Description

Yahoo! Inc. (Yahoo!) is a digital media company. Through the Company's technology and insights, Yahoo! delivers digital content and experiences, across devices and globally. The Company provides online properties and services (Yahoo! Properties) to users, as well as a range of marketing services designed to reach and connect with those users on Yahoo! and through a distribution network of third-party entities (Affiliates). These Affiliates integrate its advertising offerings into their Websites or other offerings (those Websites and other offerings, Affiliate sites). Its offerings to users on Yahoo! Properties fall into three categories: Communications and Communities, Search and Marketplaces, and Media. In October 2013, Yahoo! Inc acquired Hitpost Inc. In October 2013, Yahoo! Inc acquired Bread Labs Inc.

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.'

Applying this definition to our asset in some examples:
  • Looking at the total return of 242.3% in the last 5 years of Yahoo, we see it is relatively larger, thus better in comparison to the benchmark SPY (72.5%)
  • During the last 3 years, the total return is 42.3%, which is higher, thus better than the value of 34.1% 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.'

Which means for our asset as example:
  • The compounded annual growth rate (CAGR) over 5 years of Yahoo is 28%, which is greater, thus better compared to the benchmark SPY (11.5%) in the same period.
  • Compared with SPY (10.3%) in the period of the last 3 years, the compounded annual growth rate (CAGR) of 12.5% is higher, thus better.

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.'

Using this definition on our asset we see for example:
  • Compared with the benchmark SPY (18.9%) in the period of the last 5 years, the historical 30 days volatility of 28.5% of Yahoo is higher, thus worse.
  • During the last 3 years, the 30 days standard deviation is 29%, which is higher, thus worse than the value of 22.6% from the benchmark.

DownVol:

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

Applying this definition to our asset in some examples:
  • Compared with the benchmark SPY (13.8%) in the period of the last 5 years, the downside volatility of 19.3% of Yahoo is larger, thus worse.
  • Compared with SPY (16.7%) in the period of the last 3 years, the downside risk of 20.2% is larger, thus worse.

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.'

Using this definition on our asset we see for example:
  • Compared with the benchmark SPY (0.48) in the period of the last 5 years, the ratio of return and volatility (Sharpe) of 0.89 of Yahoo is greater, thus better.
  • Looking at Sharpe Ratio in of 0.34 in the period of the last 3 years, we see it is relatively larger, thus better in comparison to SPY (0.34).

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.'

Using this definition on our asset we see for example:
  • Looking at the downside risk / excess return profile of 1.32 in the last 5 years of Yahoo, we see it is relatively larger, thus better in comparison to the benchmark SPY (0.65)
  • Compared with SPY (0.47) in the period of the last 3 years, the downside risk / excess return profile of 0.49 is larger, thus better.

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.'

Applying this definition to our asset in some examples:
  • Compared with the benchmark SPY (5.83 ) in the period of the last 5 years, the Ulcer Ratio of 19 of Yahoo is higher, thus worse.
  • During the last 3 years, the Ulcer Ratio is 24 , which is larger, thus worse than the value of 7.13 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.'

Using this definition on our asset we see for example:
  • Compared with the benchmark SPY (-33.7 days) in the period of the last 5 years, the maximum reduction from previous high of -48.9 days of Yahoo is smaller, thus worse.
  • Compared with SPY (-33.7 days) in the period of the last 3 years, the maximum drop from peak to valley of -48.9 days is lower, thus worse.

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:
  • The maximum days under water over 5 years of Yahoo is 642 days, which is higher, thus worse compared to the benchmark SPY (139 days) in the same period.
  • During the last 3 years, the maximum days under water is 642 days, which is higher, thus worse than the value of 139 days from the benchmark.

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:
  • Looking at the average days under water of 194 days in the last 5 years of Yahoo, we see it is relatively greater, thus worse in comparison to the benchmark SPY (37 days)
  • Looking at average days under water in of 283 days in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to SPY (45 days).

Performance (YTD)

Historical returns have been extended using synthetic data.

Allocations
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Allocations

Returns (%)

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