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 45.6%, which is smaller, thus worse compared to the benchmark SPY (67.9%) in the same period.
• Compared with SPY (44.5%) in the period of the last 3 years, the total return of 5.6% 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.'

• The compounded annual growth rate (CAGR) over 5 years of American Electric Power is 7.8%, which is smaller, thus worse compared to the benchmark SPY (10.9%) in the same period.
• Compared with SPY (13.1%) in the period of the last 3 years, the annual performance (CAGR) of 1.8% is lower, thus worse.

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 historical 30 days volatility over 5 years of American Electric Power is 23.9%, which is larger, thus worse compared to the benchmark SPY (21.4%) in the same period.
• Looking at historical 30 days volatility in of 20.8% in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to SPY (18.7%).

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.'

• The downside risk over 5 years of American Electric Power is 17.1%, which is greater, thus worse compared to the benchmark SPY (15.4%) in the same period.
• Looking at downside deviation in of 15.1% in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to SPY (13.3%).

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 0.22, which is lower, thus worse compared to the benchmark SPY (0.39) in the same period.
• During the last 3 years, the ratio of return and volatility (Sharpe) is -0.03, which is lower, thus worse than the value of 0.56 from the benchmark.

Sortino:

'The Sortino ratio measures the risk-adjusted return of an investment asset, portfolio, or strategy. It is a modification of the Sharpe ratio but penalizes only those returns falling below a user-specified target or required rate of return, while the Sharpe ratio penalizes both upside and downside volatility equally. Though both ratios measure an investment's risk-adjusted return, they do so in significantly different ways that will frequently lead to differing conclusions as to the true nature of the investment's return-generating efficiency. The Sortino ratio is used as a way to compare the risk-adjusted performance of programs with differing risk and return profiles. In general, risk-adjusted returns seek to normalize the risk across programs and then see which has the higher return unit per risk.'

• The ratio of annual return and downside deviation over 5 years of American Electric Power is 0.31, which is lower, thus worse compared to the benchmark SPY (0.55) in the same period.
• Compared with SPY (0.79) in the period of the last 3 years, the downside risk / excess return profile of -0.04 is lower, thus worse.

Ulcer:

'The Ulcer Index is a technical indicator that measures downside risk, in terms of both the depth and duration of price declines. The index increases in value as the price moves farther away from a recent high and falls as the price rises to new highs. The indicator is usually calculated over a 14-day period, with the Ulcer Index showing the percentage drawdown a trader can expect from the high over that period. The greater the value of the Ulcer Index, the longer it takes for a stock to get back to the former high.'

• The Downside risk index over 5 years of American Electric Power is 12 , which is higher, thus worse compared to the benchmark SPY (9.47 ) in the same period.
• Compared with SPY (10 ) in the period of the last 3 years, the Ulcer Ratio of 8.83 is smaller, thus better.

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.'

• Looking at the maximum reduction from previous high of -32.9 days in the last 5 years of American Electric Power, we see it is relatively larger, thus better in comparison to the benchmark SPY (-33.7 days)
• During the last 3 years, the maximum reduction from previous high is -22.3 days, which is larger, thus better than the value of -24.5 days from the benchmark.

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.'

• Looking at the maximum days under water of 531 days in the last 5 years of American Electric Power, we see it is relatively higher, thus worse in comparison to the benchmark SPY (354 days)
• During the last 3 years, the maximum time in days below previous high water mark is 202 days, which is lower, thus better than the value of 354 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.'

• Looking at the average time in days below previous high water mark of 143 days in the last 5 years of American Electric Power, we see it is relatively higher, thus worse in comparison to the benchmark SPY (79 days)
• During the last 3 years, the average days under water is 66 days, which is smaller, thus better than the value of 102 days from the benchmark.