'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.'

Using this definition on our asset we see for example:- Compared with the benchmark SPY (67.3%) in the period of the last 5 years, the total return, or increase in value of 12.9% of BioMarin Pharmaceutical is smaller, thus worse.
- During the last 3 years, the total return, or performance is 11.1%, which is lower, thus worse than the value of 46.1% from the benchmark.

'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.'

Which means for our asset as example:- The annual return (CAGR) over 5 years of BioMarin Pharmaceutical is 2.5%, which is smaller, thus worse compared to the benchmark SPY (10.9%) in the same period.
- Compared with SPY (13.5%) in the period of the last 3 years, the compounded annual growth rate (CAGR) of 3.6% 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.'

Using this definition on our asset we see for example:- The volatility over 5 years of BioMarin Pharmaceutical is 37.7%, which is greater, thus worse compared to the benchmark SPY (13.2%) in the same period.
- During the last 3 years, the volatility is 34.3%, 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.'

Applying this definition to our asset in some examples:- Looking at the downside risk of 36.3% in the last 5 years of BioMarin Pharmaceutical, we see it is relatively greater, thus worse in comparison to the benchmark SPY (14.6%)
- Looking at downside risk in of 32% in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (14%).

'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:- Looking at the ratio of return and volatility (Sharpe) of 0 in the last 5 years of BioMarin Pharmaceutical, we see it is relatively smaller, thus worse in comparison to the benchmark SPY (0.63)
- During the last 3 years, the Sharpe Ratio is 0.03, which is lower, thus worse than the value of 0.88 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.'

Applying this definition to our asset in some examples:- 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 of BioMarin Pharmaceutical is smaller, thus worse.
- Compared with SPY (0.79) in the period of the last 3 years, the downside risk / excess return profile of 0.03 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.'

Applying this definition to our asset in some examples:- Compared with the benchmark SPY (3.95 ) in the period of the last 5 years, the Downside risk index of 34 of BioMarin Pharmaceutical is higher, thus better.
- During the last 3 years, the Ulcer Ratio is 12 , which is higher, thus better than the value of 4 from the benchmark.

'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:- Looking at the maximum drop from peak to valley of -56.6 days in the last 5 years of BioMarin Pharmaceutical, we see it is relatively lower, thus worse in comparison to the benchmark SPY (-19.3 days)
- During the last 3 years, the maximum drop from peak to valley is -25.1 days, which is lower, thus worse than the value of -19.3 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) in days.'

Using this definition on our asset we see for example:- Compared with the benchmark SPY (187 days) in the period of the last 5 years, the maximum time in days below previous high water mark of 923 days of BioMarin Pharmaceutical is higher, thus worse.
- Compared with SPY (131 days) in the period of the last 3 years, the maximum days under water of 487 days is larger, thus worse.

'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.'

Which means for our asset as example:- Looking at the average days below previous high of 363 days in the last 5 years of BioMarin Pharmaceutical, we see it is relatively larger, thus worse in comparison to the benchmark SPY (39 days)
- Looking at average time in days below previous high water mark in of 173 days in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to SPY (33 days).

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 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.