Description

Raytheon Technologies Corporation, an aerospace and defense company, provides advanced systems and services for commercial, military, and government customers worldwide. It operates in four businesses: Collins Aerospace Systems, Pratt & Whitney, Raytheon Intelligence & Space, and Raytheon Missiles & Defense. The Collins Aerospace Systems business offers aerostructures, avionics, interiors, mechanical systems, mission systems, and power and control systems that serve customers in the commercial, regional, business aviation, and military sectors. The Pratt & Whitney business designs, manufactures, and services aircraft engines and auxiliary power systems for commercial, military, and business aircraft. The Raytheon Intelligence & Space business engages in developing various sensors, training, and cyber and software solutions. The Raytheon Missiles & Defense business produces a portfolio of advanced technologies, including air and missile defense systems, precision weapons, radars, and command and control systems that delivers end-to-end solutions to detect, track, and engage threats. The company is headquartered in Waltham, Massachusetts.

Statistics (YTD)

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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.'

Using this definition on our asset we see for example:
  • The total return, or increase in value over 5 years of Raytheon is 28.4%, which is lower, thus worse compared to the benchmark SPY (63%) in the same period.
  • Compared with SPY (33.5%) in the period of the last 3 years, the total return, or performance of 10.2% is lower, thus worse.

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.'

Using this definition on our asset we see for example:
  • Compared with the benchmark SPY (10.3%) in the period of the last 5 years, the compounded annual growth rate (CAGR) of 5.1% of Raytheon is smaller, thus worse.
  • During the last 3 years, the compounded annual growth rate (CAGR) is 3.3%, which is lower, thus worse than the value of 10.1% 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.'

Applying this definition to our asset in some examples:
  • Compared with the benchmark SPY (21.6%) in the period of the last 5 years, the 30 days standard deviation of 33.1% of Raytheon is greater, thus worse.
  • Looking at historical 30 days volatility in of 38.8% in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to SPY (25.1%).

DownVol:

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

Which means for our asset as example:
  • Looking at the downside volatility of 23.1% in the last 5 years of Raytheon, we see it is relatively greater, thus worse in comparison to the benchmark SPY (15.6%)
  • Compared with SPY (18.1%) in the period of the last 3 years, the downside deviation of 26.8% 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.'

Applying this definition to our asset in some examples:
  • The Sharpe Ratio over 5 years of Raytheon is 0.08, which is lower, thus worse compared to the benchmark SPY (0.36) in the same period.
  • During the last 3 years, the Sharpe Ratio is 0.02, which is smaller, thus worse than the value of 0.3 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.'

Applying this definition to our asset in some examples:
  • Looking at the excess return divided by the downside deviation of 0.11 in the last 5 years of Raytheon, we see it is relatively lower, thus worse in comparison to the benchmark SPY (0.5)
  • During the last 3 years, the excess return divided by the downside deviation is 0.03, which is lower, thus worse than the value of 0.42 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:
  • Looking at the Ulcer Ratio of 18 in the last 5 years of Raytheon, we see it is relatively higher, thus worse in comparison to the benchmark SPY (8.88 )
  • During the last 3 years, the Ulcer Ratio is 21 , which is larger, thus worse than the value of 11 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.'

Which means for our asset as example:
  • The maximum DrawDown over 5 years of Raytheon is -52 days, which is smaller, thus worse compared to the benchmark SPY (-33.7 days) in the same period.
  • During the last 3 years, the maximum DrawDown is -52 days, which is lower, thus worse than the value of -33.7 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.'

Which means for our asset as example:
  • Compared with the benchmark SPY (273 days) in the period of the last 5 years, the maximum days below previous high of 503 days of Raytheon is larger, thus worse.
  • Compared with SPY (273 days) in the period of the last 3 years, the maximum days below previous high of 503 days is larger, thus worse.

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.'

Which means for our asset as example:
  • Compared with the benchmark SPY (57 days) in the period of the last 5 years, the average time in days below previous high water mark of 141 days of Raytheon is greater, thus worse.
  • During the last 3 years, the average days under water is 198 days, which is greater, thus worse than the value of 73 days from the benchmark.

Performance (YTD)

Historical returns have been extended using synthetic data.

Allocations ()

Allocations

Returns (%)

  • Note that yearly returns do not equal the sum of monthly returns due to compounding.
  • Performance results of Raytheon 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.