Description

Honeywell International Inc. - Common Stock

Statistics (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 Honeywell International is 71.5%, which is lower, thus worse compared to the benchmark SPY (79.4%) in the same period.
  • Looking at total return, or increase in value in of 21.4% in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (47.6%).

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.'

Using this definition on our asset we see for example:
  • The annual return (CAGR) over 5 years of Honeywell International is 11.4%, which is lower, thus worse compared to the benchmark SPY (12.4%) in the same period.
  • During the last 3 years, the compounded annual growth rate (CAGR) is 6.7%, which is lower, thus worse than the value of 13.8% 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:
  • Compared with the benchmark SPY (19.9%) in the period of the last 5 years, the historical 30 days volatility of 26.2% of Honeywell International is larger, thus worse.
  • Compared with SPY (23.1%) in the period of the last 3 years, the historical 30 days volatility of 31% is higher, thus worse.

DownVol:

'The downside volatility is similar to the volatility, or standard deviation, but only takes losing/negative periods into account.'

Which means for our asset as example:
  • Compared with the benchmark SPY (14.6%) in the period of the last 5 years, the downside risk of 18.5% of Honeywell International is larger, thus worse.
  • Compared with SPY (16.9%) in the period of the last 3 years, the downside volatility of 21.8% is greater, thus worse.

Sharpe:

'The Sharpe ratio was developed by Nobel laureate William F. Sharpe, and is used to help investors understand the return of an investment compared to its risk. The ratio is the average return earned in excess of the risk-free rate per unit of volatility or total risk. Subtracting the risk-free rate from the mean return allows an investor to better isolate the profits associated with risk-taking activities. One intuition of this calculation is that a portfolio engaging in 'zero risk' investments, such as the purchase of U.S. Treasury bills (for which the expected return is the risk-free rate), has a Sharpe ratio of exactly zero. Generally, the greater the value of the Sharpe ratio, the more attractive the risk-adjusted return.'

Which means for our asset as example:
  • The ratio of return and volatility (Sharpe) over 5 years of Honeywell International is 0.34, which is smaller, thus worse compared to the benchmark SPY (0.5) in the same period.
  • Compared with SPY (0.49) in the period of the last 3 years, the ratio of return and volatility (Sharpe) of 0.13 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 (0.68) in the period of the last 5 years, the ratio of annual return and downside deviation of 0.48 of Honeywell International is lower, thus worse.
  • Looking at ratio of annual return and downside deviation in of 0.19 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (0.67).

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.'

Using this definition on our asset we see for example:
  • Looking at the Ulcer Ratio of 9.71 in the last 5 years of Honeywell International, we see it is relatively larger, thus worse in comparison to the benchmark SPY (6.21 )
  • Compared with SPY (6.95 ) in the period of the last 3 years, the Downside risk index of 11 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 reduction from previous high of -43 days in the last 5 years of Honeywell International, 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 -43 days, which is lower, thus worse than the value of -33.7 days from the benchmark.

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'

Applying this definition to our asset in some examples:
  • Looking at the maximum days under water of 202 days in the last 5 years of Honeywell International, we see it is relatively larger, thus worse in comparison to the benchmark SPY (139 days)
  • Compared with SPY (119 days) in the period of the last 3 years, the maximum time in days below previous high water mark of 202 days is larger, thus worse.

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.'

Using this definition on our asset we see for example:
  • The average days under water over 5 years of Honeywell International is 57 days, which is larger, thus worse compared to the benchmark SPY (35 days) in the same period.
  • Compared with SPY (28 days) in the period of the last 3 years, the average time in days below previous high water mark of 67 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 Honeywell International 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.