Description

Discovery, Inc. operates as a media company in the United States and internationally. The company operates in two segments, U.S. Networks and International Networks. The company owns and operates various television networks under the Discovery Channel, TLC, Animal Planet, Investigation Discovery, Science Channel, MotorTrend, Food Network, HGTV, Travel Channel, TVN, DIY Network, Cooking Channel, Discovery Family Channel, American Heroes Channel, Destination America, Discovery Life, Discovery en Espanol, Discovery Familia, Great American Country, ID, the Oprah Winfrey Network, Eurosport, Discovery Kids, DMAX, and Discovery Home & Health brands, as well as other regional television networks. Its content spans genres, including survival, exploration, sports, lifestyle, general entertainment, home, food and travel, heroes, adventure, crime and investigation, health, and kids. The company also operates production studios that develop and produce content; and digital products and Websites. It provides content through various distribution platforms comprising pay-television, free-to-air and broadcast television, authenticated GO applications, digital distribution arrangements, and content licensing agreements, as well as various platforms that include brand-aligned Websites, online streaming, mobile devices, video on demand, and broadband channels. As of February 27, 2020, the company delivered approximately 8,000 hours of original programming each year in approximately 50 languages worldwide. Discovery, Inc. was founded in 1985 and is headquartered in Silver Spring, Maryland.

Statistics (YTD)

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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.'

Which means for our asset as example:
  • Looking at the total return, or performance of 31.8% in the last 5 years of Discovery, we see it is relatively lower, thus worse in comparison to the benchmark SPY (120.8%)
  • Compared with SPY (66.3%) in the period of the last 3 years, the total return, or performance of 63.6% is smaller, 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.'

Applying this definition to our asset in some examples:
  • Compared with the benchmark SPY (17.2%) in the period of the last 5 years, the annual return (CAGR) of 5.7% of Discovery is smaller, thus worse.
  • Looking at annual performance (CAGR) in of 17.8% in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (18.5%).

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.'

Using this definition on our asset we see for example:
  • Compared with the benchmark SPY (18.7%) in the period of the last 5 years, the historical 30 days volatility of 40.6% of Discovery is larger, thus worse.
  • During the last 3 years, the 30 days standard deviation is 46%, which is higher, thus worse than the value of 22.4% from the benchmark.

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:
  • Compared with the benchmark SPY (13.6%) in the period of the last 5 years, the downside volatility of 29.5% of Discovery is larger, thus worse.
  • Looking at downside deviation in of 33.5% in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (16.3%).

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.'

Applying this definition to our asset in some examples:
  • Compared with the benchmark SPY (0.78) in the period of the last 5 years, the Sharpe Ratio of 0.08 of Discovery is lower, thus worse.
  • Looking at risk / return profile (Sharpe) in of 0.33 in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (0.71).

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.'

Using this definition on our asset we see for example:
  • The downside risk / excess return profile over 5 years of Discovery is 0.11, which is lower, thus worse compared to the benchmark SPY (1.08) in the same period.
  • During the last 3 years, the downside risk / excess return profile is 0.46, which is lower, thus worse than the value of 0.98 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.'

Applying this definition to our asset in some examples:
  • The Ulcer Index over 5 years of Discovery is 21 , which is greater, thus worse compared to the benchmark SPY (5.59 ) in the same period.
  • Compared with SPY (6.83 ) in the period of the last 3 years, the Ulcer Ratio of 22 is higher, thus worse.

MaxDD:

'Maximum drawdown measures the loss in any losing period during a fund’s investment record. It is defined as the percent retrenchment from a fund’s peak value to the fund’s valley value. The drawdown is in effect from the time the fund’s retrenchment begins until a new fund high is reached. The maximum drawdown encompasses both the period from the fund’s peak to the fund’s valley (length), and the time from the fund’s valley to a new fund high (recovery). It measures the largest percentage drawdown that has occurred in any fund’s data record.'

Applying this definition to our asset in some examples:
  • Looking at the maximum reduction from previous high of -51.7 days in the last 5 years of Discovery, we see it is relatively lower, thus worse in comparison to the benchmark SPY (-33.7 days)
  • During the last 3 years, the maximum reduction from previous high is -51.7 days, which is smaller, thus worse than the value of -33.7 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.'

Which means for our asset as example:
  • Looking at the maximum days under water of 541 days in the last 5 years of Discovery, we see it is relatively larger, thus worse in comparison to the benchmark SPY (139 days)
  • Compared with SPY (139 days) in the period of the last 3 years, the maximum days below previous high of 541 days is higher, 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.'

Which means for our asset as example:
  • Compared with the benchmark SPY (33 days) in the period of the last 5 years, the average days below previous high of 194 days of Discovery is higher, thus worse.
  • Compared with SPY (35 days) in the period of the last 3 years, the average days under water of 210 days is higher, thus worse.

Performance (YTD)

Historical returns have been extended using synthetic data.

Allocations
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Allocations

Returns (%)

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