'Total return is the amount of value an investor earns from a security over a specific period, typically one year, when all distributions are reinvested. Total return is expressed as a percentage of the amount invested. For example, a total return of 20% means the security increased by 20% of its original value due to a price increase, distribution of dividends (if a stock), coupons (if a bond) or capital gains (if a fund). Total return is a strong measure of an investment’s overall performance.'

Applying this definition to our asset in some examples:- Compared with the benchmark SPY (67.8%) in the period of the last 5 years, the total return, or performance of 68.6% of Adobe is larger, thus better.
- Compared with SPY (44.5%) in the period of the last 3 years, the total return of 7.9% is lower, thus worse.

'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.'

Applying this definition to our asset in some examples:- The annual return (CAGR) over 5 years of Adobe is 11%, which is higher, thus better compared to the benchmark SPY (10.9%) in the same period.
- Looking at compounded annual growth rate (CAGR) in of 2.6% in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (13.1%).

'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.'

Applying this definition to our asset in some examples:- Looking at the historical 30 days volatility of 37.9% in the last 5 years of Adobe, we see it is relatively larger, thus worse in comparison to the benchmark SPY (21.4%)
- Looking at volatility in of 37.3% in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to SPY (18.8%).

'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:- The downside deviation over 5 years of Adobe is 27.1%, which is larger, thus worse compared to the benchmark SPY (15.4%) in the same period.
- During the last 3 years, the downside risk is 27.4%, which is greater, thus worse than the value of 13.3% from the benchmark.

'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.'

Which means for our asset as example:- Looking at the Sharpe Ratio of 0.23 in the last 5 years of Adobe, we see it is relatively smaller, thus worse in comparison to the benchmark SPY (0.39)
- Looking at Sharpe Ratio in of 0 in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (0.56).

'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.'

Applying this definition to our asset in some examples:- Looking at the downside risk / excess return profile of 0.31 in the last 5 years of Adobe, we see it is relatively lower, thus worse in comparison to the benchmark SPY (0.55)
- Looking at downside risk / excess return profile in of 0 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (0.79).

'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.'

Using this definition on our asset we see for example:- The Ulcer Index over 5 years of Adobe is 25 , which is greater, thus worse compared to the benchmark SPY (9.46 ) in the same period.
- Looking at Ulcer Index in of 31 in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to SPY (10 ).

'Maximum drawdown is defined as the peak-to-trough decline of an investment during a specific period. It is usually quoted as a percentage of the peak value. The maximum drawdown can be calculated based on absolute returns, in order to identify strategies that suffer less during market downturns, such as low-volatility strategies. However, the maximum drawdown can also be calculated based on returns relative to a benchmark index, for identifying strategies that show steady outperformance over time.'

Using this definition on our asset we see for example:- The maximum DrawDown over 5 years of Adobe is -60 days, which is smaller, thus worse compared to the benchmark SPY (-33.7 days) in the same period.
- Looking at maximum reduction from previous high in of -60 days in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (-24.5 days).

'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). Many assume Max DD Duration is the length of time between new highs during which the Max DD (magnitude) occurred. But that isn’t always the case. The Max DD duration is the longest time between peaks, period. So it could be the time when the program also had its biggest peak to valley loss (and usually is, because the program needs a long time to recover from the largest loss), but it doesn’t have to be'

Which means for our asset as example:- Compared with the benchmark SPY (352 days) in the period of the last 5 years, the maximum time in days below previous high water mark of 381 days of Adobe is larger, thus worse.
- Looking at maximum days under water in of 381 days in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to SPY (352 days).

'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.'

Applying this definition to our asset in some examples:- Looking at the average days below previous high of 96 days in the last 5 years of Adobe, we see it is relatively larger, thus worse in comparison to the benchmark SPY (78 days)
- Compared with SPY (102 days) in the period of the last 3 years, the average days under water of 132 days is larger, thus worse.

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 Adobe 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.