Tesla (TSLA)

TotalReturn:

'Total return, when measuring performance, is the actual rate of return of an investment or a pool of investments over a given evaluation period. Total return includes interest, capital gains, dividends and distributions realized over a given period of time. Total return accounts for two categories of return: income including interest paid by fixed-income investments, distributions or dividends and capital appreciation, representing the change in the market price of an asset.'

• Looking at the total return of -12.1% in the last 5 years of Tesla, we see it is relatively lower, thus worse in comparison to the benchmark SPY (67.8%)
• Compared with SPY (75%) in the period of the last 3 years, the total return, or increase in value of 63.4% is smaller, 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 -2.5% in the last 5 years of Tesla, we see it is relatively lower, thus worse in comparison to the benchmark SPY (11%)
• Compared with SPY (20.6%) in the period of the last 3 years, the annual performance (CAGR) of 17.9% 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.'

• Looking at the 30 days standard deviation of 59.8% in the last 5 years of Tesla, we see it is relatively greater, thus worse in comparison to the benchmark SPY (17.3%)
• Compared with SPY (15.4%) in the period of the last 3 years, the volatility of 58% is greater, thus worse.

DownVol:

'Downside risk is the financial risk associated with losses. That is, it is the risk of the actual return being below the expected return, or the uncertainty about the magnitude of that difference. 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.'

• The downside volatility over 5 years of Tesla is 41.1%, which is higher, thus worse compared to the benchmark SPY (12%) in the same period.
• During the last 3 years, the downside volatility is 38.3%, which is greater, thus worse than the value of 10.4% from the benchmark.

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.'

• Compared with the benchmark SPY (0.49) in the period of the last 5 years, the risk / return profile (Sharpe) of -0.08 of Tesla is lower, thus worse.
• Looking at ratio of return and volatility (Sharpe) in of 0.26 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (1.17).

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.'

• Compared with the benchmark SPY (0.7) in the period of the last 5 years, the ratio of annual return and downside deviation of -0.12 of Tesla is lower, thus worse.
• Compared with SPY (1.73) in the period of the last 3 years, the ratio of annual return and downside deviation of 0.4 is lower, thus worse.

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.'

• The Ulcer Ratio over 5 years of Tesla is 38 , which is larger, thus worse compared to the benchmark SPY (8.45 ) in the same period.
• Compared with SPY (3.21 ) in the period of the last 3 years, the Ulcer Ratio of 25 is higher, 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.'

• The maximum drop from peak to valley over 5 years of Tesla is -73.5 days, which is smaller, thus worse compared to the benchmark SPY (-24.5 days) in the same period.
• During the last 3 years, the maximum DrawDown is -53.8 days, which is smaller, thus worse than the value of -18.8 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). 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'

• Looking at the maximum days below previous high of 777 days in the last 5 years of Tesla, we see it is relatively higher, thus worse in comparison to the benchmark SPY (488 days)
• During the last 3 years, the maximum time in days below previous high water mark is 248 days, which is larger, thus worse than the value of 87 days from the benchmark.

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 below previous high of 287 days in the last 5 years of Tesla, we see it is relatively larger, thus worse in comparison to the benchmark SPY (117 days)
• During the last 3 years, the average days below previous high is 93 days, which is greater, thus worse than the value of 17 days from the benchmark.