'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 Applied Materials is 128.5%, which is higher, thus better compared to the benchmark SPY (68.1%) in the same period.
- Looking at total return, or performance in of 105.5% in the period of the last 3 years, we see it is relatively larger, thus better in comparison to SPY (47.1%).

'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:- The compounded annual growth rate (CAGR) over 5 years of Applied Materials is 18%, which is larger, thus better compared to the benchmark SPY (11%) in the same period.
- Looking at compounded annual growth rate (CAGR) in of 27.2% in the period of the last 3 years, we see it is relatively higher, thus better in comparison to SPY (13.8%).

'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.'

Using this definition on our asset we see for example:- Looking at the volatility of 31.4% in the last 5 years of Applied Materials, we see it is relatively larger, thus worse in comparison to the benchmark SPY (13.2%)
- During the last 3 years, the 30 days standard deviation is 33.3%, which is larger, thus worse than the value of 12.4% from the benchmark.

'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:- Compared with the benchmark SPY (14.6%) in the period of the last 5 years, the downside risk of 32.9% of Applied Materials is higher, thus worse.
- Compared with SPY (14%) in the period of the last 3 years, the downside volatility of 35.4% is greater, thus worse.

'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:- Compared with the benchmark SPY (0.64) in the period of the last 5 years, the Sharpe Ratio of 0.49 of Applied Materials is smaller, thus worse.
- During the last 3 years, the ratio of return and volatility (Sharpe) is 0.74, which is lower, thus worse than the value of 0.91 from the benchmark.

'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.'

Which means for our asset as example:- Compared with the benchmark SPY (0.58) in the period of the last 5 years, the excess return divided by the downside deviation of 0.47 of Applied Materials is lower, thus worse.
- During the last 3 years, the excess return divided by the downside deviation is 0.7, which is smaller, thus worse than the value of 0.8 from the benchmark.

'Ulcer Index is a method for measuring investment risk that addresses the real concerns of investors, unlike the widely used standard deviation of return. UI is a measure of the depth and duration of drawdowns in prices from earlier highs. Using Ulcer Index instead of standard deviation can lead to very different conclusions about investment risk and risk-adjusted return, especially when evaluating strategies that seek to avoid major declines in portfolio value (market timing, dynamic asset allocation, hedge funds, etc.). The Ulcer Index was originally developed in 1987. Since then, it has been widely recognized and adopted by the investment community. According to Nelson Freeburg, editor of Formula Research, Ulcer Index is “perhaps the most fully realized statistical portrait of risk there is.'

Using this definition on our asset we see for example:- The Ulcer Ratio over 5 years of Applied Materials is 20 , which is larger, thus better compared to the benchmark SPY (3.95 ) in the same period.
- Looking at Ulcer Ratio in of 19 in the period of the last 3 years, we see it is relatively larger, thus better in comparison to SPY (4 ).

'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.'

Applying this definition to our asset in some examples:- The maximum drop from peak to valley over 5 years of Applied Materials is -52.3 days, which is smaller, thus worse compared to the benchmark SPY (-19.3 days) in the same period.
- Looking at maximum DrawDown in of -52.3 days in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (-19.3 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) in days.'

Applying this definition to our asset in some examples:- Looking at the maximum time in days below previous high water mark of 342 days in the last 5 years of Applied Materials, we see it is relatively larger, thus worse in comparison to the benchmark SPY (187 days)
- Looking at maximum days below previous high in of 256 days in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to SPY (131 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.'

Using this definition on our asset we see for example:- The average days under water over 5 years of Applied Materials is 91 days, which is higher, thus worse compared to the benchmark SPY (39 days) in the same period.
- During the last 3 years, the average days below previous high is 60 days, which is higher, thus worse than the value of 33 days from the benchmark.

Historical returns have been extended using synthetic data.
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- "Year" returns in the table above are not equal to the sum of monthly returns due to compounding.
- Performance results of Applied Materials 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.