Description of Comcast

Comcast Corporation - Class A Common Stock

Statistics of Comcast (YTD)

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

TotalReturn:

'Total return is the amount of value an investor earns from a security over a specific period, typically one year, when all distributions are reinvested. Total return is expressed as a percentage of the amount invested. For example, a total return of 20% means the security increased by 20% of its original value due to a price increase, distribution of dividends (if a stock), coupons (if a bond) or capital gains (if a fund). Total return is a strong measure of an investment’s overall performance.'

Applying this definition to our asset in some examples:
  • Compared with the benchmark SPY (68.6%) in the period of the last 5 years, the total return, or performance of 77.2% of Comcast is greater, thus better.
  • Looking at total return, or increase in value in of 37.7% in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (51%).

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.'

Applying this definition to our asset in some examples:
  • Compared with the benchmark SPY (11%) in the period of the last 5 years, the annual performance (CAGR) of 12.1% of Comcast is higher, thus better.
  • Compared with SPY (14.8%) in the period of the last 3 years, the annual return (CAGR) of 11.3% is smaller, 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.'

Using this definition on our asset we see for example:
  • Compared with the benchmark SPY (13.5%) in the period of the last 5 years, the historical 30 days volatility of 21.1% of Comcast is greater, thus worse.
  • Compared with SPY (12.8%) in the period of the last 3 years, the volatility of 22.4% is greater, thus worse.

DownVol:

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

Using this definition on our asset we see for example:
  • The downside volatility over 5 years of Comcast is 22.2%, which is larger, thus worse compared to the benchmark SPY (14.9%) in the same period.
  • Looking at downside deviation in of 23.4% in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (14.7%).

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.'

Which means for our asset as example:
  • The Sharpe Ratio over 5 years of Comcast is 0.46, which is lower, thus worse compared to the benchmark SPY (0.63) in the same period.
  • During the last 3 years, the Sharpe Ratio is 0.39, which is lower, thus worse than the value of 0.96 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.'

Applying this definition to our asset in some examples:
  • Looking at the downside risk / excess return profile of 0.43 in the last 5 years of Comcast, we see it is relatively smaller, thus worse in comparison to the benchmark SPY (0.57)
  • Looking at excess return divided by the downside deviation in of 0.37 in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (0.83).

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.'

Which means for our asset as example:
  • Looking at the Downside risk index of 9.59 in the last 5 years of Comcast, we see it is relatively larger, thus worse in comparison to the benchmark SPY (3.99 )
  • Compared with SPY (4.1 ) in the period of the last 3 years, the Downside risk index of 11 is greater, 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.'

Using this definition on our asset we see for example:
  • Looking at the maximum reduction from previous high of -28.4 days in the last 5 years of Comcast, we see it is relatively smaller, thus worse in comparison to the benchmark SPY (-19.3 days)
  • Compared with SPY (-19.3 days) in the period of the last 3 years, the maximum reduction from previous high of -28.4 days is smaller, thus worse.

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.'

Using this definition on our asset we see for example:
  • The maximum days under water over 5 years of Comcast is 307 days, which is greater, thus worse compared to the benchmark SPY (187 days) in the same period.
  • During the last 3 years, the maximum time in days below previous high water mark is 307 days, which is larger, thus worse than the value of 139 days from the benchmark.

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.'

Using this definition on our asset we see for example:
  • Compared with the benchmark SPY (42 days) in the period of the last 5 years, the average time in days below previous high water mark of 78 days of Comcast is greater, thus worse.
  • During the last 3 years, the average time in days below previous high water mark is 81 days, which is greater, thus worse than the value of 36 days from the benchmark.

Performance of Comcast (YTD)

Historical returns have been extended using synthetic data.

Allocations of Comcast
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Allocations

Returns of Comcast (%)

  • Note that yearly returns do not equal the sum of monthly returns due to compounding.
  • Performance results of Comcast 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.