Liberty Interactive Ventures (LVNTA)

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.'

• Looking at the total return, or increase in value of 185.8% in the last 5 years of Liberty Interactive Ventures, we see it is relatively higher, thus better in comparison to the benchmark SPY (58.9%)
• Compared with SPY (33.9%) in the period of the last 3 years, the total return, or performance of 33.7% is smaller, 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.'

• Compared with the benchmark SPY (9.7%) in the period of the last 5 years, the annual return (CAGR) of 23.4% of Liberty Interactive Ventures is greater, thus better.
• Compared with SPY (10.2%) in the period of the last 3 years, the annual performance (CAGR) of 10.2% is larger, thus better.

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.'

• Compared with the benchmark SPY (21.6%) in the period of the last 5 years, the volatility of 26.9% of Liberty Interactive Ventures is higher, thus worse.
• Compared with SPY (25%) in the period of the last 3 years, the historical 30 days volatility of 25.2% is larger, thus worse.

DownVol:

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

• Looking at the downside risk of 18.4% in the last 5 years of Liberty Interactive Ventures, we see it is relatively greater, thus worse in comparison to the benchmark SPY (15.7%)
• Compared with SPY (18.1%) in the period of the last 3 years, the downside deviation of 17.6% is smaller, thus better.

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.'

• Looking at the ratio of return and volatility (Sharpe) of 0.78 in the last 5 years of Liberty Interactive Ventures, we see it is relatively larger, thus better in comparison to the benchmark SPY (0.33)
• During the last 3 years, the risk / return profile (Sharpe) is 0.3, which is lower, thus worse than the value of 0.31 from the benchmark.

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.'

• Looking at the downside risk / excess return profile of 1.14 in the last 5 years of Liberty Interactive Ventures, we see it is relatively greater, thus better in comparison to the benchmark SPY (0.46)
• Compared with SPY (0.43) in the period of the last 3 years, the downside risk / excess return profile of 0.43 is greater, thus better.

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.'

• Compared with the benchmark SPY (8.91 ) in the period of the last 5 years, the Downside risk index of 9.46 of Liberty Interactive Ventures is higher, thus worse.
• Compared with SPY (11 ) in the period of the last 3 years, the Ulcer Index of 10 is lower, thus better.

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.'

• The maximum reduction from previous high over 5 years of Liberty Interactive Ventures is -26.6 days, which is larger, thus better compared to the benchmark SPY (-33.7 days) in the same period.
• During the last 3 years, the maximum DrawDown is -26.6 days, which is larger, thus better than the value of -33.7 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.'

• Compared with the benchmark SPY (271 days) in the period of the last 5 years, the maximum time in days below previous high water mark of 315 days of Liberty Interactive Ventures is higher, thus worse.
• Looking at maximum days below previous high in of 315 days in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (271 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.'

• Looking at the average time in days below previous high water mark of 74 days in the last 5 years of Liberty Interactive Ventures, we see it is relatively higher, thus worse in comparison to the benchmark SPY (60 days)
• Looking at average days below previous high in of 101 days in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (72 days).