Raytheon (RTX)

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 (143%) in the period of the last 5 years, the total return of 124.7% of Raytheon is smaller, thus worse.
• Compared with SPY (39%) in the period of the last 3 years, the total return of 41.9% is larger, 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.'

• Looking at the annual performance (CAGR) of 17.6% in the last 5 years of Raytheon, we see it is relatively lower, thus worse in comparison to the benchmark SPY (19.5%)
• Looking at compounded annual growth rate (CAGR) in of 12.4% in the period of the last 3 years, we see it is relatively higher, thus better in comparison to SPY (11.7%).

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 31.9% in the last 5 years of Raytheon, we see it is relatively higher, thus worse in comparison to the benchmark SPY (19.6%)
• During the last 3 years, the volatility is 22.6%, which is larger, thus worse than the value of 17.1% from the benchmark.

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 21.3% in the last 5 years of Raytheon, we see it is relatively greater, thus worse in comparison to the benchmark SPY (13.5%)
• Compared with SPY (12%) in the period of the last 3 years, the downside volatility of 15.7% is greater, 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.'

• The Sharpe Ratio over 5 years of Raytheon is 0.47, which is smaller, thus worse compared to the benchmark SPY (0.87) in the same period.
• During the last 3 years, the Sharpe Ratio is 0.44, which is lower, thus worse than the value of 0.54 from the benchmark.

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.'

• Compared with the benchmark SPY (1.26) in the period of the last 5 years, the downside risk / excess return profile of 0.71 of Raytheon is smaller, thus worse.
• Compared with SPY (0.77) in the period of the last 3 years, the excess return divided by the downside deviation of 0.63 is smaller, thus worse.

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.'

• The Ulcer Ratio over 5 years of Raytheon is 11 , which is larger, thus worse compared to the benchmark SPY (8.32 ) in the same period.
• During the last 3 years, the Ulcer Ratio is 11 , which is greater, thus worse than the value of 8.6 from the benchmark.

MaxDD:

'Maximum drawdown is defined as the peak-to-trough decline of an investment during a specific period. It is usually quoted as a percentage of the peak value. The maximum drawdown can be calculated based on absolute returns, in order to identify strategies that suffer less during market downturns, such as low-volatility strategies. However, the maximum drawdown can also be calculated based on returns relative to a benchmark index, for identifying strategies that show steady outperformance over time.'

• Looking at the maximum reduction from previous high of -32.8 days in the last 5 years of Raytheon, we see it is relatively lower, thus worse in comparison to the benchmark SPY (-24.5 days)
• During the last 3 years, the maximum DrawDown is -32.8 days, which is lower, thus worse than the value of -22.1 days from the benchmark.

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.'

• Compared with the benchmark SPY (488 days) in the period of the last 5 years, the maximum time in days below previous high water mark of 247 days of Raytheon is smaller, thus better.
• Looking at maximum days below previous high in of 247 days in the period of the last 3 years, we see it is relatively smaller, thus better in comparison to SPY (325 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.'

• The average days under water over 5 years of Raytheon is 68 days, which is lower, thus better compared to the benchmark SPY (118 days) in the same period.
• Looking at average days below previous high in of 91 days in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to SPY (90 days).