'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.'

Using this definition on our asset we see for example:- Looking at the total return, or performance of -9.6% in the last 5 years of BioMarin Pharmaceutical, we see it is relatively smaller, thus worse in comparison to the benchmark SPY (121.2%)
- During the last 3 years, the total return, or increase in value is 1.4%, which is smaller, thus worse than the value of 67.5% from the benchmark.

'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 -2% in the last 5 years of BioMarin Pharmaceutical, we see it is relatively lower, thus worse in comparison to the benchmark SPY (17.2%)
- Compared with SPY (18.7%) in the period of the last 3 years, the compounded annual growth rate (CAGR) of 0.5% is lower, thus worse.

'Volatility is a statistical measure of the dispersion of returns for a given security or market index. Volatility can either be measured by using the standard deviation or variance between returns from that same security or market index. Commonly, the higher the volatility, the riskier the security. In the securities markets, volatility is often associated with big swings in either direction. For example, when the stock market rises and falls more than one percent over a sustained period of time, it is called a 'volatile' market.'

Using this definition on our asset we see for example:- Compared with the benchmark SPY (18.7%) in the period of the last 5 years, the 30 days standard deviation of 38.6% of BioMarin Pharmaceutical is larger, thus worse.
- During the last 3 years, the volatility is 41.6%, which is greater, thus worse than the value of 22.5% from the benchmark.

'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 (13.6%) in the period of the last 5 years, the downside risk of 28.6% of BioMarin Pharmaceutical is higher, thus worse.
- Looking at downside volatility in of 32% 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.'

Applying this definition to our asset in some examples:- Looking at the Sharpe Ratio of -0.12 in the last 5 years of BioMarin Pharmaceutical, we see it is relatively lower, thus worse in comparison to the benchmark SPY (0.79)
- Compared with SPY (0.72) in the period of the last 3 years, the Sharpe Ratio of -0.05 is smaller, thus worse.

'The Sortino ratio, a variation of the Sharpe ratio only factors in the downside, or negative volatility, rather than the total volatility used in calculating the Sharpe ratio. The theory behind the Sortino variation is that upside volatility is a plus for the investment, and it, therefore, should not be included in the risk calculation. Therefore, the Sortino ratio takes upside volatility out of the equation and uses only the downside standard deviation in its calculation instead of the total standard deviation that is used in calculating the Sharpe ratio.'

Using this definition on our asset we see for example:- Compared with the benchmark SPY (1.08) in the period of the last 5 years, the downside risk / excess return profile of -0.16 of BioMarin Pharmaceutical is smaller, thus worse.
- Looking at ratio of annual return and downside deviation in of -0.06 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (1).

'The Ulcer Index is a technical indicator that measures downside risk, in terms of both the depth and duration of price declines. The index increases in value as the price moves farther away from a recent high and falls as the price rises to new highs. The indicator is usually calculated over a 14-day period, with the Ulcer Index showing the percentage drawdown a trader can expect from the high over that period. The greater the value of the Ulcer Index, the longer it takes for a stock to get back to the former high.'

Using this definition on our asset we see for example:- Compared with the benchmark SPY (5.59 ) in the period of the last 5 years, the Ulcer Ratio of 21 of BioMarin Pharmaceutical is greater, thus worse.
- Looking at Ulcer Ratio in of 24 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:- Compared with the benchmark SPY (-33.7 days) in the period of the last 5 years, the maximum reduction from previous high of -45.1 days of BioMarin Pharmaceutical is lower, thus worse.
- During the last 3 years, the maximum drop from peak to valley is -45.1 days, which is smaller, thus worse than the value of -33.7 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'

Applying this definition to our asset in some examples:- The maximum time in days below previous high water mark over 5 years of BioMarin Pharmaceutical is 487 days, which is higher, thus worse compared to the benchmark SPY (139 days) in the same period.
- Compared with SPY (139 days) in the period of the last 3 years, the maximum time in days below previous high water mark of 402 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:- The average days below previous high over 5 years of BioMarin Pharmaceutical is 179 days, which is higher, 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 time in days below previous high water mark of 138 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 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.