Description

International Business Machines Corporation operates as an integrated solutions and services company worldwide. Its Cloud & Cognitive Software segment offers software for vertical and domain-specific solutions in health, financial services, and Internet of Things (IoT), weather, and security software and services application areas; and customer information control system and storage, and analytics and integration software solutions to support client mission critical on-premise workloads in banking, airline, and retail industries. It also offers middleware and data platform software, including Red Hat, which enables the operation of clients' hybrid multi-cloud environments; and Cloud Paks, WebSphere distributed, and analytics platform software, such as DB2 distributed, information integration, and enterprise content management, as well as IoT, Blockchain and AI/Watson platforms. The company's Global Business Services segment offers business consulting services; system integration, application management, maintenance, and support services for packaged software; finance, procurement, talent and engagement, industry-specific business process outsourcing services; IT infrastructure and platform services. Its Global Technology Services segment provides project, managed, outsourcing, and cloud-delivered services for enterprise IT infrastructure environments; and IT infrastructure support services. It's Systems segment offers servers for businesses, cloud service providers, and scientific computing organizations; data storage products and solutions; and z/OS, an enterprise operating system, as well as Linux. Its Global Financing segment provides lease, installment payment, loan financing, short-term working capital financing, and remanufacturing and remarketing services. It was formerly known as Computing-Tabulating-Recording Co. and changed its name to International Business Machines Corporation in 1924. It was founded in 1911 and is headquartered in Armonk, New York.

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:
  • Looking at the total return, or increase in value of 9.8% in the last 5 years of International Business Machines, we see it is relatively lower, thus worse in comparison to the benchmark SPY (120.8%)
  • During the last 3 years, the total return, or performance is -1.4%, which is lower, thus worse than the value of 66.3% 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.'

Which means for our asset as example:
  • Looking at the compounded annual growth rate (CAGR) of 1.9% in the last 5 years of International Business Machines, we see it is relatively lower, thus worse in comparison to the benchmark SPY (17.2%)
  • During the last 3 years, the annual performance (CAGR) is -0.5%, which is lower, thus worse than the value of 18.5% from the benchmark.

Volatility:

'In finance, volatility (symbol σ) is the degree of variation of a trading price series over time as measured by the standard deviation of logarithmic returns. Historic volatility measures a time series of past market prices. Implied volatility looks forward in time, being derived from the market price of a market-traded derivative (in particular, an option). Commonly, the higher the volatility, the riskier the security.'

Applying this definition to our asset in some examples:
  • Looking at the 30 days standard deviation of 26% in the last 5 years of International Business Machines, we see it is relatively greater, thus worse in comparison to the benchmark SPY (18.7%)
  • During the last 3 years, the 30 days standard deviation is 30.2%, which is larger, thus worse than the value of 22.4% from the benchmark.

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 18.9% in the last 5 years of International Business Machines, we see it is relatively greater, thus worse in comparison to the benchmark SPY (13.6%)
  • Looking at downside volatility in of 22.2% in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (16.3%).

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:
  • Looking at the Sharpe Ratio of -0.02 in the last 5 years of International Business Machines, we see it is relatively smaller, thus worse in comparison to the benchmark SPY (0.78)
  • Looking at Sharpe Ratio in of -0.1 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (0.71).

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.'

Applying this definition to our asset in some examples:
  • Looking at the ratio of annual return and downside deviation of -0.03 in the last 5 years of International Business Machines, we see it is relatively lower, thus worse in comparison to the benchmark SPY (1.08)
  • Compared with SPY (0.98) in the period of the last 3 years, the downside risk / excess return profile of -0.13 is lower, thus worse.

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.'

Using this definition on our asset we see for example:
  • Compared with the benchmark SPY (5.59 ) in the period of the last 5 years, the Ulcer Index of 17 of International Business Machines is higher, thus worse.
  • Compared with SPY (6.83 ) in the period of the last 3 years, the Ulcer Ratio of 15 is greater, thus worse.

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.'

Applying this definition to our asset in some examples:
  • Compared with the benchmark SPY (-33.7 days) in the period of the last 5 years, the maximum drop from peak to valley of -40.6 days of International Business Machines is lower, thus worse.
  • During the last 3 years, the maximum DrawDown is -39 days, which is smaller, 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:
  • Compared with the benchmark SPY (139 days) in the period of the last 5 years, the maximum days under water of 1039 days of International Business Machines is higher, thus worse.
  • Looking at maximum days under water in of 452 days in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to SPY (139 days).

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:
  • Compared with the benchmark SPY (33 days) in the period of the last 5 years, the average days under water of 444 days of International Business Machines is higher, thus worse.
  • Looking at average days under water in of 195 days in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (35 days).

Performance (YTD)

Historical returns have been extended using synthetic data.

Allocations
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Allocations

Returns (%)

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