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.'

• Compared with the benchmark SPY (154.3%) in the period of the last 5 years, the total return of 950.3% of Diamondback Energy is greater, thus better.
• During the last 3 years, the total return, or performance is 41.4%, which is greater, thus better than the value of 32.9% 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.'

• Compared with the benchmark SPY (20.6%) in the period of the last 5 years, the annual return (CAGR) of 60.3% of Diamondback Energy is higher, thus better.
• Looking at annual return (CAGR) in of 12.3% in the period of the last 3 years, we see it is relatively higher, thus better in comparison to SPY (10%).

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 30 days standard deviation of 51.5% in the last 5 years of Diamondback Energy, we see it is relatively larger, thus worse in comparison to the benchmark SPY (18.4%)
• Compared with SPY (17%) in the period of the last 3 years, the historical 30 days volatility of 34.9% is higher, thus worse.

DownVol:

'Downside risk is the financial risk associated with losses. That is, it is the risk of the actual return being below the expected return, or the uncertainty about the magnitude of that difference. Risk measures typically quantify the downside risk, whereas the standard deviation (an example of a deviation risk measure) measures both the upside and downside risk. Specifically, downside risk in our definition is the semi-deviation, that is the standard deviation of all negative returns.'

• The downside risk over 5 years of Diamondback Energy is 31.3%, which is greater, thus worse compared to the benchmark SPY (12.4%) in the same period.
• Looking at downside volatility in of 24.9% in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to SPY (12%).

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.'

• The ratio of return and volatility (Sharpe) over 5 years of Diamondback Energy is 1.12, which is greater, thus better compared to the benchmark SPY (0.99) in the same period.
• During the last 3 years, the risk / return profile (Sharpe) is 0.28, which is lower, thus worse than the value of 0.44 from the benchmark.

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.'

• Looking at the ratio of annual return and downside deviation of 1.85 in the last 5 years of Diamondback Energy, we see it is relatively greater, thus better in comparison to the benchmark SPY (1.46)
• Looking at excess return divided by the downside deviation in of 0.39 in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (0.62).

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.'

• The Ulcer Index over 5 years of Diamondback Energy is 17 , which is larger, thus worse compared to the benchmark SPY (8.29 ) in the same period.
• Looking at Ulcer Index in of 14 in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to SPY (8.63 ).

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.'

• Looking at the maximum drop from peak to valley of -58.5 days in the last 5 years of Diamondback Energy, we see it is relatively smaller, thus worse in comparison to the benchmark SPY (-24.5 days)
• During the last 3 years, the maximum reduction from previous high is -33.5 days, which is lower, thus worse than the value of -22.1 days from the benchmark.

MaxDuration:

'The Maximum 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. It is the length of time the account was in the Max Drawdown. A Max Drawdown measures a retrenchment from when an equity curve reaches a new high. It’s the maximum an account lost during that retrenchment. This method is applied because a valley can’t be measured until a new high occurs. Once the new high is reached, the percentage change from the old high to the bottom of the largest trough is recorded.'

• The maximum days below previous high over 5 years of Diamondback Energy is 226 days, which is lower, thus better compared to the benchmark SPY (488 days) in the same period.
• Looking at maximum days under water in of 226 days in the period of the last 3 years, we see it is relatively smaller, thus better in comparison to SPY (325 days).

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.'

• Compared with the benchmark SPY (119 days) in the period of the last 5 years, the average time in days below previous high water mark of 58 days of Diamondback Energy is smaller, thus better.
• Looking at average time in days below previous high water mark in of 73 days in the period of the last 3 years, we see it is relatively smaller, thus better in comparison to SPY (89 days).