'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.'

Which means for our asset as example:- The total return, or increase in value over 5 years of Check Point Software is 10.9%, which is lower, thus worse compared to the benchmark SPY (81.9%) in the same period.
- Compared with SPY (46.1%) in the period of the last 3 years, the total return, or performance of 2.8% is lower, thus worse.

'The compound annual growth rate isn't a true return rate, but rather a representational figure. It is essentially a number that describes the rate at which an investment would have grown if it had grown the same rate every year and the profits were reinvested at the end of each year. In reality, this sort of performance is unlikely. However, CAGR can be used to smooth returns so that they may be more easily understood when compared to alternative investments.'

Applying this definition to our asset in some examples:- Compared with the benchmark SPY (12.7%) in the period of the last 5 years, the annual return (CAGR) of 2.1% of Check Point Software is lower, thus worse.
- Looking at compounded annual growth rate (CAGR) in of 0.9% in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (13.5%).

'Volatility is a rate at which the price of a security increases or decreases for a given set of returns. Volatility is measured by calculating the standard deviation of the annualized returns over a given period of time. It shows the range to which the price of a security may increase or decrease. Volatility measures the risk of a security. It is used in option pricing formula to gauge the fluctuations in the returns of the underlying assets. Volatility indicates the pricing behavior of the security and helps estimate the fluctuations that may happen in a short period of time.'

Which means for our asset as example:- The 30 days standard deviation over 5 years of Check Point Software is 25.5%, which is higher, thus worse compared to the benchmark SPY (19.8%) in the same period.
- Compared with SPY (23%) in the period of the last 3 years, the 30 days standard deviation of 27.5% is greater, thus worse.

'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.'

Applying this definition to our asset in some examples:- The downside risk over 5 years of Check Point Software is 18.7%, which is greater, thus worse compared to the benchmark SPY (14.5%) in the same period.
- Looking at downside risk in of 19.4% in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to SPY (16.8%).

'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 Check Point Software is -0.02, which is lower, thus worse compared to the benchmark SPY (0.52) in the same period.
- Compared with SPY (0.48) in the period of the last 3 years, the risk / return profile (Sharpe) of -0.06 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.'

Applying this definition to our asset in some examples:- Looking at the ratio of annual return and downside deviation of -0.02 in the last 5 years of Check Point Software, we see it is relatively lower, thus worse in comparison to the benchmark SPY (0.7)
- During the last 3 years, the excess return divided by the downside deviation is -0.08, which is lower, thus worse than the value of 0.65 from the benchmark.

'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:- Looking at the Ulcer Index of 13 in the last 5 years of Check Point Software, we see it is relatively greater, thus worse in comparison to the benchmark SPY (6.08 )
- Looking at Ulcer Ratio in of 11 in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to SPY (6.77 ).

'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:- Compared with the benchmark SPY (-33.7 days) in the period of the last 5 years, the maximum drop from peak to valley of -37.6 days of Check Point Software is lower, thus worse.
- Compared with SPY (-33.7 days) in the period of the last 3 years, the maximum drop from peak to valley of -31.8 days is larger, thus better.

'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 Check Point Software is 426 days, which is higher, thus worse compared to the benchmark SPY (139 days) in the same period.
- Looking at maximum days below previous high in of 291 days in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to SPY (119 days).

'The Average 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. 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:- Compared with the benchmark SPY (35 days) in the period of the last 5 years, the average days below previous high of 138 days of Check Point Software is larger, thus worse.
- During the last 3 years, the average time in days below previous high water mark is 109 days, which is higher, thus worse than the value of 27 days from the benchmark.

Historical returns have been extended using synthetic data.
[Show Details]

- Note that yearly returns do not equal the sum of monthly returns due to compounding.
- Performance results of Check Point Software 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.