'Total return, when measuring performance, is the actual rate of return of an investment or a pool of investments over a given evaluation period. Total return includes interest, capital gains, dividends and distributions realized over a given period of time. Total return accounts for two categories of return: income including interest paid by fixed-income investments, distributions or dividends and capital appreciation, representing the change in the market price of an asset.'

Using this definition on our asset we see for example:- The total return, or increase in value over 5 years of Caterpillar is 35.2%, which is lower, thus worse compared to the benchmark SPY (67.9%) in the same period.
- Compared with SPY (46.6%) in the period of the last 3 years, the total return of 88.6% is greater, thus better.

'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:- Looking at the annual performance (CAGR) of 6.2% in the last 5 years of Caterpillar, we see it is relatively lower, thus worse in comparison to the benchmark SPY (10.9%)
- During the last 3 years, the compounded annual growth rate (CAGR) is 23.5%, which is higher, thus better than the value of 13.6% 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.'

Using this definition on our asset we see for example:- Looking at the volatility of 26.5% in the last 5 years of Caterpillar, we see it is relatively larger, thus worse in comparison to the benchmark SPY (13.3%)
- Compared with SPY (12.5%) in the period of the last 3 years, the volatility of 27.1% 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:- Compared with the benchmark SPY (14.6%) in the period of the last 5 years, the downside volatility of 27.3% of Caterpillar is greater, thus worse.
- During the last 3 years, the downside risk is 28.4%, which is higher, thus worse than the value of 14.2% from the benchmark.

'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.'

Using this definition on our asset we see for example:- The ratio of return and volatility (Sharpe) over 5 years of Caterpillar is 0.14, which is lower, thus worse compared to the benchmark SPY (0.64) in the same period.
- Compared with SPY (0.89) in the period of the last 3 years, the ratio of return and volatility (Sharpe) of 0.78 is lower, thus worse.

'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 downside risk / excess return profile of 0.14 in the last 5 years of Caterpillar, we see it is relatively lower, thus worse in comparison to the benchmark SPY (0.58)
- Compared with SPY (0.78) in the period of the last 3 years, the downside risk / excess return profile of 0.74 is smaller, thus worse.

'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:- Compared with the benchmark SPY (3.96 ) in the period of the last 5 years, the Ulcer Index of 19 of Caterpillar is greater, thus better.
- Looking at Downside risk index in of 12 in the period of the last 3 years, we see it is relatively higher, thus better in comparison to SPY (4.01 ).

'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:- Looking at the maximum reduction from previous high of -44.6 days in the last 5 years of Caterpillar, we see it is relatively lower, thus worse in comparison to the benchmark SPY (-19.3 days)
- Looking at maximum DrawDown in of -33.1 days in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (-19.3 days).

'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.'

Which means for our asset as 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 698 days of Caterpillar is higher, thus worse.
- Looking at maximum time in days below previous high water mark in of 332 days in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to SPY (139 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.'

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 252 days, which is larger, thus worse compared to the benchmark SPY (41 days) in the same period.
- Compared with SPY (36 days) in the period of the last 3 years, the average days below previous high of 88 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.