United Technologies (UTX)

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 of -41.9% in the last 5 years of United Technologies, we see it is relatively lower, thus worse in comparison to the benchmark SPY (81.8%)
• Looking at total return, or performance in of -42.6% in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (78.5%).

CAGR:

'The compound annual growth rate isn't a true return rate, but rather a representational figure. It is essentially a number that describes the rate at which an investment would have grown if it had grown the same rate every year and the profits were reinvested at the end of each year. In reality, this sort of performance is unlikely. However, CAGR can be used to smooth returns so that they may be more easily understood when compared to alternative investments.'

• Compared with the benchmark SPY (12.8%) in the period of the last 5 years, the compounded annual growth rate (CAGR) of -10.3% of United Technologies is lower, thus worse.
• Looking at annual return (CAGR) in of -16.9% in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (21.5%).

Volatility:

'Volatility is a rate at which the price of a security increases or decreases for a given set of returns. Volatility is measured by calculating the standard deviation of the annualized returns over a given period of time. It shows the range to which the price of a security may increase or decrease. Volatility measures the risk of a security. It is used in option pricing formula to gauge the fluctuations in the returns of the underlying assets. Volatility indicates the pricing behavior of the security and helps estimate the fluctuations that may happen in a short period of time.'

• Compared with the benchmark SPY (17.2%) in the period of the last 5 years, the historical 30 days volatility of 32.9% of United Technologies is higher, thus worse.
• During the last 3 years, the historical 30 days volatility is 40%, 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.'

• Compared with the benchmark SPY (11.9%) in the period of the last 5 years, the downside risk of 26.9% of United Technologies is greater, thus worse.
• During the last 3 years, the downside deviation is 33.2%, which is greater, thus worse than the value of 10.3% from the benchmark.

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.'

• Looking at the Sharpe Ratio of -0.39 in the last 5 years of United Technologies, we see it is relatively smaller, thus worse in comparison to the benchmark SPY (0.6)
• During the last 3 years, the Sharpe Ratio is -0.49, which is lower, thus worse than the value of 1.24 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.'

• Compared with the benchmark SPY (0.87) in the period of the last 5 years, the ratio of annual return and downside deviation of -0.48 of United Technologies is smaller, thus worse.
• Looking at ratio of annual return and downside deviation in of -0.58 in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (1.85).

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.'

• Looking at the Ulcer Ratio of 14 in the last 5 years of United Technologies, we see it is relatively greater, thus worse in comparison to the benchmark SPY (8.46 )
• Looking at Ulcer Index in of 13 in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to SPY (3.36 ).

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.'

• Compared with the benchmark SPY (-24.5 days) in the period of the last 5 years, the maximum drop from peak to valley of -68.1 days of United Technologies is lower, thus worse.
• Looking at maximum reduction from previous high in of -68.1 days in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (-18.8 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.'

• The maximum time in days below previous high water mark over 5 years of United Technologies is 488 days, which is greater, thus worse compared to the benchmark SPY (488 days) in the same period.
• Compared with SPY (87 days) in the period of the last 3 years, the maximum days under water of 155 days is larger, 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.'

• The average time in days below previous high water mark over 5 years of United Technologies is 133 days, which is higher, thus worse compared to the benchmark SPY (118 days) in the same period.
• During the last 3 years, the average time in days below previous high water mark is 56 days, which is greater, thus worse than the value of 17 days from the benchmark.