Disney (DIS)

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 performance of -8.3% in the last 5 years of Disney, we see it is relatively lower, thus worse in comparison to the benchmark SPY (67.9%)
• Compared with SPY (44.5%) in the period of the last 3 years, the total return, or performance of -25.4% is lower, thus worse.

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.'

• The annual return (CAGR) over 5 years of Disney is -1.7%, which is lower, thus worse compared to the benchmark SPY (10.9%) in the same period.
• Compared with SPY (13.1%) in the period of the last 3 years, the annual return (CAGR) of -9.3% 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 historical 30 days volatility of 33.3% in the last 5 years of Disney, we see it is relatively larger, thus worse in comparison to the benchmark SPY (21.4%)
• During the last 3 years, the historical 30 days volatility is 32.7%, which is greater, thus worse than the value of 18.7% from the benchmark.

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 22.7% in the last 5 years of Disney, we see it is relatively higher, thus worse in comparison to the benchmark SPY (15.4%)
• Looking at downside risk in of 22.5% in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to SPY (13.3%).

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 Sharpe Ratio over 5 years of Disney is -0.13, which is lower, thus worse compared to the benchmark SPY (0.39) in the same period.
• Compared with SPY (0.56) in the period of the last 3 years, the Sharpe Ratio of -0.36 is lower, thus worse.

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 Disney is -0.19, which is smaller, thus worse compared to the benchmark SPY (0.55) in the same period.
• During the last 3 years, the excess return divided by the downside deviation is -0.52, which is lower, thus worse than the value of 0.79 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 27 in the last 5 years of Disney, we see it is relatively higher, thus worse in comparison to the benchmark SPY (9.47 )
• Compared with SPY (10 ) in the period of the last 3 years, the Ulcer Ratio of 33 is higher, thus worse.

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.'

• Looking at the maximum drop from peak to valley of -58.3 days in the last 5 years of Disney, we see it is relatively lower, thus worse in comparison to the benchmark SPY (-33.7 days)
• Compared with SPY (-24.5 days) in the period of the last 3 years, the maximum drop from peak to valley of -58.3 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) in days.'

• Looking at the maximum time in days below previous high water mark of 563 days in the last 5 years of Disney, we see it is relatively larger, thus worse in comparison to the benchmark SPY (354 days)
• Looking at maximum time in days below previous high water mark in of 563 days in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to SPY (354 days).

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 under water of 168 days in the last 5 years of Disney, we see it is relatively larger, thus worse in comparison to the benchmark SPY (79 days)
• During the last 3 years, the average days below previous high is 222 days, which is higher, thus worse than the value of 102 days from the benchmark.