Description

Fox Corporation operates as a news, sports, and entertainment company in the United States. The company operates through Cable Network Programming; Television; and Other, Corporate and Eliminations segments. The Cable Network Programming segment produces and licenses news, business news, and sports content for distribution primarily through cable television systems, direct broadcast satellite operators, telecommunications companies, and online multi-channel video programming distributors. It operates FOX News, a national cable news channel; FOX Business, a business news national cable channel; FS1 and FS2 multi-sport national networks; FOX Sports Racing, a video programming service that comprises motor sports programming; and FOX Soccer Plus video programming network for live soccer and rugby competitions; FOX Deportes, a Spanish-language sports programming service; and Big Ten Network, a national video programming service. The Television segment acquires, produces, markets, and distributes broadcast network programming. It operates The FOX Network, a national television broadcast network that broadcasts sports programming and entertainment; MyNetworkTV, a programming distribution service; Fox Alternative Entertainment, a full-service production studio that develops and produces unscripted and alternative programming; Bento Box, which develops and produces animated programing; and Tubi, a free advertising-supported video-on-demand service. This segment owns and operates 29 broadcast television stations. The Other, Corporate and Eliminations segment owns the FOX Studios lot that provides production and post-production services, including 15 sound stages, 4 scoring and mixing stages, 2 broadcast studios, theaters and screening rooms, editing bays, and other production facilities in Los Angeles, California. The company was incorporated in 2018 and is based in New York, New York.

Statistics (YTD)

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

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.'

Using this definition on our asset we see for example:
  • Compared with the benchmark SPY (94.8%) in the period of the last 5 years, the total return of -15.8% of Fox is smaller, thus worse.
  • Compared with SPY (31.6%) in the period of the last 3 years, the total return of -17.9% is lower, thus worse.

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:
  • The compounded annual growth rate (CAGR) over 5 years of Fox is -3.4%, which is lower, thus worse compared to the benchmark SPY (14.3%) in the same period.
  • During the last 3 years, the annual performance (CAGR) is -6.4%, which is lower, thus worse than the value of 9.6% 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.'

Applying this definition to our asset in some examples:
  • The volatility over 5 years of Fox is 32.9%, which is higher, thus worse compared to the benchmark SPY (20.9%) in the same period.
  • Looking at historical 30 days volatility in of 25.8% in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (17.3%).

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.'

Applying this definition to our asset in some examples:
  • The downside risk over 5 years of Fox is 23.2%, which is larger, thus worse compared to the benchmark SPY (15%) in the same period.
  • Looking at downside risk in of 18.3% in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (12.1%).

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.'

Applying this definition to our asset in some examples:
  • Looking at the risk / return profile (Sharpe) of -0.18 in the last 5 years of Fox, we see it is relatively smaller, thus worse in comparison to the benchmark SPY (0.56)
  • Compared with SPY (0.41) in the period of the last 3 years, the Sharpe Ratio of -0.34 is lower, thus worse.

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.'

Using this definition on our asset we see for example:
  • Looking at the ratio of annual return and downside deviation of -0.25 in the last 5 years of Fox, we see it is relatively lower, thus worse in comparison to the benchmark SPY (0.79)
  • Looking at ratio of annual return and downside deviation in of -0.49 in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (0.59).

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.'

Applying this definition to our asset in some examples:
  • Compared with the benchmark SPY (9.33 ) in the period of the last 5 years, the Ulcer Ratio of 22 of Fox is greater, thus worse.
  • Compared with SPY (10 ) in the period of the last 3 years, the Ulcer Ratio of 20 is greater, thus worse.

MaxDD:

'A maximum drawdown is the maximum loss from a peak to a trough of a portfolio, before a new peak is attained. Maximum Drawdown is an indicator of downside risk over a specified time period. It can be used both as a stand-alone measure or as an input into other metrics such as 'Return over Maximum Drawdown' and the Calmar Ratio. Maximum Drawdown is expressed in percentage terms.'

Applying this definition to our asset in some examples:
  • Looking at the maximum drop from peak to valley of -48.3 days in the last 5 years of Fox, we see it is relatively smaller, thus worse in comparison to the benchmark SPY (-33.7 days)
  • Compared with SPY (-24.5 days) in the period of the last 3 years, the maximum DrawDown of -33 days is lower, 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). 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'

Using this definition on our asset we see for example:
  • The maximum time in days below previous high water mark over 5 years of Fox is 773 days, which is larger, thus worse compared to the benchmark SPY (488 days) in the same period.
  • Compared with SPY (488 days) in the period of the last 3 years, the maximum days under water of 621 days is larger, thus worse.

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.'

Which means for our asset as example:
  • Looking at the average time in days below previous high water mark of 286 days in the last 5 years of Fox, we see it is relatively greater, thus worse in comparison to the benchmark SPY (123 days)
  • Compared with SPY (179 days) in the period of the last 3 years, the average days below previous high of 267 days is greater, thus worse.

Performance (YTD)

Historical returns have been extended using synthetic data.

Allocations ()

Allocations

Returns (%)

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