Zoom Video Communications (ZM)

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.'

• Looking at the total return, or performance of -69.4% in the last 5 years of Zoom Video Communications, we see it is relatively smaller, thus worse in comparison to the benchmark SPY (92.8%)
• Looking at total return, or increase in value in of 51.3% in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (88.1%).

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.'

• Looking at the annual performance (CAGR) of -21.1% in the last 5 years of Zoom Video Communications, we see it is relatively lower, thus worse in comparison to the benchmark SPY (14.1%)
• Looking at annual return (CAGR) in of 14.9% in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (23.6%).

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.'

• The volatility over 5 years of Zoom Video Communications is 44.2%, which is higher, thus worse compared to the benchmark SPY (17%) in the same period.
• Looking at historical 30 days volatility in of 34.5% in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to SPY (15.1%).

DownVol:

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

• Looking at the downside volatility of 31.5% in the last 5 years of Zoom Video Communications, we see it is relatively greater, thus worse in comparison to the benchmark SPY (11.7%)
• Looking at downside risk in of 22.6% in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to SPY (10.1%).

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.'

• The risk / return profile (Sharpe) over 5 years of Zoom Video Communications is -0.53, which is smaller, thus worse compared to the benchmark SPY (0.68) in the same period.
• Looking at Sharpe Ratio in of 0.36 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (1.4).

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.'

• The ratio of annual return and downside deviation over 5 years of Zoom Video Communications is -0.75, which is smaller, thus worse compared to the benchmark SPY (0.99) in the same period.
• Looking at excess return divided by the downside deviation in of 0.55 in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (2.1).

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.'

• Looking at the Downside risk index of 76 in the last 5 years of Zoom Video Communications, we see it is relatively larger, thus worse in comparison to the benchmark SPY (8.45 )
• Compared with SPY (3.5 ) in the period of the last 3 years, the Ulcer Index of 12 is larger, thus worse.

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.'

• Looking at the maximum reduction from previous high of -86.2 days in the last 5 years of Zoom Video Communications, we see it is relatively lower, thus worse in comparison to the benchmark SPY (-24.5 days)
• Looking at maximum DrawDown in of -25.5 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.'

• Looking at the maximum days below previous high of 1230 days in the last 5 years of Zoom Video Communications, we see it is relatively greater, thus worse in comparison to the benchmark SPY (488 days)
• Looking at maximum days under water in of 257 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 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.'

• The average days below previous high over 5 years of Zoom Video Communications is 609 days, which is larger, thus worse compared to the benchmark SPY (120 days) in the same period.
• During the last 3 years, the average days below previous high is 85 days, which is greater, thus worse than the value of 20 days from the benchmark.