Description

Zoom Video Communications, Inc. - Class A Common Stock

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.'

Applying this definition to our asset in some examples:
  • Looking at the total return of % in the last 5 years of Zoom Video Communications, we see it is relatively smaller, thus worse in comparison to the benchmark SPY (122.7%)
  • Compared with SPY (65.3%) in the period of the last 3 years, the total return, or increase in value of % is lower, thus worse.

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.'

Using this definition on our asset we see for example:
  • Compared with the benchmark SPY (17.4%) in the period of the last 5 years, the compounded annual growth rate (CAGR) of % of Zoom Video Communications is lower, thus worse.
  • During the last 3 years, the compounded annual growth rate (CAGR) is %, which is smaller, thus worse than the value of 18.2% from the benchmark.

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.'

Using this definition on our asset we see for example:
  • The historical 30 days volatility over 5 years of Zoom Video Communications is %, which is smaller, thus better compared to the benchmark SPY (18.7%) in the same period.
  • During the last 3 years, the historical 30 days volatility is %, which is smaller, thus better than the value of 22.5% 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.'

Applying this definition to our asset in some examples:
  • The downside deviation over 5 years of Zoom Video Communications is %, which is lower, thus better compared to the benchmark SPY (13.6%) in the same period.
  • Looking at downside volatility in of % in the period of the last 3 years, we see it is relatively lower, thus better in comparison to SPY (16.3%).

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 ratio of return and volatility (Sharpe) of of Zoom Video Communications is lower, thus worse.
  • Looking at risk / return profile (Sharpe) in of in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (0.7).

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.'

Using this definition on our asset we see for example:
  • Compared with the benchmark SPY (1.1) in the period of the last 5 years, the ratio of annual return and downside deviation of of Zoom Video Communications is lower, thus worse.
  • Compared with SPY (0.96) in the period of the last 3 years, the excess return divided by the downside deviation of is lower, thus worse.

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.'

Applying this definition to our asset in some examples:
  • Compared with the benchmark SPY (5.58 ) in the period of the last 5 years, the Ulcer Ratio of of Zoom Video Communications is smaller, thus better.
  • During the last 3 years, the Ulcer Index is , which is smaller, thus better than the value of 6.83 from the benchmark.

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.'

Applying this definition to our asset in some examples:
  • The maximum reduction from previous high over 5 years of Zoom Video Communications is days, which is larger, thus better compared to the benchmark SPY (-33.7 days) in the same period.
  • Looking at maximum reduction from previous high in of days in the period of the last 3 years, we see it is relatively larger, thus better in comparison to SPY (-33.7 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:
  • Compared with the benchmark SPY (139 days) in the period of the last 5 years, the maximum days below previous high of days of Zoom Video Communications is lower, thus better.
  • Compared with SPY (139 days) in the period of the last 3 years, the maximum time in days below previous high water mark of days is smaller, thus better.

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 time in days below previous high water mark over 5 years of Zoom Video Communications is days, which is lower, thus better compared to the benchmark SPY (33 days) in the same period.
  • Looking at average time in days below previous high water mark in of days in the period of the last 3 years, we see it is relatively smaller, thus better in comparison to SPY (35 days).

Performance (YTD)

Historical returns have been extended using synthetic data.

Allocations
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Allocations

Returns (%)

  • Note that yearly returns do not equal the sum of monthly returns due to compounding.
  • Performance results of Zoom Video Communications 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.