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.'

• The total return, or performance over 5 years of Ulta Beauty is 120.7%, which is greater, thus better compared to the benchmark SPY (101.1%) in the same period.
• Compared with SPY (82.2%) in the period of the last 3 years, the total return of 27.4% is lower, thus worse.

CAGR:

'Compound annual growth rate (CAGR) is a business and investing specific term for the geometric progression ratio that provides a constant rate of return over the time period. CAGR is not an accounting term, but it is often used to describe some element of the business, for example revenue, units delivered, registered users, etc. CAGR dampens the effect of volatility of periodic returns that can render arithmetic means irrelevant. It is particularly useful to compare growth rates from various data sets of common domain such as revenue growth of companies in the same industry.'

• The compounded annual growth rate (CAGR) over 5 years of Ulta Beauty is 17.2%, which is larger, thus better compared to the benchmark SPY (15.1%) in the same period.
• Compared with SPY (22.3%) in the period of the last 3 years, the annual return (CAGR) of 8.4% is lower, thus worse.

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.'

• The historical 30 days volatility over 5 years of Ulta Beauty is 34%, which is larger, thus worse compared to the benchmark SPY (17.1%) in the same period.
• During the last 3 years, the volatility is 33.6%, which is higher, thus worse than the value of 15.5% from the benchmark.

DownVol:

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

• Compared with the benchmark SPY (11.8%) in the period of the last 5 years, the downside risk of 22.9% of Ulta Beauty is greater, thus worse.
• During the last 3 years, the downside volatility is 22.2%, which is greater, thus worse than the value of 10.3% from the benchmark.

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.'

• The ratio of return and volatility (Sharpe) over 5 years of Ulta Beauty is 0.43, which is lower, thus worse compared to the benchmark SPY (0.73) in the same period.
• During the last 3 years, the Sharpe Ratio is 0.18, which is smaller, thus worse than the value of 1.27 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.'

• Compared with the benchmark SPY (1.07) in the period of the last 5 years, the excess return divided by the downside deviation of 0.64 of Ulta Beauty is smaller, thus worse.
• During the last 3 years, the downside risk / excess return profile is 0.27, which is lower, thus worse than the value of 1.91 from the benchmark.

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 18 in the last 5 years of Ulta Beauty, we see it is relatively larger, thus worse in comparison to the benchmark SPY (8.42 )
• During the last 3 years, the Ulcer Ratio is 23 , which is higher, thus worse than the value of 3.57 from the benchmark.

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.'

• Compared with the benchmark SPY (-24.5 days) in the period of the last 5 years, the maximum DrawDown of -44.6 days of Ulta Beauty is lower, thus worse.
• During the last 3 years, the maximum reduction from previous high is -44.6 days, which is lower, 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) in days.'

• Looking at the maximum time in days below previous high water mark 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)
• Looking at maximum time in days below previous high water mark in of 434 days in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to SPY (87 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.'

• The average days under water over 5 years of Ulta Beauty is 109 days, which is lower, thus better compared to the benchmark SPY (120 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 (21 days).