Description of Sirius XM

Sirius XM Holdings Inc. - Common Stock

Statistics of Sirius XM (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.'

Using this definition on our asset we see for example:
  • The total return over 5 years of Sirius XM is 102.5%, which is higher, thus better compared to the benchmark SPY (68.6%) in the same period.
  • During the last 3 years, the total return is 55.3%, which is higher, thus better than the value of 51% from the benchmark.

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.'

Applying this definition to our asset in some examples:
  • Compared with the benchmark SPY (11%) in the period of the last 5 years, the compounded annual growth rate (CAGR) of 15.2% of Sirius XM is larger, thus better.
  • Compared with SPY (14.8%) in the period of the last 3 years, the compounded annual growth rate (CAGR) of 15.8% is greater, thus better.

Volatility:

'Volatility is a statistical measure of the dispersion of returns for a given security or market index. Volatility can either be measured by using the standard deviation or variance between returns from that same security or market index. Commonly, the higher the volatility, the riskier the security. In the securities markets, volatility is often associated with big swings in either direction. For example, when the stock market rises and falls more than one percent over a sustained period of time, it is called a 'volatile' market.'

Which means for our asset as example:
  • Compared with the benchmark SPY (13.5%) in the period of the last 5 years, the volatility of 21.5% of Sirius XM is greater, thus worse.
  • Looking at historical 30 days volatility in of 23.2% in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to SPY (12.8%).

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 risk of 23.9% in the last 5 years of Sirius XM, we see it is relatively larger, thus worse in comparison to the benchmark SPY (14.9%)
  • Looking at downside deviation in of 25.9% in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (14.7%).

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.'

Applying this definition to our asset in some examples:
  • Compared with the benchmark SPY (0.63) in the period of the last 5 years, the risk / return profile (Sharpe) of 0.59 of Sirius XM is lower, thus worse.
  • During the last 3 years, the risk / return profile (Sharpe) is 0.58, which is smaller, thus worse than the value of 0.96 from the benchmark.

Sortino:

'The Sortino ratio improves upon the Sharpe ratio by isolating downside volatility from total volatility by dividing excess return by the downside deviation. The Sortino ratio is a variation of the Sharpe ratio that differentiates harmful volatility from total overall volatility by using the asset's standard deviation of negative asset returns, called downside deviation. The Sortino ratio takes the asset's return and subtracts the risk-free rate, and then divides that amount by the asset's downside deviation. The ratio was named after Frank A. Sortino.'

Using this definition on our asset we see for example:
  • Compared with the benchmark SPY (0.57) in the period of the last 5 years, the excess return divided by the downside deviation of 0.53 of Sirius XM is smaller, thus worse.
  • During the last 3 years, the downside risk / excess return profile is 0.51, which is lower, thus worse than the value of 0.83 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.'

Which means for our asset as example:
  • Looking at the Downside risk index of 11 in the last 5 years of Sirius XM, we see it is relatively greater, thus worse in comparison to the benchmark SPY (3.99 )
  • During the last 3 years, the Ulcer Ratio is 14 , which is larger, thus worse than the value of 4.1 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.'

Which means for our asset as example:
  • The maximum DrawDown over 5 years of Sirius XM is -30.5 days, which is lower, thus worse compared to the benchmark SPY (-19.3 days) in the same period.
  • Looking at maximum drop from peak to valley in of -30.5 days in the period of the last 3 years, we see it is relatively lower, thus worse 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 days below previous high over 5 years of Sirius XM is 358 days, which is higher, thus worse compared to the benchmark SPY (187 days) in the same period.
  • Looking at maximum time in days below previous high water mark in of 358 days in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (139 days).

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:
  • Compared with the benchmark SPY (42 days) in the period of the last 5 years, the average days below previous high of 90 days of Sirius XM is higher, thus worse.
  • During the last 3 years, the average days below previous high is 107 days, which is higher, thus worse than the value of 36 days from the benchmark.

Performance of Sirius XM (YTD)

Historical returns have been extended using synthetic data.

Allocations of Sirius XM
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Allocations

Returns of Sirius XM (%)

  • 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.