'Total return, when measuring performance, is the actual rate of return of an investment or a pool of investments over a given evaluation period. Total return includes interest, capital gains, dividends and distributions realized over a given period of time. Total return accounts for two categories of return: income including interest paid by fixed-income investments, distributions or dividends and capital appreciation, representing the change in the market price of an asset.'

Using this definition on our asset we see for example:- The total return, or increase in value over 5 years of Dollar Tree is 10.9%, which is lower, thus worse compared to the benchmark SPY (62.4%) in the same period.
- Looking at total return, or performance in of 10.5% in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (39.3%).

'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:- Compared with the benchmark SPY (10.2%) in the period of the last 5 years, the annual performance (CAGR) of 2.1% of Dollar Tree is smaller, thus worse.
- During the last 3 years, the annual return (CAGR) is 3.4%, which is lower, thus worse than the value of 11.7% 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:- Compared with the benchmark SPY (13.5%) in the period of the last 5 years, the historical 30 days volatility of 28.6% of Dollar Tree is larger, thus worse.
- Looking at 30 days standard deviation in of 28.8% in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to SPY (13.2%).

'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.'

Applying this definition to our asset in some examples:- The downside risk over 5 years of Dollar Tree is 21.7%, which is greater, thus worse compared to the benchmark SPY (9.8%) in the same period.
- During the last 3 years, the downside risk is 22.9%, which is larger, thus worse than the value of 9.8% 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 ratio of return and volatility (Sharpe) over 5 years of Dollar Tree is -0.01, which is lower, thus worse compared to the benchmark SPY (0.57) in the same period.
- Looking at ratio of return and volatility (Sharpe) in of 0.03 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (0.69).

'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.'

Using this definition on our asset we see for example:- Compared with the benchmark SPY (0.78) in the period of the last 5 years, the downside risk / excess return profile of -0.02 of Dollar Tree is lower, thus worse.
- During the last 3 years, the excess return divided by the downside deviation is 0.04, which is lower, thus worse than the value of 0.94 from the benchmark.

'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.'

Applying this definition to our asset in some examples:- Looking at the Downside risk index of 17 in the last 5 years of Dollar Tree, we see it is relatively larger, thus worse in comparison to the benchmark SPY (3.98 )
- Looking at Downside risk index in of 16 in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to SPY (4.12 ).

'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.'

Which means for our asset as example:- Looking at the maximum drop from peak to valley of -32.3 days in the last 5 years of Dollar Tree, we see it is relatively lower, thus worse in comparison to the benchmark SPY (-19.3 days)
- During the last 3 years, the maximum reduction from previous high is -31.7 days, which is lower, thus worse than the value of -19.3 days from the benchmark.

'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:- Compared with the benchmark SPY (187 days) in the period of the last 5 years, the maximum time in days below previous high water mark of 430 days of Dollar Tree is larger, thus worse.
- During the last 3 years, the maximum days below previous high is 430 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:- Compared with the benchmark SPY (42 days) in the period of the last 5 years, the average days under water of 160 days of Dollar Tree is greater, thus worse.
- During the last 3 years, the average time in days below previous high water mark is 144 days, which is greater, thus worse than the value of 37 days from the benchmark.

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 Dollar Tree 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.