in the same period.
• Looking at downside risk in of 22.3% in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to SPY (11.6%).

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 (0.81) in the period of the last 5 years, the ratio of return and volatility (Sharpe) of 0.45 of Ulta Beauty is lower, thus worse.
• Compared with SPY (0.98) in the period of the last 3 years, the ratio of return and volatility (Sharpe) of 0.13 is smaller, thus worse.

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 downside risk / excess return profile of 0.67 in the last 5 years of Ulta Beauty, we see it is relatively lower, thus worse in comparison to the benchmark SPY (1.17)
• Compared with SPY (1.49) in the period of the last 3 years, the excess return divided by the downside deviation 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 (8.48 ) in the period of the last 5 years, the Ulcer Ratio of 18 of Ulta Beauty is higher, 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 (5.31 ).

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.'

• Looking at the maximum DrawDown of -44.6 days in the last 5 years of Ulta Beauty, we see it is relatively lower, thus worse in comparison to the benchmark SPY (-24.5 days)
• During the last 3 years, the maximum DrawDown is -44.6 days, which is smaller, thus worse than the value of -18.8 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'

• The maximum time in days below previous high water mark over 5 years of Ulta Beauty is 324 days, which is smaller, thus better compared to the benchmark SPY (488 days) in the same period.
• Looking at maximum days below previous high in of 324 days in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (199 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.'

• Compared with the benchmark SPY (120 days) in the period of the last 5 years, the average days below previous high of 76 days of Ulta Beauty is lower, thus better.
• During the last 3 years, the average time in days below previous high water mark is 108 days, which is larger, thus worse than the value of 47 days from the benchmark.