Description of DowDuPont

DowDuPont Inc. Common Stock

Symbol changed to DD

Statistics of DowDuPont (YTD)

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

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.'

Applying this definition to our asset in some examples:
  • Compared with the benchmark SPY (66.9%) in the period of the last 5 years, the total return of -31.4% of DowDuPont is lower, thus worse.
  • During the last 3 years, the total return, or increase in value is -32.1%, which is lower, thus worse than the value of 50.6% from the benchmark.

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.'

Which means for our asset as example:
  • Looking at the compounded annual growth rate (CAGR) of -7.4% in the last 5 years of DowDuPont, we see it is relatively lower, thus worse in comparison to the benchmark SPY (10.8%)
  • Looking at annual performance (CAGR) in of -12.4% in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (14.7%).

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.'

Which means for our asset as example:
  • Looking at the volatility of 43.3% in the last 5 years of DowDuPont, we see it is relatively greater, thus worse in comparison to the benchmark SPY (13.5%)
  • During the last 3 years, the historical 30 days volatility is 51.2%, which is higher, thus worse than the value of 12.8% 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:
  • Looking at the downside deviation of 45.7% in the last 5 years of DowDuPont, we see it is relatively larger, thus worse in comparison to the benchmark SPY (14.8%)
  • Compared with SPY (14.7%) in the period of the last 3 years, the downside risk of 55.2% is greater, thus worse.

Sharpe:

'The Sharpe ratio is the measure of risk-adjusted return of a financial portfolio. Sharpe ratio is a measure of excess portfolio return over the risk-free rate relative to its standard deviation. Normally, the 90-day Treasury bill rate is taken as the proxy for risk-free rate. A portfolio with a higher Sharpe ratio is considered superior relative to its peers. The measure was named after William F Sharpe, a Nobel laureate and professor of finance, emeritus at Stanford University.'

Using this definition on our asset we see for example:
  • Compared with the benchmark SPY (0.61) in the period of the last 5 years, the risk / return profile (Sharpe) of -0.23 of DowDuPont is lower, thus worse.
  • Looking at ratio of return and volatility (Sharpe) in of -0.29 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (0.95).

Sortino:

'The Sortino ratio, a variation of the Sharpe ratio only factors in the downside, or negative volatility, rather than the total volatility used in calculating the Sharpe ratio. The theory behind the Sortino variation is that upside volatility is a plus for the investment, and it, therefore, should not be included in the risk calculation. Therefore, the Sortino ratio takes upside volatility out of the equation and uses only the downside standard deviation in its calculation instead of the total standard deviation that is used in calculating the Sharpe ratio.'

Using this definition on our asset we see for example:
  • The downside risk / excess return profile over 5 years of DowDuPont is -0.22, which is smaller, thus worse compared to the benchmark SPY (0.56) in the same period.
  • During the last 3 years, the ratio of annual return and downside deviation is -0.27, which is lower, thus worse than the value of 0.83 from the benchmark.

Ulcer:

'The Ulcer Index is a technical indicator that measures downside risk, in terms of both the depth and duration of price declines. The index increases in value as the price moves farther away from a recent high and falls as the price rises to new highs. The indicator is usually calculated over a 14-day period, with the Ulcer Index showing the percentage drawdown a trader can expect from the high over that period. The greater the value of the Ulcer Index, the longer it takes for a stock to get back to the former high.'

Applying this definition to our asset in some examples:
  • The Ulcer Ratio over 5 years of DowDuPont is 13 , which is larger, thus worse compared to the benchmark SPY (3.99 ) in the same period.
  • Compared with SPY (4.1 ) in the period of the last 3 years, the Ulcer Index of 13 is greater, 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.'

Using this definition on our asset we see for example:
  • Compared with the benchmark SPY (-19.3 days) in the period of the last 5 years, the maximum DrawDown of -63.3 days of DowDuPont is lower, thus worse.
  • During the last 3 years, the maximum drop from peak to valley is -63.3 days, which is lower, thus worse than the value of -19.3 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.'

Using this definition on our asset we see for example:
  • Compared with the benchmark SPY (187 days) in the period of the last 5 years, the maximum days under water of 303 days of DowDuPont is higher, thus worse.
  • Looking at maximum days under water in of 295 days in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (139 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.'

Applying this definition to our asset in some examples:
  • Looking at the average days under water of 106 days in the last 5 years of DowDuPont, we see it is relatively larger, thus worse in comparison to the benchmark SPY (42 days)
  • Compared with SPY (36 days) in the period of the last 3 years, the average days below previous high of 73 days is higher, thus worse.

Performance of DowDuPont (YTD)

Historical returns have been extended using synthetic data.

Allocations of DowDuPont
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Allocations

Returns of DowDuPont (%)

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