'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:- Compared with the benchmark SPY (120.8%) in the period of the last 5 years, the total return, or performance of 0.7% of Biogen is smaller, thus worse.
- Compared with SPY (66.3%) in the period of the last 3 years, the total return of 1.9% 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.'

Applying this definition to our asset in some examples:- The annual performance (CAGR) over 5 years of Biogen is 0.1%, which is smaller, thus worse compared to the benchmark SPY (17.2%) in the same period.
- Looking at annual performance (CAGR) in of 0.6% in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (18.5%).

'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:- Looking at the volatility of 44.4% in the last 5 years of Biogen, we see it is relatively greater, thus worse in comparison to the benchmark SPY (18.7%)
- Compared with SPY (22.4%) in the period of the last 3 years, the historical 30 days volatility of 52.1% is greater, thus worse.

'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:- The downside risk over 5 years of Biogen is 28.6%, which is higher, thus worse compared to the benchmark SPY (13.6%) in the same period.
- Looking at downside deviation in of 33% in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to SPY (16.3%).

'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.'

Which means for our asset as example:- Looking at the risk / return profile (Sharpe) of -0.05 in the last 5 years of Biogen, we see it is relatively lower, thus worse in comparison to the benchmark SPY (0.78)
- During the last 3 years, the Sharpe Ratio is -0.04, which is lower, thus worse than the value of 0.71 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.'

Using this definition on our asset we see for example:- Looking at the excess return divided by the downside deviation of -0.08 in the last 5 years of Biogen, we see it is relatively smaller, thus worse in comparison to the benchmark SPY (1.08)
- During the last 3 years, the excess return divided by the downside deviation is -0.06, which is lower, thus worse than the value of 0.98 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 Downside risk index over 5 years of Biogen is 23 , which is larger, thus worse compared to the benchmark SPY (5.59 ) in the same period.
- Looking at Downside risk index in of 27 in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to SPY (6.83 ).

'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:- The maximum reduction from previous high over 5 years of Biogen is -43.5 days, which is lower, thus worse compared to the benchmark SPY (-33.7 days) in the same period.
- Looking at maximum DrawDown in of -43.5 days in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (-33.7 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.'

Using this definition on our asset we see for example:- Compared with the benchmark SPY (139 days) in the period of the last 5 years, the maximum days under water of 686 days of Biogen is higher, thus worse.
- Looking at maximum days under water in of 686 days in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to SPY (139 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.'

Which means for our asset as example:- The average time in days below previous high water mark over 5 years of Biogen is 235 days, which is greater, thus worse compared to the benchmark SPY (33 days) in the same period.
- Compared with SPY (35 days) in the period of the last 3 years, the average days below previous high of 320 days is greater, 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 Biogen 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.