Diamondback Energy (FANG)

TotalReturn:

'Total return is the amount of value an investor earns from a security over a specific period, typically one year, when all distributions are reinvested. Total return is expressed as a percentage of the amount invested. For example, a total return of 20% means the security increased by 20% of its original value due to a price increase, distribution of dividends (if a stock), coupons (if a bond) or capital gains (if a fund). Total return is a strong measure of an investment’s overall performance.'

• Looking at the total return, or increase in value of 16.6% in the last 5 years of Diamondback Energy, we see it is relatively lower, thus worse in comparison to the benchmark SPY (61.9%)
• Looking at total return in of 688.4% in the period of the last 3 years, we see it is relatively greater, thus better in comparison to SPY (79.4%).

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.'

• Looking at the annual return (CAGR) of 3.1% in the last 5 years of Diamondback Energy, we see it is relatively lower, thus worse in comparison to the benchmark SPY (10.1%)
• During the last 3 years, the annual return (CAGR) is 99%, which is higher, thus better than the value of 21.5% from the benchmark.

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.'

• Looking at the volatility of 61.3% in the last 5 years of Diamondback Energy, we see it is relatively higher, thus worse in comparison to the benchmark SPY (21.5%)
• During the last 3 years, the historical 30 days volatility is 62.5%, which is larger, thus worse than the value of 21.2% 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 risk of 43.2% in the last 5 years of Diamondback Energy, we see it is relatively higher, thus worse in comparison to the benchmark SPY (15.5%)
• Looking at downside risk in of 37.2% in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (14.1%).

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 ratio of return and volatility (Sharpe) of 0.01 in the last 5 years of Diamondback Energy, we see it is relatively lower, thus worse in comparison to the benchmark SPY (0.36)
• During the last 3 years, the risk / return profile (Sharpe) is 1.54, which is larger, thus better than the value of 0.9 from the benchmark.

Sortino:

'The Sortino ratio improves upon the Sharpe ratio by isolating downside volatility from total volatility by dividing excess return by the downside deviation. The Sortino ratio is a variation of the Sharpe ratio that differentiates harmful volatility from total overall volatility by using the asset's standard deviation of negative asset returns, called downside deviation. The Sortino ratio takes the asset's return and subtracts the risk-free rate, and then divides that amount by the asset's downside deviation. The ratio was named after Frank A. Sortino.'

• Looking at the downside risk / excess return profile of 0.01 in the last 5 years of Diamondback Energy, we see it is relatively lower, thus worse in comparison to the benchmark SPY (0.49)
• Looking at downside risk / excess return profile in of 2.59 in the period of the last 3 years, we see it is relatively higher, thus better in comparison to SPY (1.35).

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.'

• Looking at the Ulcer Index of 39 in the last 5 years of Diamondback Energy, we see it is relatively larger, thus worse in comparison to the benchmark SPY (9.15 )
• Compared with SPY (9.78 ) in the period of the last 3 years, the Ulcer Index of 20 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.'

• The maximum reduction from previous high over 5 years of Diamondback Energy is -88.7 days, which is lower, thus worse compared to the benchmark SPY (-33.7 days) in the same period.
• Looking at maximum DrawDown in of -58.5 days in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (-24.5 days).

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). Many assume Max DD Duration is the length of time between new highs during which the Max DD (magnitude) occurred. But that isn’t always the case. The Max DD duration is the longest time between peaks, period. So it could be the time when the program also had its biggest peak to valley loss (and usually is, because the program needs a long time to recover from the largest loss), but it doesn’t have to be'

• Looking at the maximum days under water of 840 days in the last 5 years of Diamondback Energy, we see it is relatively greater, thus worse in comparison to the benchmark SPY (305 days)
• Looking at maximum time in days below previous high water mark in of 150 days in the period of the last 3 years, we see it is relatively lower, thus better in comparison to SPY (305 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 299 days in the last 5 years of Diamondback Energy, we see it is relatively greater, thus worse in comparison to the benchmark SPY (65 days)
• Compared with SPY (80 days) in the period of the last 3 years, the average days below previous high of 38 days is lower, thus better.