'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 CSX, we see it is relatively lower, thus worse in comparison to the benchmark SPY (68.1%)
- During the last 3 years, the total return, or increase in value is 33%, which is smaller, thus worse than the value of 47% from the benchmark.

'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:- Compared with the benchmark SPY (11%) in the period of the last 5 years, the annual return (CAGR) of 8.8% of CSX is smaller, thus worse.
- Looking at annual return (CAGR) in of 9.9% in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (13.7%).

'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 historical 30 days volatility of 30% in the last 5 years of CSX, we see it is relatively higher, thus worse in comparison to the benchmark SPY (21.4%)
- During the last 3 years, the 30 days standard deviation is 25.2%, which is higher, thus worse than the value of 18.7% from the benchmark.

'The downside volatility is similar to the volatility, or standard deviation, but only takes losing/negative periods into account.'

Using this definition on our asset we see for example:- Compared with the benchmark SPY (15.4%) in the period of the last 5 years, the downside volatility of 21% of CSX is greater, thus worse.
- Looking at downside risk in of 17.5% in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to SPY (13.3%).

'The Sharpe ratio was developed by Nobel laureate William F. Sharpe, and is used to help investors understand the return of an investment compared to its risk. The ratio is the average return earned in excess of the risk-free rate per unit of volatility or total risk. Subtracting the risk-free rate from the mean return allows an investor to better isolate the profits associated with risk-taking activities. One intuition of this calculation is that a portfolio engaging in 'zero risk' investments, such as the purchase of U.S. Treasury bills (for which the expected return is the risk-free rate), has a Sharpe ratio of exactly zero. Generally, the greater the value of the Sharpe ratio, the more attractive the risk-adjusted return.'

Which means for our asset as example:- Looking at the Sharpe Ratio of 0.21 in the last 5 years of CSX, we see it is relatively lower, thus worse in comparison to the benchmark SPY (0.4)
- During the last 3 years, the Sharpe Ratio is 0.3, which is lower, thus worse than the value of 0.6 from the benchmark.

'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:- The excess return divided by the downside deviation over 5 years of CSX is 0.3, which is lower, thus worse compared to the benchmark SPY (0.55) in the same period.
- During the last 3 years, the ratio of annual return and downside deviation is 0.42, which is lower, thus worse than the value of 0.84 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.'

Applying this definition to our asset in some examples:- The Ulcer Ratio over 5 years of CSX is 12 , which is higher, thus worse compared to the benchmark SPY (9.45 ) in the same period.
- During the last 3 years, the Ulcer Ratio is 12 , which is higher, thus worse than the value of 10 from the benchmark.

'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.'

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 -40.6 days of CSX is lower, thus worse.
- Compared with SPY (-24.5 days) in the period of the last 3 years, the maximum drop from peak to valley of -29.4 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'

Applying this definition to our asset in some examples:- The maximum days under water over 5 years of CSX is 291 days, which is smaller, thus better compared to the benchmark SPY (351 days) in the same period.
- During the last 3 years, the maximum days under water is 291 days, which is smaller, thus better than the value of 351 days from the benchmark.

'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:- Compared with the benchmark SPY (78 days) in the period of the last 5 years, the average days under water of 79 days of CSX is greater, thus worse.
- During the last 3 years, the average days under water is 76 days, which is lower, thus better than the value of 101 days from the benchmark.

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 CSX 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.