Description of Xilinx

Xilinx, Inc. - Common Stock

Statistics of Xilinx (YTD)

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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.'

Using this definition on our asset we see for example:
  • Looking at the total return of 147.5% in the last 5 years of Xilinx, we see it is relatively greater, thus better in comparison to the benchmark SPY (66.2%)
  • Looking at total return, or increase in value in of 144.7% in the period of the last 3 years, we see it is relatively greater, thus better in comparison to SPY (47.5%).

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 Xilinx is 19.9%, which is higher, thus better compared to the benchmark SPY (10.7%) in the same period.
  • Looking at annual return (CAGR) in of 34.9% in the period of the last 3 years, we see it is relatively higher, thus better in comparison to SPY (13.9%).

Volatility:

'Volatility is a rate at which the price of a security increases or decreases for a given set of returns. Volatility is measured by calculating the standard deviation of the annualized returns over a given period of time. It shows the range to which the price of a security may increase or decrease. Volatility measures the risk of a security. It is used in option pricing formula to gauge the fluctuations in the returns of the underlying assets. Volatility indicates the pricing behavior of the security and helps estimate the fluctuations that may happen in a short period of time.'

Using this definition on our asset we see for example:
  • Looking at the historical 30 days volatility of 30% in the last 5 years of Xilinx, we see it is relatively greater, thus worse in comparison to the benchmark SPY (13.3%)
  • During the last 3 years, the volatility is 31.9%, which is greater, thus worse than the value of 12.5% from the benchmark.

DownVol:

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

Applying this definition to our asset in some examples:
  • Looking at the downside risk of 31.2% in the last 5 years of Xilinx, we see it is relatively larger, thus worse in comparison to the benchmark SPY (14.6%)
  • Looking at downside risk in of 32.9% in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to SPY (14.2%).

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.'

Which means for our asset as example:
  • Compared with the benchmark SPY (0.62) in the period of the last 5 years, the risk / return profile (Sharpe) of 0.58 of Xilinx is lower, thus worse.
  • Looking at risk / return profile (Sharpe) in of 1.01 in the period of the last 3 years, we see it is relatively larger, thus better in comparison to SPY (0.91).

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.'

Applying this definition to our asset in some examples:
  • Looking at the downside risk / excess return profile of 0.56 in the last 5 years of Xilinx, we see it is relatively larger, thus better in comparison to the benchmark SPY (0.56)
  • During the last 3 years, the ratio of annual return and downside deviation is 0.98, which is higher, thus better than the value of 0.8 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.'

Which means for our asset as example:
  • The Downside risk index over 5 years of Xilinx is 8.34 , which is higher, thus better compared to the benchmark SPY (3.96 ) in the same period.
  • Looking at Ulcer Ratio in of 6.45 in the period of the last 3 years, we see it is relatively higher, thus better in comparison to SPY (4.01 ).

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:
  • Looking at the maximum DrawDown of -27.5 days in the last 5 years of Xilinx, we see it is relatively lower, thus worse in comparison to the benchmark SPY (-19.3 days)
  • During the last 3 years, the maximum DrawDown is -27.5 days, which is smaller, thus worse than the value of -19.3 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'

Applying this definition to our asset in some examples:
  • The maximum days below previous high over 5 years of Xilinx is 225 days, which is larger, thus worse compared to the benchmark SPY (187 days) in the same period.
  • During the last 3 years, the maximum days under water is 117 days, which is lower, thus better than the value of 139 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.'

Which means for our asset as example:
  • The average days under water over 5 years of Xilinx is 49 days, which is higher, thus worse compared to the benchmark SPY (41 days) in the same period.
  • During the last 3 years, the average days under water is 26 days, which is lower, thus better than the value of 36 days from the benchmark.

Performance of Xilinx (YTD)

Historical returns have been extended using synthetic data.

Allocations of Xilinx
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Allocations

Returns of Xilinx (%)

  • "Year" returns in the table above are not equal to the sum of monthly returns due to compounding.
  • Performance results of Xilinx are hypothetical, do not account for slippage, fees or taxes, and are based on backtesting, which has many inherent limitations, some of which are described in our Terms of Use.