'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:- The total return over 5 years of Caterpillar is 63.7%, which is smaller, thus worse compared to the benchmark SPY (68.1%) in the same period.
- Looking at total return in of 92.6% in the period of the last 3 years, we see it is relatively greater, thus better in comparison to SPY (47.1%).

'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:- Compared with the benchmark SPY (11%) in the period of the last 5 years, the annual return (CAGR) of 10.4% of Caterpillar is lower, thus worse.
- Looking at annual return (CAGR) in of 24.5% in the period of the last 3 years, we see it is relatively larger, thus better in comparison to SPY (13.8%).

'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.'

Applying this definition to our asset in some examples:- The historical 30 days volatility over 5 years of Caterpillar is 26.1%, which is larger, thus worse compared to the benchmark SPY (13.2%) in the same period.
- During the last 3 years, the volatility is 26.9%, which is greater, thus worse than the value of 12.4% 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.'

Using this definition on our asset we see for example:- Compared with the benchmark SPY (14.6%) in the period of the last 5 years, the downside deviation of 26.9% of Caterpillar is higher, thus worse.
- Looking at downside risk in of 28.2% 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.'

Applying this definition to our asset in some examples:- The risk / return profile (Sharpe) over 5 years of Caterpillar is 0.3, which is smaller, thus worse compared to the benchmark SPY (0.64) in the same period.
- Looking at Sharpe Ratio in of 0.82 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (0.91).

'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.'

Applying this definition to our asset in some examples:- The downside risk / excess return profile over 5 years of Caterpillar is 0.29, which is smaller, thus worse compared to the benchmark SPY (0.58) in the same period.
- Compared with SPY (0.8) in the period of the last 3 years, the ratio of annual return and downside deviation of 0.78 is smaller, 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.'

Which means for our asset as example:- Compared with the benchmark SPY (3.95 ) in the period of the last 5 years, the Ulcer Index of 19 of Caterpillar is larger, thus better.
- During the last 3 years, the Downside risk index is 11 , which is higher, thus better than the value of 4 from the benchmark.

'Maximum drawdown is defined as the peak-to-trough decline of an investment during a specific period. It is usually quoted as a percentage of the peak value. The maximum drawdown can be calculated based on absolute returns, in order to identify strategies that suffer less during market downturns, such as low-volatility strategies. However, the maximum drawdown can also be calculated based on returns relative to a benchmark index, for identifying strategies that show steady outperformance over time.'

Applying this definition to our asset in some examples:- The maximum drop from peak to valley over 5 years of Caterpillar is -44.6 days, which is smaller, thus worse compared to the benchmark SPY (-19.3 days) in the same period.
- Compared with SPY (-19.3 days) in the period of the last 3 years, the maximum drop from peak to valley of -33.1 days is smaller, thus worse.

'The Maximum 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. It is the length of time the account was in the Max Drawdown. A Max Drawdown measures a retrenchment from when an equity curve reaches a new high. It’s the maximum an account lost during that retrenchment. This method is applied because a valley can’t be measured until a new high occurs. Once the new high is reached, the percentage change from the old high to the bottom of the largest trough is recorded.'

Using this definition on our asset we see for example:- The maximum days under water over 5 years of Caterpillar is 698 days, which is greater, thus worse compared to the benchmark SPY (187 days) in the same period.
- Compared with SPY (131 days) in the period of the last 3 years, the maximum days below previous high of 289 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.'

Using this definition on our asset we see for example:- The average time in days below previous high water mark over 5 years of Caterpillar is 244 days, which is higher, thus worse compared to the benchmark SPY (39 days) in the same period.
- Compared with SPY (33 days) in the period of the last 3 years, the average time in days below previous high water mark of 71 days is higher, thus worse.

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 Caterpillar 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.