Description

The Boeing Company, together with its subsidiaries, designs, develops, manufactures, sales, services, and supports commercial jetliners, military aircraft, satellites, missile defense, human space flight and launch systems, and services worldwide. The company operates through four segments: Commercial Airplanes; Defense, Space & Security; Global Services; and Boeing Capital. The Commercial Airplanes segment develops, produces, and markets commercial jet aircraft and provides fleet support services principally to the commercial airline industry. The Defense, Space & Security segment engages in the research, development, production, and modification of manned and unmanned military aircraft and weapons systems for strike, surveillance, and mobility, including fighter and trainer aircraft; vertical lift comprising rotorcraft and tilt-rotor aircraft; commercial derivative aircraft, such as anti-submarine and tanker aircraft; strategic defense and intelligence systems consisting of strategic missile and defense systems, cyber and information solutions, and intelligence systems, as well as command, control, communications, computers, intelligence, surveillance, and reconnaissance products; satellite systems, including government and commercial satellites, and space exploration. The Global Services segment offers various products and services comprising supply chain and logistics management, engineering, maintenance and modifications, upgrades and conversions, spare parts, pilot and maintenance training systems and services, technical and maintenance documents, and data analytics and digital services to commercial and defense customers. The Boeing Capital segment offers financing services and manages financing exposure for a portfolio of equipment under operating and finance leases, notes and other receivables, assets held for sale or re-lease, and investments. The Boeing Company was founded in 1916 and is based in Chicago, Illinois.

Statistics (YTD)

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

TotalReturn:

'The total return on a portfolio of investments takes into account not only the capital appreciation on the portfolio, but also the income received on the portfolio. The income typically consists of interest, dividends, and securities lending fees. This contrasts with the price return, which takes into account only the capital gain on an investment.'

Applying this definition to our asset in some examples:
  • The total return, or performance over 5 years of Boeing is -38%, which is lower, thus worse compared to the benchmark SPY (63%) in the same period.
  • During the last 3 years, the total return, or increase in value is -34.4%, which is lower, thus worse than the value of 33.5% from the benchmark.

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.'

Using this definition on our asset we see for example:
  • The annual performance (CAGR) over 5 years of Boeing is -9.1%, which is smaller, thus worse compared to the benchmark SPY (10.3%) in the same period.
  • Compared with SPY (10.1%) in the period of the last 3 years, the annual return (CAGR) of -13.1% is lower, thus worse.

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.'

Which means for our asset as example:
  • Compared with the benchmark SPY (21.6%) in the period of the last 5 years, the 30 days standard deviation of 50.8% of Boeing is greater, thus worse.
  • Compared with SPY (25.1%) in the period of the last 3 years, the historical 30 days volatility of 60.8% is greater, thus worse.

DownVol:

'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 34.9% in the last 5 years of Boeing, we see it is relatively higher, thus worse in comparison to the benchmark SPY (15.6%)
  • Looking at downside deviation in of 41.5% in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to SPY (18.1%).

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.'

Applying this definition to our asset in some examples:
  • The risk / return profile (Sharpe) over 5 years of Boeing is -0.23, which is lower, thus worse compared to the benchmark SPY (0.36) in the same period.
  • Looking at risk / return profile (Sharpe) in of -0.26 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (0.3).

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 (0.5) in the period of the last 5 years, the excess return divided by the downside deviation of -0.33 of Boeing is lower, thus worse.
  • Compared with SPY (0.42) in the period of the last 3 years, the excess return divided by the downside deviation of -0.38 is lower, thus worse.

Ulcer:

'The ulcer index is a stock market risk measure or technical analysis indicator devised by Peter Martin in 1987, and published by him and Byron McCann in their 1989 book The Investors Guide to Fidelity Funds. It's designed as a measure of volatility, but only volatility in the downward direction, i.e. the amount of drawdown or retracement occurring over a period. Other volatility measures like standard deviation treat up and down movement equally, but a trader doesn't mind upward movement, it's the downside that causes stress and stomach ulcers that the index's name suggests.'

Applying this definition to our asset in some examples:
  • Compared with the benchmark SPY (8.88 ) in the period of the last 5 years, the Ulcer Ratio of 44 of Boeing is higher, thus worse.
  • During the last 3 years, the Ulcer Ratio is 46 , which is greater, thus worse than the value of 11 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.'

Using this definition on our asset we see for example:
  • The maximum drop from peak to valley over 5 years of Boeing is -77.9 days, which is lower, thus worse compared to the benchmark SPY (-33.7 days) in the same period.
  • Looking at maximum DrawDown in of -72.5 days in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (-33.7 days).

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'

Which means for our asset as example:
  • Compared with the benchmark SPY (273 days) in the period of the last 5 years, the maximum days under water of 990 days of Boeing is higher, thus worse.
  • During the last 3 years, the maximum days under water is 750 days, which is greater, thus worse than the value of 273 days from the benchmark.

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.'

Using this definition on our asset we see for example:
  • Looking at the average days under water of 403 days in the last 5 years of Boeing, we see it is relatively larger, thus worse in comparison to the benchmark SPY (57 days)
  • Compared with SPY (73 days) in the period of the last 3 years, the average days below previous high of 375 days is higher, thus worse.

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 Boeing 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.