'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:- Looking at the total return, or performance of -5.2% in the last 5 years of BioMarin Pharmaceutical, we see it is relatively lower, thus worse in comparison to the benchmark SPY (80%)
- Compared with SPY (31.8%) in the period of the last 3 years, the total return of 15.7% is smaller, 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.'

Which means for our asset as example:- Looking at the annual performance (CAGR) of -1.1% in the last 5 years of BioMarin Pharmaceutical, we see it is relatively lower, thus worse in comparison to the benchmark SPY (12.5%)
- Compared with SPY (9.7%) in the period of the last 3 years, the annual performance (CAGR) of 5% is lower, thus worse.

'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.'

Applying this definition to our asset in some examples:- The 30 days standard deviation over 5 years of BioMarin Pharmaceutical is 37.7%, which is higher, thus worse compared to the benchmark SPY (21.3%) in the same period.
- Compared with SPY (17.6%) in the period of the last 3 years, the historical 30 days volatility of 32% is larger, thus worse.

'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:- The downside volatility over 5 years of BioMarin Pharmaceutical is 28.2%, which is greater, thus worse compared to the benchmark SPY (15.3%) in the same period.
- Compared with SPY (12.3%) in the period of the last 3 years, the downside deviation of 21.6% is higher, thus worse.

'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 BioMarin Pharmaceutical is -0.09, which is smaller, thus worse compared to the benchmark SPY (0.47) in the same period.
- During the last 3 years, the risk / return profile (Sharpe) is 0.08, which is smaller, thus worse than the value of 0.41 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:- Looking at the ratio of annual return and downside deviation of -0.13 in the last 5 years of BioMarin Pharmaceutical, we see it is relatively lower, thus worse in comparison to the benchmark SPY (0.66)
- Compared with SPY (0.58) in the period of the last 3 years, the excess return divided by the downside deviation of 0.12 is lower, thus worse.

'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:- Looking at the Downside risk index of 30 in the last 5 years of BioMarin Pharmaceutical, we see it is relatively larger, thus worse in comparison to the benchmark SPY (9.43 )
- Looking at Ulcer Index in of 15 in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to SPY (10 ).

'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 reduction from previous high over 5 years of BioMarin Pharmaceutical is -45.4 days, which is smaller, thus worse compared to the benchmark SPY (-33.7 days) in the same period.
- During the last 3 years, the maximum drop from peak to valley is -35 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). 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'

Using this definition on our asset we see for example:- The maximum days under water over 5 years of BioMarin Pharmaceutical is 848 days, which is larger, thus worse compared to the benchmark SPY (480 days) in the same period.
- Looking at maximum days below previous high in of 219 days in the period of the last 3 years, we see it is relatively lower, thus better in comparison to SPY (480 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:- Looking at the average days under water of 335 days in the last 5 years of BioMarin Pharmaceutical, we see it is relatively greater, thus worse in comparison to the benchmark SPY (119 days)
- During the last 3 years, the average days below previous high is 79 days, which is lower, thus better than the value of 174 days from the benchmark.

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 BioMarin Pharmaceutical 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.