Diamondback Energy (FANG)

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 over 5 years of Diamondback Energy is 171.5%, which is greater, thus better compared to the benchmark SPY (110.8%) in the same period.
• During the last 3 years, the total return, or performance is 98.1%, which is higher, thus better than the value of 36.5% from the benchmark.

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.'

• Compared with the benchmark SPY (16.1%) in the period of the last 5 years, the annual performance (CAGR) of 22.1% of Diamondback Energy is larger, thus better.
• Compared with SPY (11%) in the period of the last 3 years, the annual performance (CAGR) of 25.7% is larger, thus better.

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.'

• The historical 30 days volatility over 5 years of Diamondback Energy is 59.3%, which is greater, thus worse compared to the benchmark SPY (20.9%) in the same period.
• During the last 3 years, the 30 days standard deviation is 37%, which is higher, thus worse than the value of 17.5% from the benchmark.

DownVol:

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

• The downside deviation over 5 years of Diamondback Energy is 41.3%, which is greater, thus worse compared to the benchmark SPY (14.9%) in the same period.
• Compared with SPY (12.3%) in the period of the last 3 years, the downside volatility of 25.6% is larger, 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.'

• Compared with the benchmark SPY (0.65) in the period of the last 5 years, the ratio of return and volatility (Sharpe) of 0.33 of Diamondback Energy is smaller, thus worse.
• Compared with SPY (0.48) in the period of the last 3 years, the risk / return profile (Sharpe) of 0.63 is greater, thus better.

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.'

• The ratio of annual return and downside deviation over 5 years of Diamondback Energy is 0.48, which is lower, thus worse compared to the benchmark SPY (0.91) in the same period.
• Compared with SPY (0.69) in the period of the last 3 years, the ratio of annual return and downside deviation of 0.91 is higher, thus better.

Ulcer:

'The ulcer index is a stock market risk measure or technical analysis indicator devised by Peter Martin in 1987, and published by him and Byron McCann in their 1989 book The Investors Guide to Fidelity Funds. It's designed as a measure of volatility, but only volatility in the downward direction, i.e. the amount of drawdown or retracement occurring over a period. Other volatility measures like standard deviation treat up and down movement equally, but a trader doesn't mind upward movement, it's the downside that causes stress and stomach ulcers that the index's name suggests.'

• Compared with the benchmark SPY (9.32 ) in the period of the last 5 years, the Downside risk index of 28 of Diamondback Energy is higher, thus worse.
• Compared with SPY (10 ) in the period of the last 3 years, the Ulcer Index of 12 is larger, 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.'

• Compared with the benchmark SPY (-33.7 days) in the period of the last 5 years, the maximum reduction from previous high of -83.8 days of Diamondback Energy is lower, thus worse.
• Compared with SPY (-24.5 days) in the period of the last 3 years, the maximum DrawDown of -33.5 days is smaller, 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 days below previous high of 368 days in the last 5 years of Diamondback Energy, we see it is relatively lower, thus better in comparison to the benchmark SPY (488 days)
• Compared with SPY (488 days) in the period of the last 3 years, the maximum days below previous high of 226 days is lower, thus better.

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.'

• Looking at the average days under water of 94 days in the last 5 years of Diamondback Energy, we see it is relatively smaller, thus better in comparison to the benchmark SPY (124 days)
• During the last 3 years, the average days under water is 57 days, which is lower, thus better than the value of 179 days from the benchmark.