T-Mobile (TMUS)

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 31.4% in the last 5 years of T-Mobile, we see it is relatively smaller, thus worse in comparison to the benchmark SPY (80.6%)
• Compared with SPY (68.3%) in the period of the last 3 years, the total return of 35.4% is lower, thus worse.

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.'

• Looking at the annual return (CAGR) of 5.6% in the last 5 years of T-Mobile, we see it is relatively lower, thus worse in comparison to the benchmark SPY (12.6%)
• Looking at annual performance (CAGR) in of 10.7% in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (19.1%).

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 volatility of 25% in the last 5 years of T-Mobile, we see it is relatively larger, thus worse in comparison to the benchmark SPY (17.1%)
• During the last 3 years, the 30 days standard deviation is 24.4%, which is larger, thus worse than the value of 15.3% from the benchmark.

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.'

• Looking at the downside deviation of 17.8% in the last 5 years of T-Mobile, we see it is relatively larger, thus worse in comparison to the benchmark SPY (11.8%)
• During the last 3 years, the downside risk is 18%, which is larger, thus worse than the value of 10.3% from the benchmark.

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.'

• Looking at the Sharpe Ratio of 0.13 in the last 5 years of T-Mobile, we see it is relatively smaller, thus worse in comparison to the benchmark SPY (0.59)
• Looking at risk / return profile (Sharpe) in of 0.34 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (1.08).

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.'

• Looking at the ratio of annual return and downside deviation of 0.18 in the last 5 years of T-Mobile, we see it is relatively lower, thus worse in comparison to the benchmark SPY (0.86)
• Looking at ratio of annual return and downside deviation in of 0.46 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (1.61).

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.'

• The Ulcer Ratio over 5 years of T-Mobile is 14 , which is higher, thus worse compared to the benchmark SPY (8.46 ) in the same period.
• Compared with SPY (3.53 ) in the period of the last 3 years, the Ulcer Index of 15 is higher, thus worse.

MaxDD:

'Maximum drawdown measures the loss in any losing period during a fund’s investment record. It is defined as the percent retrenchment from a fund’s peak value to the fund’s valley value. The drawdown is in effect from the time the fund’s retrenchment begins until a new fund high is reached. The maximum drawdown encompasses both the period from the fund’s peak to the fund’s valley (length), and the time from the fund’s valley to a new fund high (recovery). It measures the largest percentage drawdown that has occurred in any fund’s data record.'

• Looking at the maximum DrawDown of -37.1 days in the last 5 years of T-Mobile, we see it is relatively lower, thus worse in comparison to the benchmark SPY (-24.5 days)
• Looking at maximum DrawDown in of -37.1 days in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (-18.8 days).

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'

• Compared with the benchmark SPY (488 days) in the period of the last 5 years, the maximum days under water of 352 days of T-Mobile is lower, thus better.
• Compared with SPY (87 days) in the period of the last 3 years, the maximum days under water of 352 days is higher, 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.'

• Looking at the average days under water of 112 days in the last 5 years of T-Mobile, we see it is relatively lower, thus better in comparison to the benchmark SPY (119 days)
• During the last 3 years, the average time in days below previous high water mark is 100 days, which is greater, thus worse than the value of 21 days from the benchmark.