Description of Facebook

Facebook, Inc. - Class A Common Stock

Statistics of Facebook (YTD)

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

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.'

Applying this definition to our asset in some examples:
  • The total return, or performance over 5 years of Facebook is 169.3%, which is higher, thus better compared to the benchmark SPY (67.2%) in the same period.
  • During the last 3 years, the total return, or increase in value is 68.8%, which is higher, thus better than the value of 50.7% 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.'

Applying this definition to our asset in some examples:
  • Looking at the annual return (CAGR) of 21.9% in the last 5 years of Facebook, we see it is relatively larger, thus better in comparison to the benchmark SPY (10.8%)
  • Compared with SPY (14.7%) in the period of the last 3 years, the annual return (CAGR) of 19.1% is higher, thus better.

Volatility:

'Volatility is a rate at which the price of a security increases or decreases for a given set of returns. Volatility is measured by calculating the standard deviation of the annualized returns over a given period of time. It shows the range to which the price of a security may increase or decrease. Volatility measures the risk of a security. It is used in option pricing formula to gauge the fluctuations in the returns of the underlying assets. Volatility indicates the pricing behavior of the security and helps estimate the fluctuations that may happen in a short period of time.'

Using this definition on our asset we see for example:
  • Looking at the 30 days standard deviation of 28.3% in the last 5 years of Facebook, we see it is relatively higher, thus worse in comparison to the benchmark SPY (13.5%)
  • Compared with SPY (12.8%) in the period of the last 3 years, the 30 days standard deviation of 29% is greater, thus worse.

DownVol:

'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.'

Using this definition on our asset we see for example:
  • Compared with the benchmark SPY (14.8%) in the period of the last 5 years, the downside deviation of 30.1% of Facebook is greater, thus worse.
  • During the last 3 years, the downside risk is 31.8%, which is greater, thus worse than the value of 14.7% from the benchmark.

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.'

Which means for our asset as example:
  • The Sharpe Ratio over 5 years of Facebook is 0.69, which is higher, thus better compared to the benchmark SPY (0.62) in the same period.
  • Compared with SPY (0.95) in the period of the last 3 years, the risk / return profile (Sharpe) of 0.57 is lower, thus worse.

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.'

Which means for our asset as example:
  • Compared with the benchmark SPY (0.56) in the period of the last 5 years, the ratio of annual return and downside deviation of 0.65 of Facebook is higher, thus better.
  • Compared with SPY (0.83) in the period of the last 3 years, the downside risk / excess return profile of 0.52 is smaller, thus worse.

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.'

Using this definition on our asset we see for example:
  • The Ulcer Ratio over 5 years of Facebook is 13 , which is larger, thus worse compared to the benchmark SPY (3.99 ) in the same period.
  • Compared with SPY (4.09 ) in the period of the last 3 years, the Ulcer Index of 16 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:
  • Looking at the maximum drop from peak to valley of -43 days in the last 5 years of Facebook, we see it is relatively lower, thus worse in comparison to the benchmark SPY (-19.3 days)
  • Looking at maximum DrawDown in of -43 days in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (-19.3 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) in days.'

Which means for our asset as example:
  • Compared with the benchmark SPY (187 days) in the period of the last 5 years, the maximum days below previous high of 334 days of Facebook is larger, thus worse.
  • During the last 3 years, the maximum days below previous high is 334 days, which is greater, thus worse than the value of 139 days from the benchmark.

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.'

Applying this definition to our asset in some examples:
  • Compared with the benchmark SPY (42 days) in the period of the last 5 years, the average days under water of 64 days of Facebook is higher, thus worse.
  • During the last 3 years, the average time in days below previous high water mark is 91 days, which is greater, thus worse than the value of 36 days from the benchmark.

Performance of Facebook (YTD)

Historical returns have been extended using synthetic data.

Allocations of Facebook
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Allocations

Returns of Facebook (%)

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