Charter Communications (CHTR)

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 increase in value over 5 years of Charter Communications is -12.5%, which is lower, thus worse compared to the benchmark SPY (145.1%) in the same period.
• Compared with SPY (29.4%) in the period of the last 3 years, the total return of -34% is lower, thus worse.

CAGR:

'Compound annual growth rate (CAGR) is a business and investing specific term for the geometric progression ratio that provides a constant rate of return over the time period. CAGR is not an accounting term, but it is often used to describe some element of the business, for example revenue, units delivered, registered users, etc. CAGR dampens the effect of volatility of periodic returns that can render arithmetic means irrelevant. It is particularly useful to compare growth rates from various data sets of common domain such as revenue growth of companies in the same industry.'

• The compounded annual growth rate (CAGR) over 5 years of Charter Communications is -2.6%, which is smaller, thus worse compared to the benchmark SPY (19.7%) in the same period.
• Compared with SPY (9%) in the period of the last 3 years, the annual performance (CAGR) of -13% is lower, thus worse.

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.'

• Compared with the benchmark SPY (17.4%) in the period of the last 5 years, the historical 30 days volatility of 33.5% of Charter Communications is higher, thus worse.
• During the last 3 years, the 30 days standard deviation is 38%, which is larger, thus worse than the value of 17% 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 Charter Communications is 24.3%, which is greater, thus worse compared to the benchmark SPY (12%) in the same period.
• Looking at downside risk in of 27.9% in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to SPY (12%).

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.'

• The ratio of return and volatility (Sharpe) over 5 years of Charter Communications is -0.15, which is smaller, thus worse compared to the benchmark SPY (0.99) in the same period.
• During the last 3 years, the Sharpe Ratio is -0.41, which is smaller, thus worse than the value of 0.38 from the benchmark.

Sortino:

'The Sortino ratio, a variation of the Sharpe ratio only factors in the downside, or negative volatility, rather than the total volatility used in calculating the Sharpe ratio. The theory behind the Sortino variation is that upside volatility is a plus for the investment, and it, therefore, should not be included in the risk calculation. Therefore, the Sortino ratio takes upside volatility out of the equation and uses only the downside standard deviation in its calculation instead of the total standard deviation that is used in calculating the Sharpe ratio.'

• Looking at the ratio of annual return and downside deviation of -0.21 in the last 5 years of Charter Communications, we see it is relatively smaller, thus worse in comparison to the benchmark SPY (1.44)
• Looking at excess return divided by the downside deviation in of -0.56 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (0.54).

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.'

• The Ulcer Index over 5 years of Charter Communications is 44 , which is larger, thus worse compared to the benchmark SPY (8.31 ) in the same period.
• Compared with SPY (8.15 ) in the period of the last 3 years, the Ulcer Index of 36 is higher, thus worse.

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.'

• Compared with the benchmark SPY (-24.5 days) in the period of the last 5 years, the maximum drop from peak to valley of -69 days of Charter Communications is lower, thus worse.
• During the last 3 years, the maximum drop from peak to valley is -54.7 days, which is lower, thus worse than the value of -21.3 days from the benchmark.

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.'

• The maximum days under water over 5 years of Charter Communications is 897 days, which is higher, thus worse compared to the benchmark SPY (488 days) in the same period.
• Compared with SPY (318 days) in the period of the last 3 years, the maximum days below previous high of 743 days is greater, thus worse.

AveDuration:

'The Average 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. 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 Charter Communications is 347 days, which is higher, thus worse compared to the benchmark SPY (119 days) in the same period.
• During the last 3 years, the average days under water is 369 days, which is larger, thus worse than the value of 86 days from the benchmark.