Baker Hughes (BKR)

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.'

• Looking at the total return, or increase in value of 215.7% in the last 5 years of Baker Hughes, we see it is relatively higher, thus better in comparison to the benchmark SPY (81.8%)
• Looking at total return, or performance in of 84.3% in the period of the last 3 years, we see it is relatively greater, thus better in comparison to SPY (78.5%).

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.'

• Compared with the benchmark SPY (12.8%) in the period of the last 5 years, the compounded annual growth rate (CAGR) of 26% of Baker Hughes is greater, thus better.
• Compared with SPY (21.5%) in the period of the last 3 years, the annual return (CAGR) of 22.8% is higher, thus better.

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.'

• The historical 30 days volatility over 5 years of Baker Hughes is 34.6%, which is larger, thus worse compared to the benchmark SPY (17.2%) in the same period.
• During the last 3 years, the historical 30 days volatility is 31.6%, which is higher, thus worse than the value of 15.3% from the benchmark.

DownVol:

'The downside volatility is similar to the volatility, or standard deviation, but only takes losing/negative periods into account.'

• The downside volatility over 5 years of Baker Hughes is 23.8%, which is larger, thus worse compared to the benchmark SPY (11.9%) in the same period.
• Compared with SPY (10.3%) in the period of the last 3 years, the downside deviation of 21.5% is higher, thus worse.

Sharpe:

'The Sharpe ratio was developed by Nobel laureate William F. Sharpe, and is used to help investors understand the return of an investment compared to its risk. The ratio is the average return earned in excess of the risk-free rate per unit of volatility or total risk. Subtracting the risk-free rate from the mean return allows an investor to better isolate the profits associated with risk-taking activities. One intuition of this calculation is that a portfolio engaging in 'zero risk' investments, such as the purchase of U.S. Treasury bills (for which the expected return is the risk-free rate), has a Sharpe ratio of exactly zero. Generally, the greater the value of the Sharpe ratio, the more attractive the risk-adjusted return.'

• Compared with the benchmark SPY (0.6) in the period of the last 5 years, the Sharpe Ratio of 0.68 of Baker Hughes is greater, thus better.
• During the last 3 years, the ratio of return and volatility (Sharpe) is 0.64, which is lower, thus worse than the value of 1.24 from the benchmark.

Sortino:

'The Sortino ratio measures the risk-adjusted return of an investment asset, portfolio, or strategy. It is a modification of the Sharpe ratio but penalizes only those returns falling below a user-specified target or required rate of return, while the Sharpe ratio penalizes both upside and downside volatility equally. Though both ratios measure an investment's risk-adjusted return, they do so in significantly different ways that will frequently lead to differing conclusions as to the true nature of the investment's return-generating efficiency. The Sortino ratio is used as a way to compare the risk-adjusted performance of programs with differing risk and return profiles. In general, risk-adjusted returns seek to normalize the risk across programs and then see which has the higher return unit per risk.'

• The ratio of annual return and downside deviation over 5 years of Baker Hughes is 0.99, which is larger, thus better compared to the benchmark SPY (0.87) in the same period.
• Looking at ratio of annual return and downside deviation in of 0.94 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (1.85).

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.'

• Compared with the benchmark SPY (8.46 ) in the period of the last 5 years, the Ulcer Ratio of 16 of Baker Hughes is higher, thus worse.
• Looking at Downside risk index in of 11 in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to SPY (3.36 ).

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.'

• Compared with the benchmark SPY (-24.5 days) in the period of the last 5 years, the maximum drop from peak to valley of -46.5 days of Baker Hughes is lower, thus worse.
• Looking at maximum reduction from previous high in of -28 days in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (-18.8 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) in days.'

• Looking at the maximum days under water of 585 days in the last 5 years of Baker Hughes, we see it is relatively larger, thus worse in comparison to the benchmark SPY (488 days)
• Compared with SPY (87 days) in the period of the last 3 years, the maximum time in days below previous high water mark of 218 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.'

• Looking at the average days below previous high of 165 days in the last 5 years of Baker Hughes, we see it is relatively higher, thus worse in comparison to the benchmark SPY (118 days)
• Compared with SPY (17 days) in the period of the last 3 years, the average days under water of 64 days is higher, thus worse.