'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.'

Using this definition on our asset we see for example:- Compared with the benchmark SPY (98.3%) in the period of the last 5 years, the total return, or increase in value of 145.7% of Invesco QQQ Trust is greater, thus better.
- Compared with SPY (27.2%) in the period of the last 3 years, the total return, or performance of 22.1% is smaller, thus worse.

'Compound annual growth rate (CAGR) is a business and investing specific term for the geometric progression ratio that provides a constant rate of return over the time period. CAGR is not an accounting term, but it is often used to describe some element of the business, for example revenue, units delivered, registered users, etc. CAGR dampens the effect of volatility of periodic returns that can render arithmetic means irrelevant. It is particularly useful to compare growth rates from various data sets of common domain such as revenue growth of companies in the same industry.'

Which means for our asset as example:- Looking at the annual performance (CAGR) of 19.7% in the last 5 years of Invesco QQQ Trust, we see it is relatively larger, thus better in comparison to the benchmark SPY (14.7%)
- Compared with SPY (8.4%) in the period of the last 3 years, the compounded annual growth rate (CAGR) of 6.9% is lower, thus worse.

'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.'

Which means for our asset as example:- Looking at the volatility of 25.4% in the last 5 years of Invesco QQQ Trust, we see it is relatively greater, thus worse in comparison to the benchmark SPY (20.9%)
- Compared with SPY (17.7%) in the period of the last 3 years, the 30 days standard deviation of 23.8% is larger, thus worse.

'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.'

Which means for our asset as example:- The downside volatility over 5 years of Invesco QQQ Trust is 18%, which is higher, thus worse compared to the benchmark SPY (14.9%) in the same period.
- Looking at downside deviation in of 16.8% in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to SPY (12.4%).

'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.'

Applying this definition to our asset in some examples:- The Sharpe Ratio over 5 years of Invesco QQQ Trust is 0.68, which is greater, thus better compared to the benchmark SPY (0.58) in the same period.
- Looking at risk / return profile (Sharpe) in of 0.19 in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (0.33).

'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.'

Using this definition on our asset we see for example:- Looking at the downside risk / excess return profile of 0.96 in the last 5 years of Invesco QQQ Trust, we see it is relatively greater, thus better in comparison to the benchmark SPY (0.82)
- Looking at ratio of annual return and downside deviation in of 0.26 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (0.47).

'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:- Compared with the benchmark SPY (9.32 ) in the period of the last 5 years, the Ulcer Ratio of 14 of Invesco QQQ Trust is higher, thus worse.
- Compared with SPY (10 ) in the period of the last 3 years, the Ulcer Index of 17 is larger, thus worse.

'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.'

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 DrawDown of -35.1 days of Invesco QQQ Trust is lower, thus worse.
- During the last 3 years, the maximum drop from peak to valley is -35.1 days, which is lower, thus worse than the value of -24.5 days from the benchmark.

'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 time in days below previous high water mark over 5 years of Invesco QQQ Trust is 493 days, which is higher, thus worse compared to the benchmark SPY (488 days) in the same period.
- Compared with SPY (488 days) in the period of the last 3 years, the maximum days under water of 493 days is higher, thus worse.

'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:- Compared with the benchmark SPY (123 days) in the period of the last 5 years, the average days below previous high of 122 days of Invesco QQQ Trust is lower, thus better.
- Looking at average time in days below previous high water mark in of 178 days in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (177 days).

Historical returns have been extended using synthetic data.
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- Note that yearly returns do not equal the sum of monthly returns due to compounding.
- Performance results of Invesco QQQ Trust are hypothetical and do not account for slippage, fees or taxes.