'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.'

Which means for our asset as example:- Compared with the benchmark SPY (103%) in the period of the last 5 years, the total return, or increase in value of -16.4% of Discovery is lower, thus worse.
- During the last 3 years, the total return is -15.4%, which is smaller, thus worse than the value of 33.6% from the benchmark.

'Compound annual growth rate (CAGR) is a business and investing specific term for the geometric progression ratio that provides a constant rate of return over the time period. CAGR is not an accounting term, but it is often used to describe some element of the business, for example revenue, units delivered, registered users, etc. CAGR dampens the effect of volatility of periodic returns that can render arithmetic means irrelevant. It is particularly useful to compare growth rates from various data sets of common domain such as revenue growth of companies in the same industry.'

Which means for our asset as example:- The annual return (CAGR) over 5 years of Discovery is -3.5%, which is lower, thus worse compared to the benchmark SPY (15.2%) in the same period.
- During the last 3 years, the annual return (CAGR) is -5.4%, which is smaller, thus worse than the value of 10.1% 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.'

Which means for our asset as example:- Looking at the volatility of 43.8% in the last 5 years of Discovery, we see it is relatively greater, thus worse in comparison to the benchmark SPY (20.9%)
- Compared with SPY (17.3%) in the period of the last 3 years, the 30 days standard deviation of 49.1% 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 (14.9%) in the period of the last 5 years, the downside deviation of 31.5% of Discovery is larger, thus worse.
- Looking at downside deviation in of 35.5% in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (12.1%).

'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:- Looking at the Sharpe Ratio of -0.14 in the last 5 years of Discovery, we see it is relatively lower, thus worse in comparison to the benchmark SPY (0.61)
- Looking at risk / return profile (Sharpe) in of -0.16 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (0.44).

'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:- Looking at the downside risk / excess return profile of -0.19 in the last 5 years of Discovery, we see it is relatively smaller, thus worse in comparison to the benchmark SPY (0.85)
- Looking at ratio of annual return and downside deviation in of -0.22 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (0.63).

'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:- The Ulcer Index over 5 years of Discovery is 35 , which is greater, thus worse compared to the benchmark SPY (9.32 ) in the same period.
- Looking at Downside risk index in of 41 in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to SPY (10 ).

'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.'

Using this definition on our asset we see for example:- The maximum drop from peak to valley over 5 years of Discovery is -71.2 days, which is smaller, thus worse compared to the benchmark SPY (-33.7 days) in the same period.
- Looking at maximum DrawDown in of -71.2 days in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (-24.5 days).

'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:- Looking at the maximum time in days below previous high water mark of 541 days in the last 5 years of Discovery, we see it is relatively larger, thus worse in comparison to the benchmark SPY (488 days)
- Compared with SPY (488 days) in the period of the last 3 years, the maximum days below previous high of 278 days is lower, thus better.

'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.'

Which means for our asset as example:- Compared with the benchmark SPY (123 days) in the period of the last 5 years, the average days under water of 196 days of Discovery is greater, thus worse.
- Compared with SPY (180 days) in the period of the last 3 years, the average time in days below previous high water mark of 111 days is lower, thus better.

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 Discovery are hypothetical and do not account for slippage, fees or taxes.