Description

Sirius XM Holdings Inc. provides satellite radio services on a subscription fee basis in the United States. It broadcasts music, sports, entertainment, comedy, talk, news, traffic, and weather channels, including various music genres, such as rock, pop and hip-hop, country, dance, jazz, Latin, and classical; live play-by-play sports from various leagues and colleges; various talk and entertainment channels for a range of audiences; national, international, and financial news; and limited run channels. The company also provides streaming service that includes a range of music and non-music channels, and podcasts, as well as channels that are not available on its satellite radio service; and offers applications to allow consumers to access its streaming service on smartphones, tablets, computers, home devices, and other consumer electronic equipment. In addition, it distributes satellite radios through automakers and retailers, as well as its Website. Further, the company provides location-based services through two-way wireless connectivity, including safety, security, convenience, maintenance and data services, remote vehicles diagnostics, and stolen or parked vehicle locator services. Additionally, it offers satellite television services, which offer music channels on the DISH Network satellite television service as a programming package; Travel Link, a suite of data services that include graphical weather, fuel prices, sports schedule and scores, and movie listings; and real-time traffic and weather services. The company is headquartered in New York, New York. Sirius XM Holdings Inc. operates as a subsidiary of Liberty Media Corporation.

Statistics (YTD)

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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:
  • Looking at the total return, or performance of 54.6% in the last 5 years of Sirius XM, we see it is relatively lower, thus worse in comparison to the benchmark SPY (122.1%)
  • Looking at total return in of -6.1% in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (64.6%).

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.'

Using this definition on our asset we see for example:
  • The annual performance (CAGR) over 5 years of Sirius XM is 9.1%, which is lower, thus worse compared to the benchmark SPY (17.3%) in the same period.
  • Compared with SPY (18.1%) in the period of the last 3 years, the annual return (CAGR) of -2.1% is lower, thus worse.

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 (18.7%) in the period of the last 5 years, the volatility of 28.7% of Sirius XM is larger, thus worse.
  • Compared with SPY (22.5%) in the period of the last 3 years, the historical 30 days volatility of 33% is higher, 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.'

Which means for our asset as example:
  • The downside volatility over 5 years of Sirius XM is 20.7%, which is greater, thus worse compared to the benchmark SPY (13.6%) in the same period.
  • Compared with SPY (16.4%) in the period of the last 3 years, the downside volatility of 24.4% is greater, thus worse.

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.'

Which means for our asset as example:
  • Compared with the benchmark SPY (0.79) in the period of the last 5 years, the risk / return profile (Sharpe) of 0.23 of Sirius XM is lower, thus worse.
  • Compared with SPY (0.69) in the period of the last 3 years, the Sharpe Ratio of -0.14 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.'

Using this definition on our asset we see for example:
  • Looking at the downside risk / excess return profile of 0.32 in the last 5 years of Sirius XM, we see it is relatively lower, thus worse in comparison to the benchmark SPY (1.09)
  • Looking at ratio of annual return and downside deviation in of -0.19 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (0.95).

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.'

Which means for our asset as example:
  • Compared with the benchmark SPY (5.58 ) in the period of the last 5 years, the Ulcer Ratio of 16 of Sirius XM is higher, thus worse.
  • Compared with SPY (6.83 ) in the period of the last 3 years, the Downside risk index of 17 is greater, thus worse.

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:
  • Looking at the maximum drop from peak to valley of -41.1 days in the last 5 years of Sirius XM, we see it is relatively smaller, 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 reduction from previous high of -39.5 days is lower, 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). Many assume Max DD Duration is the length of time between new highs during which the Max DD (magnitude) occurred. But that isn’t always the case. The Max DD duration is the longest time between peaks, period. So it could be the time when the program also had its biggest peak to valley loss (and usually is, because the program needs a long time to recover from the largest loss), but it doesn’t have to be'

Applying this definition to our asset in some examples:
  • The maximum days below previous high over 5 years of Sirius XM is 783 days, which is greater, thus worse compared to the benchmark SPY (139 days) in the same period.
  • During the last 3 years, the maximum days under water is 362 days, which is higher, thus worse than the value of 139 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:
  • Looking at the average days under water of 267 days in the last 5 years of Sirius XM, we see it is relatively higher, thus worse in comparison to the benchmark SPY (33 days)
  • During the last 3 years, the average days under water is 158 days, which is greater, thus worse than the value of 35 days from the benchmark.

Performance (YTD)

Historical returns have been extended using synthetic data.

Allocations
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Allocations

Returns (%)

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