CSX (CSX)

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 CSX is 78.5%, which is greater, thus better compared to the benchmark SPY (58.9%) in the same period.
• Compared with SPY (33.9%) in the period of the last 3 years, the total return, or increase in value of 28.8% is lower, thus worse.

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 (9.7%) in the period of the last 5 years, the annual performance (CAGR) of 12.3% of CSX is larger, thus better.
• During the last 3 years, the annual performance (CAGR) is 8.8%, which is smaller, thus worse than the value of 10.2% from the benchmark.

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 30.4% in the last 5 years of CSX, we see it is relatively higher, thus worse in comparison to the benchmark SPY (21.6%)
• Compared with SPY (25%) in the period of the last 3 years, the 30 days standard deviation of 33.8% is larger, thus worse.

DownVol:

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

• Looking at the downside volatility of 21.2% in the last 5 years of CSX, we see it is relatively higher, thus worse in comparison to the benchmark SPY (15.7%)
• Compared with SPY (18.1%) in the period of the last 3 years, the downside deviation of 23.5% is larger, thus worse.

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.'

• Compared with the benchmark SPY (0.33) in the period of the last 5 years, the Sharpe Ratio of 0.32 of CSX is lower, thus worse.
• Looking at risk / return profile (Sharpe) in of 0.19 in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (0.31).

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.'

• Looking at the downside risk / excess return profile of 0.46 in the last 5 years of CSX, we see it is relatively larger, thus better in comparison to the benchmark SPY (0.46)
• Compared with SPY (0.43) in the period of the last 3 years, the downside risk / excess return profile of 0.27 is smaller, thus worse.

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.'

• The Downside risk index over 5 years of CSX is 11 , which is higher, thus worse compared to the benchmark SPY (8.91 ) in the same period.
• Looking at Downside risk index in of 13 in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (11 ).

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 (-33.7 days) in the period of the last 5 years, the maximum DrawDown of -40.6 days of CSX is lower, thus worse.
• Compared with SPY (-33.7 days) in the period of the last 3 years, the maximum reduction from previous high of -40.6 days is lower, 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). Many assume Max DD Duration is the length of time between new highs during which the Max DD (magnitude) occurred. But that isn’t always the case. The Max DD duration is the longest time between peaks, period. So it could be the time when the program also had its biggest peak to valley loss (and usually is, because the program needs a long time to recover from the largest loss), but it doesn’t have to be'

• Compared with the benchmark SPY (271 days) in the period of the last 5 years, the maximum days under water of 211 days of CSX is lower, thus better.
• During the last 3 years, the maximum time in days below previous high water mark is 211 days, which is lower, thus better than the value of 271 days from the benchmark.

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 days below previous high over 5 years of CSX is 63 days, which is greater, thus worse compared to the benchmark SPY (60 days) in the same period.
• Compared with SPY (72 days) in the period of the last 3 years, the average days under water of 61 days is lower, thus better.