Description

Western Digital Corporation develops, manufactures, and sells data storage devices and solutions. It offers client devices, including hard disk drives (HDDs) and solid state drives (SSDs) for computing devices, such as desktop and notebook personal computers (PCs), smart video systems, gaming consoles, and set top boxes; flash-based embedded storage products for mobile phones, tablets, notebook PCs, and other portable and wearable devices, as well as automotive, Internet of Things, industrial, and connected home applications; flash-based memory wafers; and embedded storage solutions and flash products. The company also provides data center devices and solutions comprising enterprise helium hard drives; enterprise SSDs consisting of flash-based SSDs and software solutions for use in enterprise servers, online transactions, data analysis, and other enterprise applications; data center solutions, including HDDs and drive configurations for use in data storage systems and tiered storage models; and data storage platforms and systems. In addition, it offers client solutions, such as external HDD storage products in mobile and desktop form; client SSDs; removable cards that are used in consumer devices comprising mobile phones, tablets, imaging systems, and still and action video cameras; universal serial bus flash drives for use in the computing and consumer markets; and wireless drive products used in-field back up of created content, as well as wireless streaming of high-definition movies, photos, music, and documents to tablets, smartphones, and PCs. The company sells its products under the G-Technology, SanDisk, and WD brands to original equipment manufacturers, distributors, resellers, and retailers. It operates in the United States, China, Hong Kong, Europe, the Middle East, Africa, rest of Asia, and internationally. Western Digital Corporation was founded in 1970 and is headquartered in San Jose, California.

Statistics (YTD)

What do these metrics mean? [Read More] [Hide]

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.'

Using this definition on our asset we see for example:
  • Compared with the benchmark SPY (120.1%) in the period of the last 5 years, the total return, or performance of 105.3% of Western Digital is lower, thus worse.
  • Compared with SPY (65.1%) in the period of the last 3 years, the total return, or performance of 76.3% is higher, thus better.

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.'

Applying this definition to our asset in some examples:
  • The annual return (CAGR) over 5 years of Western Digital is 15.5%, which is lower, thus worse compared to the benchmark SPY (17.1%) in the same period.
  • Compared with SPY (18.3%) in the period of the last 3 years, the annual performance (CAGR) of 20.9% is higher, thus better.

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.'

Which means for our asset as example:
  • Compared with the benchmark SPY (17.6%) in the period of the last 5 years, the 30 days standard deviation of 44.4% of Western Digital is higher, thus worse.
  • During the last 3 years, the 30 days standard deviation is 42.9%, which is larger, 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.'

Which means for our asset as example:
  • The downside risk over 5 years of Western Digital is 30.3%, which is greater, thus worse compared to the benchmark SPY (12.1%) in the same period.
  • During the last 3 years, the downside risk is 29.2%, which is higher, thus worse than the value of 11.6% from the benchmark.

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.'

Using this definition on our asset we see for example:
  • Looking at the Sharpe Ratio of 0.29 in the last 5 years of Western Digital, we see it is relatively lower, thus worse in comparison to the benchmark SPY (0.83)
  • During the last 3 years, the Sharpe Ratio is 0.43, which is lower, thus worse than the value of 0.9 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.'

Using this definition on our asset we see for example:
  • The excess return divided by the downside deviation over 5 years of Western Digital is 0.43, which is lower, thus worse compared to the benchmark SPY (1.21) in the same period.
  • Looking at ratio of annual return and downside deviation in of 0.63 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (1.36).

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 Index of 32 in the last 5 years of Western Digital, we see it is relatively higher, thus worse in comparison to the benchmark SPY (8.48 )
  • Compared with SPY (5.31 ) in the period of the last 3 years, the Ulcer Index of 20 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.'

Which means for our asset as example:
  • The maximum reduction from previous high over 5 years of Western Digital is -60.9 days, which is lower, thus worse compared to the benchmark SPY (-24.5 days) in the same period.
  • Looking at maximum reduction from previous high in of -49.6 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) in days.'

Applying this definition to our asset in some examples:
  • The maximum days under water over 5 years of Western Digital is 749 days, which is larger, thus worse compared to the benchmark SPY (488 days) in the same period.
  • Compared with SPY (199 days) in the period of the last 3 years, the maximum days under water of 336 days is larger, thus worse.

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.'

Which means for our asset as example:
  • Compared with the benchmark SPY (120 days) in the period of the last 5 years, the average days below previous high of 259 days of Western Digital is larger, thus worse.
  • Compared with SPY (47 days) in the period of the last 3 years, the average time in days below previous high water mark of 120 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 Western Digital are hypothetical and do not account for slippage, fees or taxes.