Description of Xcel Energy

Xcel Energy Inc. - Common Stock

Statistics of Xcel Energy (YTD)

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

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.'

Using this definition on our asset we see for example:
  • The total return, or increase in value over 5 years of Xcel Energy is 116.5%, which is larger, thus better compared to the benchmark SPY (67.2%) in the same period.
  • Compared with SPY (50.7%) in the period of the last 3 years, the total return of 74.2% is larger, thus better.

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.'

Using this definition on our asset we see for example:
  • Compared with the benchmark SPY (10.8%) in the period of the last 5 years, the annual performance (CAGR) of 16.7% of Xcel Energy is larger, thus better.
  • During the last 3 years, the compounded annual growth rate (CAGR) is 20.3%, which is larger, thus better than the value of 14.7% from the benchmark.

Volatility:

'Volatility is a statistical measure of the dispersion of returns for a given security or market index. Volatility can either be measured by using the standard deviation or variance between returns from that same security or market index. Commonly, the higher the volatility, the riskier the security. In the securities markets, volatility is often associated with big swings in either direction. For example, when the stock market rises and falls more than one percent over a sustained period of time, it is called a 'volatile' market.'

Using this definition on our asset we see for example:
  • Looking at the 30 days standard deviation of 16.2% in the last 5 years of Xcel Energy, we see it is relatively greater, thus worse in comparison to the benchmark SPY (13.5%)
  • Looking at 30 days standard deviation in of 14.9% in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (12.8%).

DownVol:

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

Which means for our asset as example:
  • The downside deviation over 5 years of Xcel Energy is 18.6%, which is larger, thus worse compared to the benchmark SPY (14.8%) in the same period.
  • Looking at downside deviation in of 16.7% in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (14.7%).

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.'

Which means for our asset as example:
  • The Sharpe Ratio over 5 years of Xcel Energy is 0.88, which is larger, thus better compared to the benchmark SPY (0.62) in the same period.
  • Looking at Sharpe Ratio in of 1.2 in the period of the last 3 years, we see it is relatively greater, thus better in comparison to SPY (0.95).

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.'

Applying this definition to our asset in some examples:
  • Compared with the benchmark SPY (0.56) in the period of the last 5 years, the excess return divided by the downside deviation of 0.76 of Xcel Energy is greater, thus better.
  • Compared with SPY (0.83) in the period of the last 3 years, the ratio of annual return and downside deviation of 1.07 is larger, thus better.

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.'

Which means for our asset as example:
  • Looking at the Ulcer Index of 6.76 in the last 5 years of Xcel Energy, we see it is relatively greater, thus worse in comparison to the benchmark SPY (3.99 )
  • Compared with SPY (4.09 ) in the period of the last 3 years, the Ulcer Ratio of 6.09 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.'

Which means for our asset as example:
  • The maximum drop from peak to valley over 5 years of Xcel Energy is -17.4 days, which is larger, thus better compared to the benchmark SPY (-19.3 days) in the same period.
  • Looking at maximum DrawDown in of -17.4 days in the period of the last 3 years, we see it is relatively greater, thus better 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.'

Which means for our asset as example:
  • Compared with the benchmark SPY (187 days) in the period of the last 5 years, the maximum days below previous high of 236 days of Xcel Energy is higher, thus worse.
  • Looking at maximum days under water in of 236 days in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to SPY (139 days).

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.'

Which means for our asset as example:
  • Looking at the average days under water of 62 days in the last 5 years of Xcel Energy, we see it is relatively higher, thus worse in comparison to the benchmark SPY (42 days)
  • Compared with SPY (36 days) in the period of the last 3 years, the average days below previous high of 52 days is larger, thus worse.

Performance of Xcel Energy (YTD)

Historical returns have been extended using synthetic data.

Allocations of Xcel Energy
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Allocations

Returns of Xcel Energy (%)

  • Note that yearly returns do not equal the sum of monthly returns due to compounding.
  • Performance results of Xcel Energy 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.