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)

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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.'

Using this definition on our asset we see for example:
  • Looking at the total return, or performance of -5.5% in the last 5 years of Fox, we see it is relatively lower, thus worse in comparison to the benchmark SPY (100.7%)
  • During the last 3 years, the total return, or increase in value is -6.7%, which is smaller, thus worse than the value of 33.2% 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.'

Using this definition on our asset we see for example:
  • The annual return (CAGR) over 5 years of Fox is -1.1%, which is smaller, thus worse compared to the benchmark SPY (15%) in the same period.
  • Compared with SPY (10%) in the period of the last 3 years, the annual return (CAGR) of -2.3% is lower, thus worse.

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.'

Using this definition on our asset we see for example:
  • Looking at the historical 30 days volatility of 33.8% in the last 5 years of Fox, we see it is relatively larger, thus worse in comparison to the benchmark SPY (20.9%)
  • Compared with SPY (17.3%) in the period of the last 3 years, the volatility of 26.7% is larger, 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.'

Which means for our asset as example:
  • Looking at the downside risk of 23.7% in the last 5 years of Fox, we see it is relatively higher, thus worse in comparison to the benchmark SPY (15%)
  • Compared with SPY (12%) in the period of the last 3 years, the downside deviation of 18.9% is larger, thus worse.

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 ratio of return and volatility (Sharpe) over 5 years of Fox is -0.11, which is smaller, thus worse compared to the benchmark SPY (0.6) in the same period.
  • Compared with SPY (0.44) in the period of the last 3 years, the Sharpe Ratio of -0.18 is smaller, 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.'

Applying this definition to our asset in some examples:
  • Looking at the downside risk / excess return profile of -0.15 in the last 5 years of Fox, we see it is relatively smaller, thus worse in comparison to the benchmark SPY (0.83)
  • During the last 3 years, the downside risk / excess return profile is -0.25, which is lower, thus worse than the value of 0.62 from the benchmark.

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.'

Applying this definition to our asset in some examples:
  • The Ulcer Ratio over 5 years of Fox is 22 , which is larger, thus worse compared to the benchmark SPY (9.32 ) in the same period.
  • Compared with SPY (10 ) in the period of the last 3 years, the Ulcer Index of 22 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.'

Using this definition on our asset we see for example:
  • Looking at the maximum reduction from previous high of -48.3 days in the last 5 years of Fox, we see it is relatively lower, thus worse in comparison to the benchmark SPY (-33.7 days)
  • During the last 3 years, the maximum drop from peak to valley is -35.1 days, which is smaller, thus worse than the value of -24.5 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.'

Using this definition on our asset we see for example:
  • Compared with the benchmark SPY (488 days) in the period of the last 5 years, the maximum time in days below previous high water mark of 569 days of Fox is higher, thus worse.
  • Looking at maximum days under water in of 569 days in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to SPY (488 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.'

Applying this definition to our asset in some examples:
  • Looking at the average time in days below previous high water mark of 188 days in the last 5 years of Fox, we see it is relatively larger, thus worse in comparison to the benchmark SPY (123 days)
  • Compared with SPY (180 days) in the period of the last 3 years, the average days below previous high of 228 days is larger, 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 and do not account for slippage, fees or taxes.