'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:- Compared with the benchmark SPY (68.6%) in the period of the last 5 years, the total return, or increase in value of 292.2% of Broadcom is greater, thus better.
- Compared with SPY (51%) in the period of the last 3 years, the total return, or performance of 102.7% is larger, thus better.

'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:- Looking at the annual performance (CAGR) of 31.5% in the last 5 years of Broadcom, we see it is relatively greater, thus better in comparison to the benchmark SPY (11%)
- Looking at annual performance (CAGR) in of 26.6% in the period of the last 3 years, we see it is relatively larger, thus better in comparison to SPY (14.8%).

'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:- Compared with the benchmark SPY (13.5%) in the period of the last 5 years, the volatility of 32.6% of Broadcom is greater, thus worse.
- Compared with SPY (12.8%) in the period of the last 3 years, the 30 days standard deviation of 30.2% 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:- Compared with the benchmark SPY (14.9%) in the period of the last 5 years, the downside volatility of 33% of Broadcom is higher, thus worse.
- Compared with SPY (14.7%) in the period of the last 3 years, the downside deviation of 32.8% is higher, thus worse.

'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.'

Using this definition on our asset we see for example:- The Sharpe Ratio over 5 years of Broadcom is 0.89, which is larger, thus better compared to the benchmark SPY (0.63) in the same period.
- During the last 3 years, the ratio of return and volatility (Sharpe) is 0.8, which is smaller, thus worse than the value of 0.96 from the benchmark.

'The Sortino ratio measures the risk-adjusted return of an investment asset, portfolio, or strategy. It is a modification of the Sharpe ratio but penalizes only those returns falling below a user-specified target or required rate of return, while the Sharpe ratio penalizes both upside and downside volatility equally. Though both ratios measure an investment's risk-adjusted return, they do so in significantly different ways that will frequently lead to differing conclusions as to the true nature of the investment's return-generating efficiency. The Sortino ratio is used as a way to compare the risk-adjusted performance of programs with differing risk and return profiles. In general, risk-adjusted returns seek to normalize the risk across programs and then see which has the higher return unit per risk.'

Which means for our asset as example:- Compared with the benchmark SPY (0.57) in the period of the last 5 years, the excess return divided by the downside deviation of 0.88 of Broadcom is greater, thus better.
- Looking at downside risk / excess return profile in of 0.74 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (0.83).

'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.'

Which means for our asset as example:- Looking at the Ulcer Ratio of 10 in the last 5 years of Broadcom, we see it is relatively larger, thus worse in comparison to the benchmark SPY (3.99 )
- During the last 3 years, the Ulcer Ratio is 10 , which is higher, thus worse than the value of 4.1 from the benchmark.

'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:- Compared with the benchmark SPY (-19.3 days) in the period of the last 5 years, the maximum reduction from previous high of -27.4 days of Broadcom is smaller, thus worse.
- Compared with SPY (-19.3 days) in the period of the last 3 years, the maximum DrawDown of -27.4 days is smaller, thus worse.

'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.'

Using this definition on our asset we see for example:- The maximum days below previous high over 5 years of Broadcom is 298 days, which is greater, thus worse compared to the benchmark SPY (187 days) in the same period.
- Looking at maximum days under water in of 298 days in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to SPY (139 days).

'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.'

Using this definition on our asset we see for example:- Looking at the average days under water of 65 days in the last 5 years of Broadcom, we see it is relatively higher, thus worse in comparison to the benchmark SPY (42 days)
- Looking at average days below previous high in of 86 days in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to SPY (36 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 Broadcom 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.