'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 of 86.4% in the last 5 years of CoStar Group, we see it is relatively greater, thus better in comparison to the benchmark SPY (60.6%)
- Compared with SPY (38%) in the period of the last 3 years, the total return, or performance of -5.1% 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 (10%) in the period of the last 5 years, the annual return (CAGR) of 13.3% of CoStar Group is greater, thus better.
- Looking at compounded annual growth rate (CAGR) in of -1.7% in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (11.3%).

'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.'

Which means for our asset as example:- Looking at the volatility of 35.7% in the last 5 years of CoStar Group, we see it is relatively greater, thus worse in comparison to the benchmark SPY (21.5%)
- Compared with SPY (17.9%) in the period of the last 3 years, the historical 30 days volatility of 34% is larger, 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.'

Which means for our asset as example:- Compared with the benchmark SPY (15.5%) in the period of the last 5 years, the downside deviation of 23.6% of CoStar Group is larger, thus worse.
- During the last 3 years, the downside risk is 23.5%, which is greater, thus worse than the value of 12.5% 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 Sharpe Ratio over 5 years of CoStar Group is 0.3, which is lower, thus worse compared to the benchmark SPY (0.35) in the same period.
- Looking at risk / return profile (Sharpe) in of -0.12 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (0.49).

'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.'

Applying this definition to our asset in some examples:- Looking at the excess return divided by the downside deviation of 0.46 in the last 5 years of CoStar Group, we see it is relatively smaller, thus worse in comparison to the benchmark SPY (0.48)
- Compared with SPY (0.71) in the period of the last 3 years, the excess return divided by the downside deviation of -0.18 is lower, thus worse.

'The ulcer index is a stock market risk measure or technical analysis indicator devised by Peter Martin in 1987, and published by him and Byron McCann in their 1989 book The Investors Guide to Fidelity Funds. It's designed as a measure of volatility, but only volatility in the downward direction, i.e. the amount of drawdown or retracement occurring over a period. Other volatility measures like standard deviation treat up and down movement equally, but a trader doesn't mind upward movement, it's the downside that causes stress and stomach ulcers that the index's name suggests.'

Using this definition on our asset we see for example:- The Ulcer Ratio over 5 years of CoStar Group is 19 , which is larger, thus worse compared to the benchmark SPY (9.55 ) in the same period.
- Compared with SPY (10 ) in the period of the last 3 years, the Downside risk index of 23 is higher, thus worse.

'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 reduction from previous high 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 DrawDown of -46.6 days is smaller, 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'

Which means for our asset as example:- Looking at the maximum days under water of 478 days in the last 5 years of CoStar Group, we see it is relatively greater, thus worse in comparison to the benchmark SPY (431 days)
- Compared with SPY (431 days) in the period of the last 3 years, the maximum time in days below previous high water mark of 478 days is greater, 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:- Compared with the benchmark SPY (105 days) in the period of the last 5 years, the average time in days below previous high water mark of 125 days of CoStar Group is higher, thus worse.
- Compared with SPY (144 days) in the period of the last 3 years, the average time in days below previous high water mark of 177 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 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.