Description

Xcel Energy Inc., through its subsidiaries, generates, purchases, transmits, distributes, and sells electricity. It operates through Regulated Electric Utility, Regulated Natural Gas Utility, and All Other segments. The company generates electricity through coal, nuclear, natural gas, hydroelectric, solar, biomass, oil, wood/refuse, and wind energy sources. It also purchases, transports, distributes, and sells natural gas to retail customers, as well as transports customer-owned natural gas. In addition, the company develops and leases natural gas pipelines, and storage and compression facilities; and invests in rental housing projects, as well as procures equipment for construction of renewable generation facilities. It serves residential, commercial, and industrial customers in the portions of Colorado, Michigan, Minnesota, New Mexico, North Dakota, South Dakota, Texas, and Wisconsin. The company sells electricity to approximately 3.7 million customers; and natural gas to approximately 2.1 million customers. Xcel Energy Inc. was founded in 1909 and is headquartered in Minneapolis, Minnesota.

Statistics (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:
  • The total return, or performance over 5 years of Xcel Energy is 24.3%, which is lower, thus worse compared to the benchmark SPY (115.1%) in the same period.
  • During the last 3 years, the total return, or performance is 3.9%, which is smaller, thus worse than the value of 71.1% 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.'

Using this definition on our asset we see for example:
  • Compared with the benchmark SPY (16.6%) in the period of the last 5 years, the compounded annual growth rate (CAGR) of 4.5% of Xcel Energy is smaller, thus worse.
  • Compared with SPY (19.7%) in the period of the last 3 years, the annual return (CAGR) of 1.3% is lower, thus worse.

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.'

Which means for our asset as example:
  • Compared with the benchmark SPY (17.5%) in the period of the last 5 years, the historical 30 days volatility of 21.1% of Xcel Energy is higher, thus worse.
  • Looking at historical 30 days volatility in of 21.9% in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (17.5%).

DownVol:

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

Using this definition on our asset we see for example:
  • Looking at the downside deviation of 15.1% in the last 5 years of Xcel Energy, we see it is relatively larger, thus worse in comparison to the benchmark SPY (12.1%)
  • Looking at downside deviation in of 16% in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to SPY (11.5%).

Sharpe:

'The Sharpe ratio was developed by Nobel laureate William F. Sharpe, and is used to help investors understand the return of an investment compared to its risk. The ratio is the average return earned in excess of the risk-free rate per unit of volatility or total risk. Subtracting the risk-free rate from the mean return allows an investor to better isolate the profits associated with risk-taking activities. One intuition of this calculation is that a portfolio engaging in 'zero risk' investments, such as the purchase of U.S. Treasury bills (for which the expected return is the risk-free rate), has a Sharpe ratio of exactly zero. Generally, the greater the value of the Sharpe ratio, the more attractive the risk-adjusted return.'

Applying this definition to our asset in some examples:
  • The ratio of return and volatility (Sharpe) over 5 years of Xcel Energy is 0.09, which is lower, thus worse compared to the benchmark SPY (0.8) in the same period.
  • Looking at ratio of return and volatility (Sharpe) in of -0.06 in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (0.98).

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 (1.17) in the period of the last 5 years, the excess return divided by the downside deviation of 0.13 of Xcel Energy is smaller, thus worse.
  • Looking at downside risk / excess return profile in of -0.08 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (1.49).

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:
  • Compared with the benchmark SPY (8.48 ) in the period of the last 5 years, the Ulcer Ratio of 13 of Xcel Energy is larger, thus worse.
  • During the last 3 years, the Downside risk index is 16 , which is larger, thus worse than the value of 5.31 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.'

Which means for our asset as example:
  • Compared with the benchmark SPY (-24.5 days) in the period of the last 5 years, the maximum DrawDown of -34.4 days of Xcel Energy is lower, thus worse.
  • Looking at maximum drop from peak to valley in of -34.4 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.'

Applying this definition to our asset in some examples:
  • Looking at the maximum days below previous high of 555 days in the last 5 years of Xcel Energy, we see it is relatively higher, thus worse in comparison to the benchmark SPY (488 days)
  • Looking at maximum days below previous high in of 555 days in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to SPY (199 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.'

Applying this definition to our asset in some examples:
  • Compared with the benchmark SPY (120 days) in the period of the last 5 years, the average days below previous high of 181 days of Xcel Energy is higher, thus worse.
  • Compared with SPY (47 days) in the period of the last 3 years, the average time in days below previous high water mark of 216 days is higher, thus worse.

Performance (YTD)

Historical returns have been extended using synthetic data.

Allocations ()

Allocations

Returns (%)

  • Note that yearly returns do not equal the sum of monthly returns due to compounding.
  • Performance results of Xcel Energy are hypothetical and do not account for slippage, fees or taxes.