United Technologies (UTX)

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.'

• The total return, or increase in value over 5 years of United Technologies is 23.9%, which is lower, thus worse compared to the benchmark SPY (66.2%) in the same period.
• During the last 3 years, the total return is 35.7%, which is lower, thus worse than the value of 45.7% from the benchmark.

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.'

• Looking at the annual performance (CAGR) of 4.4% in the last 5 years of United Technologies, we see it is relatively smaller, thus worse in comparison to the benchmark SPY (10.7%)
• Looking at annual performance (CAGR) in of 10.8% in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (13.4%).

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.'

• The volatility over 5 years of United Technologies is 18.2%, which is higher, thus worse compared to the benchmark SPY (13.3%) in the same period.
• During the last 3 years, the volatility is 17.9%, which is larger, thus worse than the value of 12.5% 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.'

• The downside volatility over 5 years of United Technologies is 19.2%, which is greater, thus worse compared to the benchmark SPY (14.6%) in the same period.
• Looking at downside risk in of 19.3% in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (14.1%).

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.'

• Looking at the ratio of return and volatility (Sharpe) of 0.1 in the last 5 years of United Technologies, we see it is relatively smaller, thus worse in comparison to the benchmark SPY (0.62)
• During the last 3 years, the risk / return profile (Sharpe) is 0.46, which is lower, thus worse than the value of 0.87 from the benchmark.

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.'

• The downside risk / excess return profile over 5 years of United Technologies is 0.1, which is lower, thus worse compared to the benchmark SPY (0.56) in the same period.
• Looking at downside risk / excess return profile in of 0.43 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (0.77).

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.'

• Looking at the Ulcer Ratio of 12 in the last 5 years of United Technologies, we see it is relatively greater, thus better in comparison to the benchmark SPY (3.96 )
• During the last 3 years, the Ulcer Ratio is 7.27 , which is greater, thus better than the value of 4.01 from the benchmark.

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.'

• Compared with the benchmark SPY (-19.3 days) in the period of the last 5 years, the maximum drop from peak to valley of -30.5 days of United Technologies is lower, thus worse.
• Looking at maximum drop from peak to valley in of -27.8 days in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (-19.3 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.'

• Compared with the benchmark SPY (187 days) in the period of the last 5 years, the maximum days below previous high of 548 days of United Technologies is higher, thus worse.
• Compared with SPY (131 days) in the period of the last 3 years, the maximum days under water of 155 days is greater, thus worse.

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.'

• Looking at the average days under water of 158 days in the last 5 years of United Technologies, we see it is relatively higher, thus worse in comparison to the benchmark SPY (39 days)
• During the last 3 years, the average days below previous high is 46 days, which is larger, thus worse than the value of 34 days from the benchmark.