Description

American Express Company Common Stock

Statistics (YTD)

What do these metrics mean? [Read More] [Hide]

TotalReturn:

'Total return is the amount of value an investor earns from a security over a specific period, typically one year, when all distributions are reinvested. Total return is expressed as a percentage of the amount invested. For example, a total return of 20% means the security increased by 20% of its original value due to a price increase, distribution of dividends (if a stock), coupons (if a bond) or capital gains (if a fund). Total return is a strong measure of an investment’s overall performance.'

Applying this definition to our asset in some examples:
  • The total return over 5 years of American Express Company is 82.8%, which is greater, thus better compared to the benchmark SPY (74.2%) in the same period.
  • Compared with SPY (50.1%) in the period of the last 3 years, the total return, or performance of 76.9% is higher, thus better.

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.'

Applying this definition to our asset in some examples:
  • Compared with the benchmark SPY (11.8%) in the period of the last 5 years, the annual performance (CAGR) of 12.8% of American Express Company is greater, thus better.
  • Looking at compounded annual growth rate (CAGR) in of 20.9% in the period of the last 3 years, we see it is relatively greater, thus better in comparison to SPY (14.5%).

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.'

Applying this definition to our asset in some examples:
  • Compared with the benchmark SPY (13.3%) in the period of the last 5 years, the 30 days standard deviation of 20.2% of American Express Company is larger, thus worse.
  • Compared with SPY (13%) in the period of the last 3 years, the historical 30 days volatility of 18.9% is higher, thus worse.

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.'

Which means for our asset as example:
  • Looking at the downside deviation of 14.5% in the last 5 years of American Express Company, we see it is relatively greater, thus worse in comparison to the benchmark SPY (9.6%)
  • During the last 3 years, the downside risk is 13.1%, which is higher, thus worse than the value of 9.4% from the benchmark.

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.'

Applying this definition to our asset in some examples:
  • Compared with the benchmark SPY (0.69) in the period of the last 5 years, the Sharpe Ratio of 0.51 of American Express Company is lower, thus worse.
  • During the last 3 years, the risk / return profile (Sharpe) is 0.97, which is greater, thus better than the value of 0.93 from the benchmark.

Sortino:

'The Sortino ratio improves upon the Sharpe ratio by isolating downside volatility from total volatility by dividing excess return by the downside deviation. The Sortino ratio is a variation of the Sharpe ratio that differentiates harmful volatility from total overall volatility by using the asset's standard deviation of negative asset returns, called downside deviation. The Sortino ratio takes the asset's return and subtracts the risk-free rate, and then divides that amount by the asset's downside deviation. The ratio was named after Frank A. Sortino.'

Applying this definition to our asset in some examples:
  • Looking at the excess return divided by the downside deviation of 0.71 in the last 5 years of American Express Company, we see it is relatively lower, thus worse in comparison to the benchmark SPY (0.96)
  • During the last 3 years, the ratio of annual return and downside deviation is 1.41, which is larger, thus better than the value of 1.27 from the benchmark.

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.'

Using this definition on our asset we see for example:
  • Looking at the Ulcer Index of 11 in the last 5 years of American Express Company, we see it is relatively higher, thus worse in comparison to the benchmark SPY (3.97 )
  • Looking at Downside risk index in of 4.9 in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (4.1 ).

MaxDD:

'Maximum drawdown measures the loss in any losing period during a fund’s investment record. It is defined as the percent retrenchment from a fund’s peak value to the fund’s valley value. The drawdown is in effect from the time the fund’s retrenchment begins until a new fund high is reached. The maximum drawdown encompasses both the period from the fund’s peak to the fund’s valley (length), and the time from the fund’s valley to a new fund high (recovery). It measures the largest percentage drawdown that has occurred in any fund’s data record.'

Applying this definition to our asset in some examples:
  • Looking at the maximum DrawDown of -37.7 days in the last 5 years of American Express Company, we see it is relatively smaller, thus worse in comparison to the benchmark SPY (-19.3 days)
  • Compared with SPY (-19.3 days) in the period of the last 3 years, the maximum reduction from previous high of -20.7 days is smaller, thus worse.

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'

Applying this definition to our asset in some examples:
  • Compared with the benchmark SPY (187 days) in the period of the last 5 years, the maximum days under water of 505 days of American Express Company is greater, thus worse.
  • Looking at maximum days under water in of 123 days in the period of the last 3 years, we see it is relatively smaller, thus better in comparison to SPY (139 days).

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.'

Applying this definition to our asset in some examples:
  • The average days under water over 5 years of American Express Company is 125 days, which is higher, thus worse compared to the benchmark SPY (42 days) in the same period.
  • Looking at average days under water in of 27 days in the period of the last 3 years, we see it is relatively smaller, thus better in comparison to SPY (37 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 American Express Company 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.