Meta Platforms (META)

TotalReturn:

'Total return is the amount of value an investor earns from a security over a specific period, typically one year, when all distributions are reinvested. Total return is expressed as a percentage of the amount invested. For example, a total return of 20% means the security increased by 20% of its original value due to a price increase, distribution of dividends (if a stock), coupons (if a bond) or capital gains (if a fund). Total return is a strong measure of an investment’s overall performance.'

• Looking at the total return of 185% in the last 5 years of Meta Platforms, we see it is relatively greater, thus better in comparison to the benchmark SPY (111.4%)
• Looking at total return, or performance in of 349.7% in the period of the last 3 years, we see it is relatively larger, thus better in comparison to SPY (66.9%).

CAGR:

'Compound annual growth rate (CAGR) is a business and investing specific term for the geometric progression ratio that provides a constant rate of return over the time period. CAGR is not an accounting term, but it is often used to describe some element of the business, for example revenue, units delivered, registered users, etc. CAGR dampens the effect of volatility of periodic returns that can render arithmetic means irrelevant. It is particularly useful to compare growth rates from various data sets of common domain such as revenue growth of companies in the same industry.'

• Looking at the annual return (CAGR) of 23.4% in the last 5 years of Meta Platforms, we see it is relatively greater, thus better in comparison to the benchmark SPY (16.2%)
• Compared with SPY (18.7%) in the period of the last 3 years, the compounded annual growth rate (CAGR) of 65.4% is higher, thus better.

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.'

• The historical 30 days volatility over 5 years of Meta Platforms is 43.6%, which is higher, thus worse compared to the benchmark SPY (17.3%) in the same period.
• Looking at volatility in of 42.9% in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (16.9%).

DownVol:

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

• Looking at the downside volatility of 29.8% in the last 5 years of Meta Platforms, we see it is relatively higher, thus worse in comparison to the benchmark SPY (11.9%)
• Compared with SPY (11.2%) in the period of the last 3 years, the downside volatility of 26.9% is higher, 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.'

• Compared with the benchmark SPY (0.79) in the period of the last 5 years, the risk / return profile (Sharpe) of 0.48 of Meta Platforms is smaller, thus worse.
• Looking at risk / return profile (Sharpe) in of 1.47 in the period of the last 3 years, we see it is relatively greater, thus better in comparison to SPY (0.96).

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.'

• Looking at the excess return divided by the downside deviation of 0.7 in the last 5 years of Meta Platforms, we see it is relatively smaller, thus worse in comparison to the benchmark SPY (1.15)
• Looking at excess return divided by the downside deviation in of 2.33 in the period of the last 3 years, we see it is relatively larger, thus better in comparison to SPY (1.44).

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.'

• The Ulcer Ratio over 5 years of Meta Platforms is 30 , which is higher, thus worse compared to the benchmark SPY (8.43 ) in the same period.
• Compared with SPY (4.21 ) in the period of the last 3 years, the Downside risk index of 13 is larger, 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.'

• The maximum drop from peak to valley over 5 years of Meta Platforms is -76.7 days, which is smaller, thus worse compared to the benchmark SPY (-24.5 days) in the same period.
• Looking at maximum DrawDown in of -47.4 days in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (-18.8 days).

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'

• Looking at the maximum days below previous high of 594 days in the last 5 years of Meta Platforms, we see it is relatively greater, thus worse in comparison to the benchmark SPY (488 days)
• During the last 3 years, the maximum time in days below previous high water mark is 98 days, which is higher, thus worse than the value of 97 days from the benchmark.

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.'

• The average days under water over 5 years of Meta Platforms is 162 days, which is higher, thus worse compared to the benchmark SPY (120 days) in the same period.
• Compared with SPY (27 days) in the period of the last 3 years, the average time in days below previous high water mark of 25 days is smaller, thus better.