Altaba (AABA)

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.'

• Compared with the benchmark SPY (111.4%) in the period of the last 5 years, the total return, or performance of 49.1% of Altaba is lower, thus worse.
• Looking at total return in of 77.4% in the period of the last 3 years, we see it is relatively larger, thus better in comparison to SPY (68.8%).

CAGR:

'Compound annual growth rate (CAGR) is a business and investing specific term for the geometric progression ratio that provides a constant rate of return over the time period. CAGR is not an accounting term, but it is often used to describe some element of the business, for example revenue, units delivered, registered users, etc. CAGR dampens the effect of volatility of periodic returns that can render arithmetic means irrelevant. It is particularly useful to compare growth rates from various data sets of common domain such as revenue growth of companies in the same industry.'

• Looking at the compounded annual growth rate (CAGR) of 8.5% in the last 5 years of Altaba, we see it is relatively smaller, thus worse in comparison to the benchmark SPY (16.2%)
• Looking at compounded annual growth rate (CAGR) in of 21.7% in the period of the last 3 years, we see it is relatively higher, thus better in comparison to SPY (19.1%).

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.'

• The historical 30 days volatility over 5 years of Altaba is 27.7%, which is larger, thus worse compared to the benchmark SPY (17.4%) in the same period.
• During the last 3 years, the historical 30 days volatility is 25.8%, which is larger, thus worse than the value of 17% 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.'

• Compared with the benchmark SPY (11.9%) in the period of the last 5 years, the downside risk of 19.3% of Altaba is greater, thus worse.
• During the last 3 years, the downside risk is 17.5%, which is greater, thus worse than the value of 11.2% 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.'

• The risk / return profile (Sharpe) over 5 years of Altaba is 0.22, which is smaller, thus worse compared to the benchmark SPY (0.79) in the same period.
• During the last 3 years, the risk / return profile (Sharpe) is 0.74, which is lower, thus worse than the value of 0.98 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.'

• The downside risk / excess return profile over 5 years of Altaba is 0.31, which is lower, thus worse compared to the benchmark SPY (1.15) in the same period.
• During the last 3 years, the ratio of annual return and downside deviation is 1.1, which is lower, thus worse than the value of 1.48 from the benchmark.

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 Ulcer Ratio of 21 in the last 5 years of Altaba, we see it is relatively higher, thus worse in comparison to the benchmark SPY (8.43 )
• During the last 3 years, the Downside risk index is 12 , which is higher, thus worse than the value of 4.21 from the benchmark.

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 DrawDown over 5 years of Altaba is -48.9 days, which is lower, thus worse compared to the benchmark SPY (-24.5 days) in the same period.
• During the last 3 years, the maximum reduction from previous high is -32.6 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). 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 days below previous high over 5 years of Altaba is 642 days, which is greater, thus worse compared to the benchmark SPY (488 days) in the same period.
• During the last 3 years, the maximum time in days below previous high water mark is 331 days, which is greater, thus worse than the value of 97 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.'

• Compared with the benchmark SPY (120 days) in the period of the last 5 years, the average days below previous high of 224 days of Altaba is higher, thus worse.
• Looking at average time in days below previous high water mark in of 92 days in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to SPY (27 days).