Description of Vodafone Group Plc

Vodafone Group Plc - American Depositary Shares each representing ten Ordinary Shares

Statistics of Vodafone Group Plc (YTD)

What do these metrics mean? [Read More] [Hide]

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:
  • Compared with the benchmark SPY (64.1%) in the period of the last 5 years, the total return of -21.2% of Vodafone Group Plc is lower, thus worse.
  • Compared with SPY (48.1%) in the period of the last 3 years, the total return, or increase in value of -18.6% 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.'

Applying this definition to our asset in some examples:
  • Compared with the benchmark SPY (10.4%) in the period of the last 5 years, the annual performance (CAGR) of -4.7% of Vodafone Group Plc is lower, thus worse.
  • Compared with SPY (14%) in the period of the last 3 years, the compounded annual growth rate (CAGR) of -6.6% 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.'

Applying this definition to our asset in some examples:
  • Compared with the benchmark SPY (13.6%) in the period of the last 5 years, the 30 days standard deviation of 22.8% of Vodafone Group Plc is greater, thus worse.
  • Compared with SPY (12.8%) in the period of the last 3 years, the 30 days standard deviation of 22% is larger, 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.'

Applying this definition to our asset in some examples:
  • Compared with the benchmark SPY (14.9%) in the period of the last 5 years, the downside deviation of 22.3% of Vodafone Group Plc is higher, thus worse.
  • During the last 3 years, the downside deviation is 21.3%, which is higher, thus worse than the value of 14.5% 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.'

Which means for our asset as example:
  • Looking at the ratio of return and volatility (Sharpe) of -0.31 in the last 5 years of Vodafone Group Plc, we see it is relatively lower, thus worse in comparison to the benchmark SPY (0.58)
  • During the last 3 years, the Sharpe Ratio is -0.41, which is lower, thus worse than the value of 0.9 from the benchmark.

Sortino:

'The Sortino ratio measures the risk-adjusted return of an investment asset, portfolio, or strategy. It is a modification of the Sharpe ratio but penalizes only those returns falling below a user-specified target or required rate of return, while the Sharpe ratio penalizes both upside and downside volatility equally. Though both ratios measure an investment's risk-adjusted return, they do so in significantly different ways that will frequently lead to differing conclusions as to the true nature of the investment's return-generating efficiency. The Sortino ratio is used as a way to compare the risk-adjusted performance of programs with differing risk and return profiles. In general, risk-adjusted returns seek to normalize the risk across programs and then see which has the higher return unit per risk.'

Which means for our asset as example:
  • Compared with the benchmark SPY (0.53) in the period of the last 5 years, the excess return divided by the downside deviation of -0.32 of Vodafone Group Plc is lower, thus worse.
  • Compared with SPY (0.79) in the period of the last 3 years, the downside risk / excess return profile of -0.43 is lower, thus worse.

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 Downside risk index of 24 in the last 5 years of Vodafone Group Plc, we see it is relatively higher, thus worse in comparison to the benchmark SPY (4.02 )
  • Looking at Ulcer Index in of 25 in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to SPY (4.09 ).

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.'

Applying this definition to our asset in some examples:
  • Looking at the maximum DrawDown of -50.4 days in the last 5 years of Vodafone Group Plc, we see it is relatively smaller, thus worse in comparison to the benchmark SPY (-19.3 days)
  • Looking at maximum DrawDown in of -48.6 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.'

Using this definition on our asset we see for example:
  • Looking at the maximum time in days below previous high water mark of 1039 days in the last 5 years of Vodafone Group Plc, we see it is relatively greater, thus worse in comparison to the benchmark SPY (187 days)
  • Compared with SPY (139 days) in the period of the last 3 years, the maximum time in days below previous high water mark of 428 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.'

Using this definition on our asset we see for example:
  • Looking at the average days under water of 441 days in the last 5 years of Vodafone Group Plc, we see it is relatively greater, thus worse in comparison to the benchmark SPY (41 days)
  • Looking at average time in days below previous high water mark in of 151 days in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to SPY (35 days).

Performance of Vodafone Group Plc (YTD)

Historical returns have been extended using synthetic data.

Allocations of Vodafone Group Plc
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Allocations

Returns of Vodafone Group Plc (%)

  • "Year" returns in the table above are not equal to the sum of monthly returns due to compounding.
  • Performance results of Vodafone Group Plc 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.