Peloton Interactive (PTON)

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.'

• Compared with the benchmark SPY (107.6%) in the period of the last 5 years, the total return, or performance of -85.7% of Peloton Interactive is smaller, thus worse.
• Looking at total return in of -56.4% in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (48.1%).

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 (15.8%) in the period of the last 5 years, the annual performance (CAGR) of -32.3% of Peloton Interactive is lower, thus worse.
• During the last 3 years, the annual return (CAGR) is -24.3%, which is smaller, thus worse than the value of 14% 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.'

• Looking at the historical 30 days volatility of 86.6% in the last 5 years of Peloton Interactive, we see it is relatively higher, thus worse in comparison to the benchmark SPY (17.9%)
• Compared with SPY (18.3%) in the period of the last 3 years, the volatility of 90.1% is greater, thus worse.

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.'

• Looking at the downside deviation of 59% in the last 5 years of Peloton Interactive, we see it is relatively larger, thus worse in comparison to the benchmark SPY (12.5%)
• Compared with SPY (12.4%) in the period of the last 3 years, the downside risk of 59.1% is larger, thus worse.

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.'

• Looking at the ratio of return and volatility (Sharpe) of -0.4 in the last 5 years of Peloton Interactive, we see it is relatively lower, thus worse in comparison to the benchmark SPY (0.74)
• Looking at Sharpe Ratio in of -0.3 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (0.63).

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.'

• The ratio of annual return and downside deviation over 5 years of Peloton Interactive is -0.59, which is smaller, thus worse compared to the benchmark SPY (1.06) in the same period.
• During the last 3 years, the downside risk / excess return profile is -0.45, which is smaller, thus worse than the value of 0.93 from the benchmark.

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.'

• Looking at the Ulcer Index of 80 in the last 5 years of Peloton Interactive, we see it is relatively greater, thus worse in comparison to the benchmark SPY (8.48 )
• Looking at Downside risk index in of 58 in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (5.54 ).

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.'

• Compared with the benchmark SPY (-24.5 days) in the period of the last 5 years, the maximum DrawDown of -98.3 days of Peloton Interactive is lower, thus worse.
• Looking at maximum reduction from previous high in of -83 days in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (-18.8 days).

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.'

• The maximum days below previous high over 5 years of Peloton Interactive is 1085 days, which is greater, thus worse compared to the benchmark SPY (488 days) in the same period.
• During the last 3 years, the maximum days under water is 568 days, which is larger, thus worse than the value of 199 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 time in days below previous high water mark over 5 years of Peloton Interactive is 486 days, which is larger, thus worse compared to the benchmark SPY (119 days) in the same period.
• During the last 3 years, the average days below previous high is 237 days, which is larger, thus worse than the value of 45 days from the benchmark.