Description of PayPal

PayPal Holdings, Inc. - Common Stock

Statistics of PayPal (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.'

Which means for our asset as example:
  • The total return, or performance over 5 years of PayPal is %, which is lower, thus worse compared to the benchmark SPY (66.2%) in the same period.
  • Compared with SPY (45.7%) in the period of the last 3 years, the total return of 160.9% is greater, thus better.

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:
  • The annual performance (CAGR) over 5 years of PayPal is %, which is lower, thus worse compared to the benchmark SPY (10.7%) in the same period.
  • Looking at annual return (CAGR) in of 37.8% in the period of the last 3 years, we see it is relatively higher, thus better in comparison to SPY (13.4%).

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.'

Using this definition on our asset we see for example:
  • The volatility over 5 years of PayPal is %, which is lower, thus better compared to the benchmark SPY (13.3%) in the same period.
  • During the last 3 years, the historical 30 days volatility is 27.3%, which is higher, thus worse than the value of 12.5% 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.'

Using this definition on our asset we see for example:
  • Compared with the benchmark SPY (14.6%) in the period of the last 5 years, the downside deviation of % of PayPal is smaller, thus better.
  • Looking at downside volatility in of 28.8% in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to SPY (14.1%).

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.'

Applying this definition to our asset in some examples:
  • Compared with the benchmark SPY (0.62) in the period of the last 5 years, the ratio of return and volatility (Sharpe) of of PayPal is smaller, thus worse.
  • Looking at risk / return profile (Sharpe) in of 1.29 in the period of the last 3 years, we see it is relatively larger, thus better in comparison to SPY (0.87).

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.'

Which means for our asset as example:
  • Looking at the ratio of annual return and downside deviation of in the last 5 years of PayPal, we see it is relatively lower, thus worse in comparison to the benchmark SPY (0.56)
  • During the last 3 years, the downside risk / excess return profile is 1.23, which is larger, thus better than the value of 0.77 from the benchmark.

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 (3.96 ) in the period of the last 5 years, the Ulcer Index of of PayPal is lower, thus worse.
  • Compared with SPY (4.01 ) in the period of the last 3 years, the Ulcer Ratio of 6.21 is greater, thus better.

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.'

Applying this definition to our asset in some examples:
  • Compared with the benchmark SPY (-19.3 days) in the period of the last 5 years, the maximum drop from peak to valley of days of PayPal is larger, thus better.
  • Looking at maximum drop from peak to valley in of -18.9 days in the period of the last 3 years, we see it is relatively larger, thus better in comparison to SPY (-19.3 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.'

Applying this definition to our asset in some examples:
  • The maximum time in days below previous high water mark over 5 years of PayPal is days, which is lower, thus better compared to the benchmark SPY (187 days) in the same period.
  • During the last 3 years, the maximum days below previous high is 124 days, which is lower, thus better than the value of 131 days from the benchmark.

AveDuration:

'The Average 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. 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:
  • The average time in days below previous high water mark over 5 years of PayPal is days, which is lower, thus better compared to the benchmark SPY (39 days) in the same period.
  • During the last 3 years, the average days below previous high is 36 days, which is greater, thus worse than the value of 34 days from the benchmark.

Performance of PayPal (YTD)

Historical returns have been extended using synthetic data.

Allocations of PayPal
()

Allocations

Returns of PayPal (%)

  • "Year" returns in the table above are not equal to the sum of monthly returns due to compounding.
  • Performance results of PayPal 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.