Description

American Express Company, together with its subsidiaries, provides charge and credit payment card products, and travel-related services worldwide. The company operates through three segments: Global Consumer Services Group, Global Commercial Services, and Global Merchant and Network Services. Its products and services include payment and financing products; network services; expense management products and services; and lifestyle services. The company's products and services also comprise merchant acquisition and processing, servicing and settlement, point-of-sale marketing, and information products and services for merchants; and fraud prevention services, as well as the design and operation of customer loyalty programs. It sells its products and services to consumers, small businesses, mid-sized companies, and large corporations through mobile and online applications, third-party vendors and business partners, direct mail, telephone, in-house sales teams, and direct response advertising. American Express Company was founded in 1850 and is headquartered in New York, New York.

Statistics (YTD)

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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.'

Which means for our asset as example:
  • The total return, or increase in value over 5 years of American Express is 271.7%, which is higher, thus better compared to the benchmark SPY (111.6%) in the same period.
  • Compared with SPY (68%) in the period of the last 3 years, the total return of 138.5% is higher, thus better.

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.'

Applying this definition to our asset in some examples:
  • Looking at the annual performance (CAGR) of 30.2% in the last 5 years of American Express, we see it is relatively higher, thus better in comparison to the benchmark SPY (16.2%)
  • Looking at annual performance (CAGR) in of 33.8% in the period of the last 3 years, we see it is relatively higher, thus better in comparison to SPY (19%).

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.'

Which means for our asset as example:
  • Compared with the benchmark SPY (17.5%) in the period of the last 5 years, the volatility of 31.2% of American Express is higher, thus worse.
  • During the last 3 years, the volatility is 28.4%, which is larger, thus worse than the value of 17.5% 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.'

Using this definition on our asset we see for example:
  • Looking at the downside deviation of 20% in the last 5 years of American Express, we see it is relatively larger, thus worse in comparison to the benchmark SPY (12.1%)
  • Compared with SPY (11.5%) in the period of the last 3 years, the downside risk of 18.4% is greater, thus worse.

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.'

Which means for our asset as example:
  • Compared with the benchmark SPY (0.78) in the period of the last 5 years, the ratio of return and volatility (Sharpe) of 0.89 of American Express is larger, thus better.
  • Looking at risk / return profile (Sharpe) in of 1.1 in the period of the last 3 years, we see it is relatively higher, thus better in comparison to SPY (0.94).

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.'

Which means for our asset as example:
  • Compared with the benchmark SPY (1.14) in the period of the last 5 years, the excess return divided by the downside deviation of 1.39 of American Express is larger, thus better.
  • Looking at excess return divided by the downside deviation in of 1.69 in the period of the last 3 years, we see it is relatively higher, thus better in comparison to SPY (1.43).

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:
  • The Ulcer Index over 5 years of American Express is 13 , which is greater, thus worse compared to the benchmark SPY (8.48 ) in the same period.
  • During the last 3 years, the Ulcer Index is 9.06 , which is larger, thus worse than the value of 5.31 from the benchmark.

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.'

Applying this definition to our asset in some examples:
  • Looking at the maximum drop from peak to valley of -31.5 days in the last 5 years of American Express, we see it is relatively lower, thus worse in comparison to the benchmark SPY (-24.5 days)
  • Looking at maximum drop from peak to valley in of -28.8 days in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (-18.8 days).

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.'

Applying this definition to our asset in some examples:
  • Compared with the benchmark SPY (488 days) in the period of the last 5 years, the maximum days below previous high of 486 days of American Express is lower, thus better.
  • Compared with SPY (199 days) in the period of the last 3 years, the maximum days below previous high of 211 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.'

Which means for our asset as example:
  • The average days below previous high over 5 years of American Express is 117 days, which is smaller, thus better compared to the benchmark SPY (120 days) in the same period.
  • During the last 3 years, the average days below previous high is 55 days, which is larger, thus worse than the value of 47 days from the benchmark.

Performance (YTD)

Historical returns have been extended using synthetic data.

Allocations ()

Allocations

Returns (%)

  • Note that yearly returns do not equal the sum of monthly returns due to compounding.
  • Performance results of American Express are hypothetical and do not account for slippage, fees or taxes.