'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:- Looking at the total return, or increase in value of 84.4% in the last 5 years of CoStar Group, we see it is relatively larger, thus better in comparison to the benchmark SPY (61.9%)
- Compared with SPY (79.4%) in the period of the last 3 years, the total return of 19.8% 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:- Looking at the compounded annual growth rate (CAGR) of 13% in the last 5 years of CoStar Group, we see it is relatively larger, thus better in comparison to the benchmark SPY (10.1%)
- During the last 3 years, the compounded annual growth rate (CAGR) is 6.2%, which is lower, thus worse than the value of 21.5% from the benchmark.

'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.'

Using this definition on our asset we see for example:- Compared with the benchmark SPY (21.5%) in the period of the last 5 years, the historical 30 days volatility of 35.3% of CoStar Group is larger, thus worse.
- Compared with SPY (21.2%) in the period of the last 3 years, the historical 30 days volatility of 37.7% 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.'

Applying this definition to our asset in some examples:- Looking at the downside volatility of 23.3% in the last 5 years of CoStar Group, we see it is relatively larger, thus worse in comparison to the benchmark SPY (15.5%)
- Looking at downside deviation in of 25% in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to SPY (14.1%).

'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.'

Applying this definition to our asset in some examples:- Looking at the ratio of return and volatility (Sharpe) of 0.3 in the last 5 years of CoStar Group, we see it is relatively lower, thus worse in comparison to the benchmark SPY (0.36)
- Compared with SPY (0.9) in the period of the last 3 years, the ratio of return and volatility (Sharpe) of 0.1 is smaller, 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:- Compared with the benchmark SPY (0.49) in the period of the last 5 years, the ratio of annual return and downside deviation of 0.45 of CoStar Group is lower, thus worse.
- During the last 3 years, the ratio of annual return and downside deviation is 0.15, which is lower, thus worse than the value of 1.35 from the benchmark.

'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:- Looking at the Downside risk index of 18 in the last 5 years of CoStar Group, we see it is relatively greater, thus worse in comparison to the benchmark SPY (9.15 )
- Looking at Ulcer Ratio in of 21 in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (9.78 ).

'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.'

Using this definition on our asset we see for example:- Compared with the benchmark SPY (-33.7 days) in the period of the last 5 years, the maximum drop from peak to valley of -46.6 days of CoStar Group is smaller, thus worse.
- Compared with SPY (-24.5 days) in the period of the last 3 years, the maximum reduction from previous high of -46.6 days is lower, thus worse.

'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). Many assume Max DD Duration is the length of time between new highs during which the Max DD (magnitude) occurred. But that isn’t always the case. The Max DD duration is the longest time between peaks, period. So it could be the time when the program also had its biggest peak to valley loss (and usually is, because the program needs a long time to recover from the largest loss), but it doesn’t have to be'

Using this definition on our asset we see for example:- Looking at the maximum time in days below previous high water mark of 352 days in the last 5 years of CoStar Group, we see it is relatively greater, thus worse in comparison to the benchmark SPY (305 days)
- During the last 3 years, the maximum days under water is 352 days, which is higher, thus worse than the value of 305 days from the benchmark.

'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:- Compared with the benchmark SPY (65 days) in the period of the last 5 years, the average time in days below previous high water mark of 85 days of CoStar Group is greater, thus worse.
- Compared with SPY (80 days) in the period of the last 3 years, the average days below previous high of 110 days is higher, thus worse.

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 CoStar Group 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.