Boeing Company (The) (BA)

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.'

• The total return, or performance over 5 years of Boeing Company (The) is 229.8%, which is greater, thus better compared to the benchmark SPY (66.1%) in the same period.
• Compared with SPY (46.2%) in the period of the last 3 years, the total return of 200.6% 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.'

• Compared with the benchmark SPY (10.7%) in the period of the last 5 years, the annual return (CAGR) of 27% of Boeing Company (The) is larger, thus better.
• Compared with SPY (13.5%) in the period of the last 3 years, the compounded annual growth rate (CAGR) of 44.4% is greater, thus better.

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 24.3% in the last 5 years of Boeing Company (The), we see it is relatively higher, thus worse in comparison to the benchmark SPY (13.4%)
• Compared with SPY (12.3%) in the period of the last 3 years, the 30 days standard deviation of 24.9% 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.'

• Looking at the downside risk of 25.7% in the last 5 years of Boeing Company (The), we see it is relatively higher, thus worse in comparison to the benchmark SPY (14.6%)
• Compared with SPY (13.9%) in the period of the last 3 years, the downside risk of 25.9% 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.'

• The risk / return profile (Sharpe) over 5 years of Boeing Company (The) is 1.01, which is larger, thus better compared to the benchmark SPY (0.61) in the same period.
• Compared with SPY (0.9) in the period of the last 3 years, the Sharpe Ratio of 1.68 is greater, thus better.

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.'

• Compared with the benchmark SPY (0.56) in the period of the last 5 years, the ratio of annual return and downside deviation of 0.95 of Boeing Company (The) is larger, thus better.
• Looking at downside risk / excess return profile in of 1.61 in the period of the last 3 years, we see it is relatively greater, thus better in comparison to SPY (0.8).

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.'

• Looking at the Ulcer Ratio of 9.8 in the last 5 years of Boeing Company (The), we see it is relatively higher, thus worse in comparison to the benchmark SPY (3.99 )
• Looking at Downside risk index in of 7.97 in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (4.04 ).

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 Boeing Company (The) is -29.5 days, which is lower, thus worse compared to the benchmark SPY (-19.3 days) in the same period.
• Compared with SPY (-19.3 days) in the period of the last 3 years, the maximum DrawDown of -24.7 days is lower, thus worse.

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 time in days below previous high water mark of 447 days in the last 5 years of Boeing Company (The), we see it is relatively higher, thus worse in comparison to the benchmark SPY (187 days)
• Looking at maximum time in days below previous high water mark in of 95 days in the period of the last 3 years, we see it is relatively lower, thus better in comparison to SPY (139 days).

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.'

• The average time in days below previous high water mark over 5 years of Boeing Company (The) is 104 days, which is larger, thus worse compared to the benchmark SPY (41 days) in the same period.
• Looking at average time in days below previous high water mark in of 24 days in the period of the last 3 years, we see it is relatively lower, thus better in comparison to SPY (36 days).