Description

Baidu, Inc. - American Depositary Shares, each representing one tenth Class A ordinary share

Statistics (YTD)

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

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.'

Applying this definition to our asset in some examples:
  • Looking at the total return of -44% in the last 5 years of Baidu, we see it is relatively lower, thus worse in comparison to the benchmark SPY (67.9%)
  • During the last 3 years, the total return, or increase in value is -39%, which is lower, thus worse than the value of 38.6% from the benchmark.

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.'

Which means for our asset as example:
  • The compounded annual growth rate (CAGR) over 5 years of Baidu is -11%, which is lower, thus worse compared to the benchmark SPY (10.9%) in the same period.
  • Looking at annual return (CAGR) in of -15.2% in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (11.5%).

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.'

Using this definition on our asset we see for example:
  • Looking at the 30 days standard deviation of 36.7% in the last 5 years of Baidu, we see it is relatively higher, thus worse in comparison to the benchmark SPY (18.7%)
  • Compared with SPY (21.5%) in the period of the last 3 years, the volatility of 37.6% is larger, 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 volatility of 26.2% in the last 5 years of Baidu, we see it is relatively greater, thus worse in comparison to the benchmark SPY (13.6%)
  • During the last 3 years, the downside deviation is 27.3%, which is larger, thus worse than the value of 15.7% 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.'

Using this definition on our asset we see for example:
  • The risk / return profile (Sharpe) over 5 years of Baidu is -0.37, which is lower, thus worse compared to the benchmark SPY (0.45) in the same period.
  • Compared with SPY (0.42) in the period of the last 3 years, the Sharpe Ratio of -0.47 is smaller, thus worse.

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:
  • Looking at the excess return divided by the downside deviation of -0.51 in the last 5 years of Baidu, we see it is relatively smaller, thus worse in comparison to the benchmark SPY (0.62)
  • During the last 3 years, the excess return divided by the downside deviation is -0.65, which is smaller, thus worse than the value of 0.57 from the benchmark.

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:
  • The Ulcer Ratio over 5 years of Baidu is 34 , which is greater, thus worse compared to the benchmark SPY (5.82 ) in the same period.
  • Looking at Ulcer Index in of 41 in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (6.87 ).

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:
  • Looking at the maximum reduction from previous high of -70.6 days in the last 5 years of Baidu, we see it is relatively smaller, thus worse in comparison to the benchmark SPY (-33.7 days)
  • During the last 3 years, the maximum drop from peak to valley is -70.6 days, which is lower, thus worse than the value of -33.7 days from the benchmark.

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) in days.'

Which means for our asset as example:
  • Compared with the benchmark SPY (187 days) in the period of the last 5 years, the maximum days under water of 517 days of Baidu is higher, thus worse.
  • Compared with SPY (139 days) in the period of the last 3 years, the maximum days under water of 517 days is greater, 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.'

Applying this definition to our asset in some examples:
  • Compared with the benchmark SPY (43 days) in the period of the last 5 years, the average days under water of 193 days of Baidu is larger, thus worse.
  • During the last 3 years, the average days under water is 198 days, which is higher, thus worse than the value of 39 days from the benchmark.

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 Baidu 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.