Western Digital (WDC)

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 (107.5%) in the period of the last 5 years, the total return of 460.7% of Western Digital is larger, thus better.
• During the last 3 years, the total return, or increase in value is 454.5%, which is greater, thus better than the value of 78.7% from the benchmark.

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.'

• The annual performance (CAGR) over 5 years of Western Digital is 41.4%, which is larger, thus better compared to the benchmark SPY (15.8%) in the same period.
• Compared with SPY (21.5%) in the period of the last 3 years, the compounded annual growth rate (CAGR) of 77.5% is greater, 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.'

• Looking at the volatility of 44.7% in the last 5 years of Western Digital, we see it is relatively higher, thus worse in comparison to the benchmark SPY (17.1%)
• Looking at 30 days standard deviation in of 43.8% in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (15.6%).

DownVol:

'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.'

• Looking at the downside risk of 29.1% in the last 5 years of Western Digital, we see it is relatively larger, thus worse in comparison to the benchmark SPY (11.7%)
• Looking at downside deviation in of 27.8% in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to SPY (10.4%).

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.'

• Looking at the ratio of return and volatility (Sharpe) of 0.87 in the last 5 years of Western Digital, we see it is relatively greater, thus better in comparison to the benchmark SPY (0.78)
• Looking at ratio of return and volatility (Sharpe) in of 1.71 in the period of the last 3 years, we see it is relatively greater, thus better 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.'

• Compared with the benchmark SPY (1.13) in the period of the last 5 years, the excess return divided by the downside deviation of 1.34 of Western Digital is larger, thus better.
• During the last 3 years, the ratio of annual return and downside deviation is 2.7, which is greater, thus better than the value of 1.83 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.'

• The Downside risk index over 5 years of Western Digital is 31 , which is greater, thus worse compared to the benchmark SPY (8.42 ) in the same period.
• Looking at Ulcer Index in of 15 in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to SPY (3.61 ).

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 reduction from previous high over 5 years of Western Digital is -60.9 days, which is smaller, thus worse compared to the benchmark SPY (-24.5 days) in the same period.
• During the last 3 years, the maximum drop from peak to valley is -49.6 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.'

• Compared with the benchmark SPY (488 days) in the period of the last 5 years, the maximum time in days below previous high water mark of 749 days of Western Digital is greater, thus worse.
• Compared with SPY (87 days) in the period of the last 3 years, the maximum days under water of 238 days is larger, thus worse.

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.'

• Looking at the average days below previous high of 265 days in the last 5 years of Western Digital, we see it is relatively higher, thus worse in comparison to the benchmark SPY (120 days)
• During the last 3 years, the average days below previous high is 64 days, which is higher, thus worse than the value of 21 days from the benchmark.