'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:- Compared with the benchmark SPY (122.7%) in the period of the last 5 years, the total return of 265.5% of CSX is greater, thus better.
- Compared with SPY (65.3%) in the period of the last 3 years, the total return of 42.4% is smaller, thus worse.

'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 (17.4%) in the period of the last 5 years, the compounded annual growth rate (CAGR) of 29.6% of CSX is larger, thus better.
- During the last 3 years, the annual performance (CAGR) is 12.5%, which is lower, thus worse than the value of 18.2% from the benchmark.

'Volatility is a statistical measure of the dispersion of returns for a given security or market index. Volatility can either be measured by using the standard deviation or variance between returns from that same security or market index. Commonly, the higher the volatility, the riskier the security. In the securities markets, volatility is often associated with big swings in either direction. For example, when the stock market rises and falls more than one percent over a sustained period of time, it is called a 'volatile' market.'

Using this definition on our asset we see for example:- The 30 days standard deviation over 5 years of CSX is 31.4%, which is greater, thus worse compared to the benchmark SPY (18.7%) in the same period.
- Compared with SPY (22.5%) in the period of the last 3 years, the volatility of 32.6% is larger, thus worse.

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

Applying this definition to our asset in some examples:- Looking at the downside deviation of 20.5% in the last 5 years of CSX, we see it is relatively larger, thus worse in comparison to the benchmark SPY (13.6%)
- Looking at downside risk in of 23.1% in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to SPY (16.3%).

'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.'

Applying this definition to our asset in some examples:- The Sharpe Ratio over 5 years of CSX is 0.86, which is higher, thus better compared to the benchmark SPY (0.8) in the same period.
- During the last 3 years, the ratio of return and volatility (Sharpe) is 0.31, which is lower, thus worse than the value of 0.7 from the benchmark.

'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.'

Using this definition on our asset we see for example:- Compared with the benchmark SPY (1.1) in the period of the last 5 years, the downside risk / excess return profile of 1.33 of CSX is larger, thus better.
- During the last 3 years, the ratio of annual return and downside deviation is 0.43, which is lower, thus worse than the value of 0.96 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:- Looking at the Downside risk index of 8.51 in the last 5 years of CSX, we see it is relatively higher, thus worse in comparison to the benchmark SPY (5.58 )
- Looking at Downside risk index in of 10 in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to SPY (6.83 ).

'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.'

Applying this definition to our asset in some examples:- The maximum reduction from previous high over 5 years of CSX is -40.6 days, which is lower, thus worse compared to the benchmark SPY (-33.7 days) in the same period.
- Compared with SPY (-33.7 days) in the period of the last 3 years, the maximum drop from peak to valley of -40.6 days is lower, thus worse.

'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.'

Applying this definition to our asset in some examples:- The maximum days below previous high over 5 years of CSX is 196 days, which is larger, thus worse compared to the benchmark SPY (139 days) in the same period.
- During the last 3 years, the maximum time in days below previous high water mark is 196 days, which is higher, thus worse than the value of 139 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.'

Applying this definition to our asset in some examples:- The average days under water over 5 years of CSX is 47 days, which is higher, thus worse compared to the benchmark SPY (33 days) in the same period.
- Looking at average days below previous high in of 62 days in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (35 days).

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.