Description

Workday, Inc. provides enterprise cloud applications worldwide. Its applications help its customers to manage critical business functions and optimize their financial and human capital resources. The company offers Workday Financial Management application that provides functions of general ledger, accounting, accounts payable and receivable, cash and asset management, revenue management, and grants management, as well as project and resource management, time and expense tracking, project billing, revenue recognition, financial reporting, and analytics. It also provides Workday Human Capital Management (HCM) application, which includes human resources management, such as workforce lifecycle and organization management, compensation, absence, and employee benefits administration; and global talent management comprising goal and performance management, succession planning, and career and development planning, as well as Skills cloud, a machine-learning-powered universal skills language to help source, utilize, develop, and retain talent. In addition, the company offers business planning, analytics, and other solutions, including Insights Business Planning Cloud, a solution for finance, human resource, and sales planning; Workday Prism Analytics that enables customers to bring together various data with analytics tools for financial and people analytics to make business decisions; Workday Student, a student and faculty lifecycle information system to help colleges and universities; and Workday Data-as-a-Service that provides data to customers to enable informed decision-making. It serves technology, financial services, business and professional services, healthcare and life sciences, manufacturing, retail and hospitality, education, and government and non-profit industries. The company was formerly known as North Tahoe Power Tools, Inc. and changed its name to Workday, Inc. in July 2005. Workday, Inc. was founded in 2005 and is headquartered in Pleasanton, California.

Statistics (YTD)

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TotalReturn:

'Total return is the amount of value an investor earns from a security over a specific period, typically one year, when all distributions are reinvested. Total return is expressed as a percentage of the amount invested. For example, a total return of 20% means the security increased by 20% of its original value due to a price increase, distribution of dividends (if a stock), coupons (if a bond) or capital gains (if a fund). Total return is a strong measure of an investment’s overall performance.'

Applying this definition to our asset in some examples:
  • The total return, or performance over 5 years of Workday is 28.3%, which is lower, thus worse compared to the benchmark SPY (115.1%) in the same period.
  • Looking at total return, or performance in of 69.8% in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (71.1%).

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.'

Applying this definition to our asset in some examples:
  • Looking at the annual performance (CAGR) of 5.1% in the last 5 years of Workday, we see it is relatively lower, thus worse in comparison to the benchmark SPY (16.6%)
  • Looking at compounded annual growth rate (CAGR) in of 19.4% in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (19.7%).

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.'

Which means for our asset as example:
  • Compared with the benchmark SPY (17.5%) in the period of the last 5 years, the volatility of 38.2% of Workday is larger, thus worse.
  • During the last 3 years, the historical 30 days volatility is 36.9%, which is greater, thus worse than the value of 17.5% from the benchmark.

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.'

Using this definition on our asset we see for example:
  • The downside risk over 5 years of Workday is 25.7%, which is greater, thus worse compared to the benchmark SPY (12.1%) in the same period.
  • Looking at downside volatility in of 24.3% in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (11.5%).

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.'

Using this definition on our asset we see for example:
  • Compared with the benchmark SPY (0.8) in the period of the last 5 years, the Sharpe Ratio of 0.07 of Workday 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 0.46 is lower, thus worse.

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.'

Which means for our asset as example:
  • The ratio of annual return and downside deviation over 5 years of Workday is 0.1, which is smaller, thus worse compared to the benchmark SPY (1.17) in the same period.
  • Looking at downside risk / excess return profile in of 0.7 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (1.49).

Ulcer:

'Ulcer Index is a method for measuring investment risk that addresses the real concerns of investors, unlike the widely used standard deviation of return. UI is a measure of the depth and duration of drawdowns in prices from earlier highs. Using Ulcer Index instead of standard deviation can lead to very different conclusions about investment risk and risk-adjusted return, especially when evaluating strategies that seek to avoid major declines in portfolio value (market timing, dynamic asset allocation, hedge funds, etc.). The Ulcer Index was originally developed in 1987. Since then, it has been widely recognized and adopted by the investment community. According to Nelson Freeburg, editor of Formula Research, Ulcer Index is “perhaps the most fully realized statistical portrait of risk there is.'

Applying this definition to our asset in some examples:
  • Compared with the benchmark SPY (8.48 ) in the period of the last 5 years, the Downside risk index of 26 of Workday is higher, thus worse.
  • Compared with SPY (5.31 ) in the period of the last 3 years, the Downside risk index of 15 is larger, thus worse.

MaxDD:

'Maximum drawdown measures the loss in any losing period during a fund’s investment record. It is defined as the percent retrenchment from a fund’s peak value to the fund’s valley value. The drawdown is in effect from the time the fund’s retrenchment begins until a new fund high is reached. The maximum drawdown encompasses both the period from the fund’s peak to the fund’s valley (length), and the time from the fund’s valley to a new fund high (recovery). It measures the largest percentage drawdown that has occurred in any fund’s data record.'

Using this definition on our asset we see for example:
  • Looking at the maximum DrawDown of -55.9 days in the last 5 years of Workday, we see it is relatively smaller, thus worse in comparison to the benchmark SPY (-24.5 days)
  • Compared with SPY (-18.8 days) in the period of the last 3 years, the maximum drop from peak to valley of -32.6 days is smaller, thus worse.

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.'

Using this definition on our asset we see for example:
  • Compared with the benchmark SPY (488 days) in the period of the last 5 years, the maximum days under water of 558 days of Workday is greater, thus worse.
  • During the last 3 years, the maximum days below previous high is 339 days, which is larger, thus worse than the value of 199 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.'

Applying this definition to our asset in some examples:
  • Compared with the benchmark SPY (120 days) in the period of the last 5 years, the average days below previous high of 190 days of Workday is greater, thus worse.
  • During the last 3 years, the average days under water is 97 days, which is higher, thus worse than the value of 47 days from the benchmark.

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 Workday are hypothetical and do not account for slippage, fees or taxes.