Description

Liberty Global plc, together with its subsidiaries, provides video, broadband Internet, fixed-line telephony, mobile, and other communications services to residential customers and businesses in Europe. It offers Wi-Fi and Internet services, such as email, address book, and parental controls; security; online storage solutions and Web spaces; and Connect Box, a connectivity device that delivers in-home Wi-Fi coverage. The company also provides community Wi-Fi via routers in home, which provides access to the Internet; public Wi-Fi access points in train stations, hotels, bars, restaurants, and other public places. In addition, its cable operations comprise various tiers of digital video programming and audio services, as well as offers digital video recorders, multimedia home gateway systems, and various mobile applications. The company's channel offerings include general entertainment, sports, movies, documentaries, lifestyles, news, adult, children, and ethnic and foreign channels. Further, it provides mobile services, such as voice, short message service, and Internet access; and circuit-switched telephony services. Additionally, the company offers voice, advanced data, video, wireless, cloud-based services, and mobile and converged fixed-mobile services to small or home offices, small businesses, and medium and large enterprises, as well as on a wholesale basis to other operators. Liberty Global plc was founded in 2004 and is based in London, the United Kingdom.

Statistics (YTD)

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

TotalReturn:

'Total return, when measuring performance, is the actual rate of return of an investment or a pool of investments over a given evaluation period. Total return includes interest, capital gains, dividends and distributions realized over a given period of time. Total return accounts for two categories of return: income including interest paid by fixed-income investments, distributions or dividends and capital appreciation, representing the change in the market price of an asset.'

Which means for our asset as example:
  • The total return, or increase in value over 5 years of Liberty Global is -9.8%, which is lower, thus worse compared to the benchmark SPY (133.2%) in the same period.
  • Compared with SPY (80.4%) in the period of the last 3 years, the total return of 19.3% is lower, thus worse.

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:
  • Looking at the annual return (CAGR) of -2.1% in the last 5 years of Liberty Global, we see it is relatively lower, thus worse in comparison to the benchmark SPY (18.5%)
  • During the last 3 years, the annual performance (CAGR) is 6.1%, which is smaller, thus worse than the value of 21.8% from the benchmark.

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.'

Applying this definition to our asset in some examples:
  • Looking at the historical 30 days volatility of 32.5% in the last 5 years of Liberty Global, we see it is relatively greater, thus worse in comparison to the benchmark SPY (18.7%)
  • Looking at historical 30 days volatility in of 35.1% in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to SPY (22.4%).

DownVol:

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

Applying this definition to our asset in some examples:
  • Compared with the benchmark SPY (13.6%) in the period of the last 5 years, the downside risk of 22.5% of Liberty Global is larger, thus worse.
  • Looking at downside risk in of 23.5% in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (16.2%).

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:
  • The ratio of return and volatility (Sharpe) over 5 years of Liberty Global is -0.14, which is smaller, thus worse compared to the benchmark SPY (0.85) in the same period.
  • Compared with SPY (0.86) in the period of the last 3 years, the Sharpe Ratio of 0.1 is smaller, 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.'

Applying this definition to our asset in some examples:
  • The ratio of annual return and downside deviation over 5 years of Liberty Global is -0.2, which is lower, thus worse compared to the benchmark SPY (1.18) in the same period.
  • Compared with SPY (1.19) in the period of the last 3 years, the excess return divided by the downside deviation of 0.15 is lower, 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.'

Applying this definition to our asset in some examples:
  • The Ulcer Ratio over 5 years of Liberty Global is 31 , which is higher, thus worse compared to the benchmark SPY (5.59 ) in the same period.
  • During the last 3 years, the Downside risk index is 17 , which is greater, thus worse than the value of 6.36 from the benchmark.

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:
  • Compared with the benchmark SPY (-33.7 days) in the period of the last 5 years, the maximum DrawDown of -59.5 days of Liberty Global is smaller, thus worse.
  • Compared with SPY (-33.7 days) in the period of the last 3 years, the maximum drop from peak to valley of -45.1 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'

Applying this definition to our asset in some examples:
  • Looking at the maximum time in days below previous high water mark of 940 days in the last 5 years of Liberty Global, we see it is relatively higher, 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 days under water of 448 days is higher, 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.'

Applying this definition to our asset in some examples:
  • Compared with the benchmark SPY (32 days) in the period of the last 5 years, the average time in days below previous high water mark of 379 days of Liberty Global is larger, thus worse.
  • Compared with SPY (25 days) in the period of the last 3 years, the average days under water of 152 days is higher, thus worse.

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 Liberty Global 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.