'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:- The total return over 5 years of CA Technologies is 63%, which is smaller, thus worse compared to the benchmark SPY (68.1%) in the same period.
- Looking at total return, or performance in of 78.1% in the period of the last 3 years, we see it is relatively larger, thus better in comparison to SPY (47%).

'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:- Compared with the benchmark SPY (11%) in the period of the last 5 years, the annual performance (CAGR) of 10.3% of CA Technologies is lower, thus worse.
- During the last 3 years, the compounded annual growth rate (CAGR) is 21.2%, which is higher, thus better than the value of 13.7% from the benchmark.

'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.'

Which means for our asset as example:- Compared with the benchmark SPY (21.4%) in the period of the last 5 years, the volatility of 21.3% of CA Technologies is lower, thus better.
- Looking at volatility in of 22.7% in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to SPY (18.7%).

'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 CA Technologies is 14%, which is lower, thus better compared to the benchmark SPY (15.4%) in the same period.
- Compared with SPY (13.3%) in the period of the last 3 years, the downside volatility of 13.9% is greater, thus worse.

'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.'

Applying this definition to our asset in some examples:- Looking at the ratio of return and volatility (Sharpe) of 0.36 in the last 5 years of CA Technologies, we see it is relatively lower, thus worse in comparison to the benchmark SPY (0.4)
- During the last 3 years, the ratio of return and volatility (Sharpe) is 0.82, which is greater, thus better than the value of 0.6 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 0.56 in the last 5 years of CA Technologies, we see it is relatively greater, thus better in comparison to the benchmark SPY (0.55)
- Looking at ratio of annual return and downside deviation in of 1.35 in the period of the last 3 years, we see it is relatively larger, thus better in comparison to SPY (0.84).

'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.'

Applying this definition to our asset in some examples:- The Ulcer Ratio over 5 years of CA Technologies is 8.7 , which is lower, thus better compared to the benchmark SPY (9.45 ) in the same period.
- During the last 3 years, the Downside risk index is 5.25 , which is smaller, thus better than the value of 10 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 reduction from previous high of -24 days in the last 5 years of CA Technologies, we see it is relatively greater, thus better in comparison to the benchmark SPY (-33.7 days)
- Compared with SPY (-24.5 days) in the period of the last 3 years, the maximum DrawDown of -13.8 days is larger, thus better.

'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.'

Applying this definition to our asset in some examples:- Looking at the maximum days under water of 314 days in the last 5 years of CA Technologies, we see it is relatively smaller, thus better in comparison to the benchmark SPY (351 days)
- Looking at maximum days below previous high in of 223 days in the period of the last 3 years, we see it is relatively smaller, thus better in comparison to SPY (351 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.'

Which means for our asset as example:- Looking at the average time in days below previous high water mark of 106 days in the last 5 years of CA Technologies, we see it is relatively higher, thus worse in comparison to the benchmark SPY (78 days)
- During the last 3 years, the average time in days below previous high water mark is 59 days, which is smaller, thus better than the value of 101 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 CA Technologies 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.