American Electric Power (AEP)

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.'

• The total return, or performance over 5 years of American Electric Power is 52.5%, which is smaller, thus worse compared to the benchmark SPY (122.7%) in the same period.
• Compared with SPY (65.3%) in the period of the last 3 years, the total return of 38.4% is lower, thus worse.

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.'

• Compared with the benchmark SPY (17.4%) in the period of the last 5 years, the compounded annual growth rate (CAGR) of 8.8% of American Electric Power is lower, thus worse.
• Compared with SPY (18.2%) in the period of the last 3 years, the compounded annual growth rate (CAGR) of 11.4% is smaller, thus worse.

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.'

• Looking at the volatility of 22% in the last 5 years of American Electric Power, we see it is relatively greater, thus worse in comparison to the benchmark SPY (18.7%)
• Compared with SPY (22.5%) in the period of the last 3 years, the 30 days standard deviation of 25.6% is greater, thus worse.

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 American Electric Power is 15.7%, which is larger, thus worse compared to the benchmark SPY (13.6%) in the same period.
• Compared with SPY (16.3%) in the period of the last 3 years, the downside deviation of 18.2% is greater, thus worse.

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 Sharpe Ratio over 5 years of American Electric Power is 0.29, which is lower, thus worse compared to the benchmark SPY (0.8) in the same period.
• Compared with SPY (0.7) in the period of the last 3 years, the ratio of return and volatility (Sharpe) of 0.35 is smaller, thus worse.

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 excess return divided by the downside deviation over 5 years of American Electric Power is 0.4, which is lower, thus worse compared to the benchmark SPY (1.1) in the same period.
• During the last 3 years, the excess return divided by the downside deviation is 0.49, which is lower, thus worse than the value of 0.96 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.'

• Compared with the benchmark SPY (5.58 ) in the period of the last 5 years, the Downside risk index of 11 of American Electric Power is greater, thus worse.
• Looking at Downside risk index in of 13 in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (6.83 ).

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.'

• The maximum drop from peak to valley over 5 years of American Electric Power is -32.9 days, which is greater, thus better compared to the benchmark SPY (-33.7 days) in the same period.
• Compared with SPY (-33.7 days) in the period of the last 3 years, the maximum DrawDown of -32.9 days is greater, thus better.

MaxDuration:

'The Maximum 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. It is the length of time the account was in the Max Drawdown. A Max Drawdown measures a retrenchment from when an equity curve reaches a new high. It’s the maximum an account lost during that retrenchment. This method is applied because a valley can’t be measured until a new high occurs. Once the new high is reached, the percentage change from the old high to the bottom of the largest trough is recorded.'

• The maximum time in days below previous high water mark over 5 years of American Electric Power is 365 days, which is larger, thus worse compared to the benchmark SPY (139 days) in the same period.
• During the last 3 years, the maximum days below previous high is 365 days, which is higher, thus worse 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.'

• The average days under water over 5 years of American Electric Power is 96 days, which is higher, thus worse compared to the benchmark SPY (33 days) in the same period.
• Compared with SPY (35 days) in the period of the last 3 years, the average days under water of 105 days is larger, thus worse.