Disney (DIS)

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.'

• Looking at the total return, or performance of -43.8% in the last 5 years of Disney, we see it is relatively lower, thus worse in comparison to the benchmark SPY (84.4%)
• Compared with SPY (71.1%) in the period of the last 3 years, the total return, or performance of 17.7% 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.'

• Looking at the annual performance (CAGR) of -10.9% in the last 5 years of Disney, we see it is relatively lower, thus worse in comparison to the benchmark SPY (13.1%)
• Compared with SPY (19.7%) in the period of the last 3 years, the annual return (CAGR) of 5.6% is lower, thus worse.

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.'

• Looking at the 30 days standard deviation of 29.4% in the last 5 years of Disney, we see it is relatively higher, thus worse in comparison to the benchmark SPY (17.2%)
• Looking at historical 30 days volatility in of 27.4% in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to SPY (15.3%).

DownVol:

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

• Compared with the benchmark SPY (11.8%) in the period of the last 5 years, the downside deviation of 21.1% of Disney is higher, thus worse.
• Compared with SPY (10.3%) in the period of the last 3 years, the downside deviation of 18.5% 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.'

• Looking at the risk / return profile (Sharpe) of -0.46 in the last 5 years of Disney, we see it is relatively lower, thus worse in comparison to the benchmark SPY (0.62)
• Looking at risk / return profile (Sharpe) in of 0.11 in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (1.12).

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.'

• Looking at the ratio of annual return and downside deviation of -0.64 in the last 5 years of Disney, we see it is relatively lower, thus worse in comparison to the benchmark SPY (0.89)
• During the last 3 years, the downside risk / excess return profile is 0.17, which is lower, thus worse than the value of 1.67 from the benchmark.

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.'

• Looking at the Ulcer Index of 42 in the last 5 years of Disney, we see it is relatively larger, thus worse in comparison to the benchmark SPY (8.45 )
• During the last 3 years, the Downside risk index is 14 , which is higher, thus worse than the value of 3.52 from the benchmark.

MaxDD:

'Maximum drawdown is defined as the peak-to-trough decline of an investment during a specific period. It is usually quoted as a percentage of the peak value. The maximum drawdown can be calculated based on absolute returns, in order to identify strategies that suffer less during market downturns, such as low-volatility strategies. However, the maximum drawdown can also be calculated based on returns relative to a benchmark index, for identifying strategies that show steady outperformance over time.'

• The maximum DrawDown over 5 years of Disney is -57.3 days, which is lower, thus worse compared to the benchmark SPY (-24.5 days) in the same period.
• During the last 3 years, the maximum DrawDown is -32.9 days, which is smaller, thus worse than the value of -18.8 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.'

• Compared with the benchmark SPY (488 days) in the period of the last 5 years, the maximum days under water of 1217 days of Disney is higher, thus worse.
• Compared with SPY (87 days) in the period of the last 3 years, the maximum time in days below previous high water mark of 308 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.'

• Looking at the average time in days below previous high water mark of 594 days in the last 5 years of Disney, we see it is relatively greater, thus worse in comparison to the benchmark SPY (119 days)
• During the last 3 years, the average time in days below previous high water mark is 118 days, which is larger, thus worse than the value of 21 days from the benchmark.