Walmart (WMT)

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.'

• Looking at the total return, or performance of 79.5% in the last 5 years of Walmart, we see it is relatively greater, thus better in comparison to the benchmark SPY (60.7%)
• During the last 3 years, the total return is 16.1%, which is smaller, thus worse than the value of 29.5% 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.'

• Compared with the benchmark SPY (10%) in the period of the last 5 years, the annual performance (CAGR) of 12.4% of Walmart is larger, thus better.
• Compared with SPY (9%) in the period of the last 3 years, the annual performance (CAGR) of 5.1% is lower, thus worse.

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.'

• The volatility over 5 years of Walmart is 23.7%, which is higher, thus worse compared to the benchmark SPY (20.8%) in the same period.
• Looking at 30 days standard deviation in of 25% in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to SPY (24%).

DownVol:

'The downside volatility is similar to the volatility, or standard deviation, but only takes losing/negative periods into account.'

• Looking at the downside deviation of 16.1% in the last 5 years of Walmart, we see it is relatively greater, thus worse in comparison to the benchmark SPY (15.3%)
• Compared with SPY (17.6%) in the period of the last 3 years, the downside deviation of 17.3% is lower, thus better.

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.'

• The Sharpe Ratio over 5 years of Walmart is 0.42, which is greater, thus better compared to the benchmark SPY (0.36) in the same period.
• During the last 3 years, the ratio of return and volatility (Sharpe) is 0.1, which is smaller, thus worse than the value of 0.27 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 (0.49) in the period of the last 5 years, the ratio of annual return and downside deviation of 0.62 of Walmart is greater, thus better.
• Looking at excess return divided by the downside deviation in of 0.15 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (0.37).

Ulcer:

'Ulcer Index is a method for measuring investment risk that addresses the real concerns of investors, unlike the widely used standard deviation of return. UI is a measure of the depth and duration of drawdowns in prices from earlier highs. Using Ulcer Index instead of standard deviation can lead to very different conclusions about investment risk and risk-adjusted return, especially when evaluating strategies that seek to avoid major declines in portfolio value (market timing, dynamic asset allocation, hedge funds, etc.). The Ulcer Index was originally developed in 1987. Since then, it has been widely recognized and adopted by the investment community. According to Nelson Freeburg, editor of Formula Research, Ulcer Index is “perhaps the most fully realized statistical portrait of risk there is.'

• Compared with the benchmark SPY (7.52 ) in the period of the last 5 years, the Downside risk index of 10 of Walmart is larger, thus worse.
• Compared with SPY (8.81 ) in the period of the last 3 years, the Ulcer Ratio of 8.75 is smaller, thus better.

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.'

• The maximum drop from peak to valley over 5 years of Walmart is -25.7 days, which is higher, thus better compared to the benchmark SPY (-33.7 days) in the same period.
• During the last 3 years, the maximum drop from peak to valley is -25.7 days, which is greater, thus better than the value of -33.7 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) in days.'

• Compared with the benchmark SPY (182 days) in the period of the last 5 years, the maximum days below previous high of 340 days of Walmart is higher, thus worse.
• Looking at maximum time in days below previous high water mark in of 177 days in the period of the last 3 years, we see it is relatively smaller, thus better in comparison to SPY (182 days).

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.'

• The average time in days below previous high water mark over 5 years of Walmart is 84 days, which is greater, thus worse compared to the benchmark SPY (45 days) in the same period.
• During the last 3 years, the average time in days below previous high water mark is 55 days, which is greater, thus worse than the value of 43 days from the benchmark.