Zoom Video Communications (ZM)

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.'

• Looking at the total return, or performance of % in the last 5 years of Zoom Video Communications, we see it is relatively lower, thus worse in comparison to the benchmark SPY (62.7%)
• During the last 3 years, the total return, or increase in value is 1.3%, which is smaller, thus worse than the value of 34.7% from the benchmark.

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.'

• Compared with the benchmark SPY (10.2%) in the period of the last 5 years, the annual performance (CAGR) of % of Zoom Video Communications is lower, thus worse.
• Looking at compounded annual growth rate (CAGR) in of 0.4% in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (10.5%).

Volatility:

'Volatility is a statistical measure of the dispersion of returns for a given security or market index. Volatility can either be measured by using the standard deviation or variance between returns from that same security or market index. Commonly, the higher the volatility, the riskier the security. In the securities markets, volatility is often associated with big swings in either direction. For example, when the stock market rises and falls more than one percent over a sustained period of time, it is called a 'volatile' market.'

• The volatility over 5 years of Zoom Video Communications is %, which is smaller, thus better compared to the benchmark SPY (20.9%) in the same period.
• Looking at 30 days standard deviation in of 67.8% in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (24.1%).

DownVol:

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

• The downside deviation over 5 years of Zoom Video Communications is %, which is lower, thus better compared to the benchmark SPY (15.3%) in the same period.
• During the last 3 years, the downside deviation is 44.5%, which is higher, thus worse than the value of 17.6% 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.'

• Compared with the benchmark SPY (0.37) in the period of the last 5 years, the risk / return profile (Sharpe) of of Zoom Video Communications is lower, thus worse.
• During the last 3 years, the ratio of return and volatility (Sharpe) is -0.03, which is smaller, thus worse than the value of 0.33 from the benchmark.

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.'

• Compared with the benchmark SPY (0.51) in the period of the last 5 years, the excess return divided by the downside deviation of of Zoom Video Communications is smaller, thus worse.
• During the last 3 years, the downside risk / excess return profile is -0.05, which is lower, thus worse than the value of 0.45 from the benchmark.

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.'

• Looking at the Ulcer Index of in the last 5 years of Zoom Video Communications, we see it is relatively lower, thus better in comparison to the benchmark SPY (7.71 )
• Compared with SPY (9.08 ) in the period of the last 3 years, the Ulcer Ratio of 49 is higher, 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 DrawDown of days in the last 5 years of Zoom Video Communications, we see it is relatively greater, thus better in comparison to the benchmark SPY (-33.7 days)
• During the last 3 years, the maximum reduction from previous high is -87.1 days, which is lower, thus worse than the value of -33.7 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'

• The maximum 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 (189 days) in the same period.
• Compared with SPY (189 days) in the period of the last 3 years, the maximum time in days below previous high water mark of 493 days is higher, 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.'

• Compared with the benchmark SPY (46 days) in the period of the last 5 years, the average days below previous high of days of Zoom Video Communications is lower, thus better.
• Looking at average time in days below previous high water mark in of 178 days in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to SPY (45 days).