'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.'

Using this definition on our asset we see for example:- Looking at the total return, or performance of 52.3% in the last 5 years of Check Point Software Technologies, we see it is relatively lower, thus worse in comparison to the benchmark SPY (77.4%)
- Looking at total return, or increase in value in of 16.6% in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (43.3%).

'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:- Compared with the benchmark SPY (12.1%) in the period of the last 5 years, the compounded annual growth rate (CAGR) of 8.8% of Check Point Software Technologies is lower, thus worse.
- Compared with SPY (12.7%) in the period of the last 3 years, the compounded annual growth rate (CAGR) of 5.2% is lower, thus worse.

'In finance, volatility (symbol σ) is the degree of variation of a trading price series over time as measured by the standard deviation of logarithmic returns. Historic volatility measures a time series of past market prices. Implied volatility looks forward in time, being derived from the market price of a market-traded derivative (in particular, an option). Commonly, the higher the volatility, the riskier the security.'

Applying this definition to our asset in some examples:- Looking at the historical 30 days volatility of 23.8% in the last 5 years of Check Point Software Technologies, we see it is relatively higher, thus worse in comparison to the benchmark SPY (19%)
- Compared with SPY (22%) in the period of the last 3 years, the volatility of 25.7% is greater, thus worse.

'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 (13.9%) in the period of the last 5 years, the downside risk of 17% of Check Point Software Technologies is higher, thus worse.
- Looking at downside risk in of 18.6% in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to SPY (16.2%).

'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.'

Using this definition on our asset we see for example:- Compared with the benchmark SPY (0.51) in the period of the last 5 years, the Sharpe Ratio of 0.26 of Check Point Software Technologies is lower, thus worse.
- Looking at risk / return profile (Sharpe) in of 0.11 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (0.46).

'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.'

Which means for our asset as example:- Compared with the benchmark SPY (0.7) in the period of the last 5 years, the downside risk / excess return profile of 0.37 of Check Point Software Technologies is smaller, thus worse.
- Looking at downside risk / excess return profile in of 0.15 in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (0.63).

'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.'

Applying this definition to our asset in some examples:- Compared with the benchmark SPY (5.87 ) in the period of the last 5 years, the Ulcer Index of 11 of Check Point Software Technologies is higher, thus worse.
- Looking at Ulcer Index in of 13 in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to SPY (7.01 ).

'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.'

Which means for our asset as example:- Looking at the maximum drop from peak to valley of -37.6 days in the last 5 years of Check Point Software Technologies, we see it is relatively smaller, thus worse in comparison to the benchmark SPY (-33.7 days)
- Looking at maximum reduction from previous high in of -37.6 days in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (-33.7 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.'

Applying this definition to our asset in some examples:- Looking at the maximum time in days below previous high water mark of 332 days in the last 5 years of Check Point Software Technologies, we see it is relatively greater, thus worse in comparison to the benchmark SPY (139 days)
- 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 larger, thus worse in comparison to SPY (139 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.'

Using this definition on our asset we see for example:- Looking at the average days below previous high of 94 days in the last 5 years of Check Point Software Technologies, we see it is relatively greater, thus worse in comparison to the benchmark SPY (37 days)
- Compared with SPY (45 days) in the period of the last 3 years, the average days under water of 121 days is larger, thus worse.

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 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.