QVC Group (QVCA)

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, or performance of 48.6% in the last 5 years of QVC Group, we see it is relatively lower, thus worse in comparison to the benchmark SPY (59.9%)
• During the last 3 years, the total return, or increase in value is -3.6%, which is lower, thus worse than the value of 34.2% from the benchmark.

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.'

• The annual performance (CAGR) over 5 years of QVC Group is 8.2%, which is smaller, thus worse compared to the benchmark SPY (9.8%) in the same period.
• During the last 3 years, the compounded annual growth rate (CAGR) is -1.2%, which is lower, thus worse than the value of 10.3% 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 30 days standard deviation of 26.3% in the last 5 years of QVC Group, we see it is relatively larger, thus worse in comparison to the benchmark SPY (18.7%)
• During the last 3 years, the 30 days standard deviation is 29.1%, which is larger, thus worse than the value of 21.5% from the benchmark.

DownVol:

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

• The downside volatility over 5 years of QVC Group is 19%, which is larger, thus worse compared to the benchmark SPY (13.6%) in the same period.
• Compared with SPY (15.7%) in the period of the last 3 years, the downside volatility of 21.9% 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 (0.39) in the period of the last 5 years, the Sharpe Ratio of 0.22 of QVC Group is lower, thus worse.
• Compared with SPY (0.36) in the period of the last 3 years, the Sharpe Ratio of -0.13 is lower, thus worse.

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.'

• Compared with the benchmark SPY (0.54) in the period of the last 5 years, the ratio of annual return and downside deviation of 0.3 of QVC Group is lower, thus worse.
• Looking at downside risk / excess return profile in of -0.17 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (0.5).

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 Index over 5 years of QVC Group is 18 , which is greater, thus worse compared to the benchmark SPY (5.81 ) in the same period.
• During the last 3 years, the Ulcer Index is 23 , which is larger, thus worse than the value of 6.86 from the benchmark.

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.'

• Looking at the maximum DrawDown of -41.6 days in the last 5 years of QVC Group, we see it is relatively lower, thus worse in comparison to the benchmark SPY (-33.7 days)
• Compared with SPY (-33.7 days) in the period of the last 3 years, the maximum drop from peak to valley of -41.6 days is smaller, 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) in days.'

• Looking at the maximum days under water of 653 days in the last 5 years of QVC Group, we see it is relatively higher, thus worse in comparison to the benchmark SPY (187 days)
• During the last 3 years, the maximum days below previous high is 653 days, which is higher, thus worse than the value of 139 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 QVC Group is 193 days, which is greater, thus worse compared to the benchmark SPY (43 days) in the same period.
• Looking at average days below previous high in of 289 days in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to SPY (39 days).