Description

Tesla, Inc. - Common Stock

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 719.7% in the last 5 years of Tesla, we see it is relatively larger, thus better in comparison to the benchmark SPY (91.2%)
  • Looking at total return, or performance in of 517.6% in the period of the last 3 years, we see it is relatively greater, thus better in comparison to SPY (41.5%).

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.'

Which means for our asset as example:
  • The compounded annual growth rate (CAGR) over 5 years of Tesla is 52.3%, which is greater, thus better compared to the benchmark SPY (13.8%) in the same period.
  • Looking at annual return (CAGR) in of 83.6% in the period of the last 3 years, we see it is relatively larger, thus better in comparison to SPY (12.3%).

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.'

Which means for our asset as example:
  • Looking at the volatility of 57.2% in the last 5 years of Tesla, we see it is relatively larger, thus worse in comparison to the benchmark SPY (18.8%)
  • During the last 3 years, the 30 days standard deviation is 66.8%, which is greater, thus worse than the value of 22.4% 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.'

Which means for our asset as example:
  • The downside deviation over 5 years of Tesla is 37.4%, which is greater, thus worse compared to the benchmark SPY (13.7%) in the same period.
  • During the last 3 years, the downside risk is 43.1%, which is higher, thus worse than the value of 16.5% 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.'

Using this definition on our asset we see for example:
  • Looking at the risk / return profile (Sharpe) of 0.87 in the last 5 years of Tesla, we see it is relatively greater, thus better in comparison to the benchmark SPY (0.6)
  • Compared with SPY (0.44) in the period of the last 3 years, the risk / return profile (Sharpe) of 1.21 is higher, thus better.

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.'

Which means for our asset as example:
  • The ratio of annual return and downside deviation over 5 years of Tesla is 1.33, which is higher, thus better compared to the benchmark SPY (0.83) in the same period.
  • Looking at ratio of annual return and downside deviation in of 1.88 in the period of the last 3 years, we see it is relatively larger, thus better in comparison to SPY (0.59).

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 21 in the last 5 years of Tesla, we see it is relatively higher, thus worse in comparison to the benchmark SPY (5.79 )
  • Compared with SPY (7.09 ) in the period of the last 3 years, the Ulcer Index of 23 is higher, thus worse.

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.'

Using this definition on our asset we see for example:
  • Compared with the benchmark SPY (-33.7 days) in the period of the last 5 years, the maximum DrawDown of -60.6 days of Tesla is lower, thus worse.
  • Looking at maximum reduction from previous high in of -60.6 days in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (-33.7 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) in days.'

Which means for our asset as example:
  • Compared with the benchmark SPY (139 days) in the period of the last 5 years, the maximum days below previous high of 566 days of Tesla is greater, thus worse.
  • During the last 3 years, the maximum time in days below previous high water mark is 341 days, which is greater, 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.'

Using this definition on our asset we see for example:
  • Looking at the average days under water of 165 days in the last 5 years of Tesla, we see it is relatively greater, thus worse in comparison to the benchmark SPY (37 days)
  • Compared with SPY (45 days) in the period of the last 3 years, the average days below previous high of 108 days is higher, thus worse.

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 Tesla 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.