'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.'

Applying this definition to our asset in some examples:- Compared with the benchmark SPY (80.1%) in the period of the last 5 years, the total return, or performance of 33.9% of Express Scripts is lower, thus worse.
- During the last 3 years, the total return is 7.8%, which is lower, thus worse than the value of 30.8% from the benchmark.

'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.'

Using this definition on our asset we see for example:- Compared with the benchmark SPY (12.5%) in the period of the last 5 years, the annual performance (CAGR) of 6% of Express Scripts is lower, thus worse.
- Compared with SPY (9.4%) in the period of the last 3 years, the annual return (CAGR) of 2.5% is lower, thus worse.

'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 22.9% in the last 5 years of Express Scripts, we see it is relatively greater, thus worse in comparison to the benchmark SPY (21.3%)
- During the last 3 years, the 30 days standard deviation is 24.8%, which is greater, thus worse than the value of 17.6% from the benchmark.

'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:- Compared with the benchmark SPY (15.3%) in the period of the last 5 years, the downside volatility of 16.4% of Express Scripts is higher, thus worse.
- During the last 3 years, the downside risk is 17.9%, which is higher, thus worse than the value of 12.3% from the benchmark.

'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.'

Which means for our asset as example:- The ratio of return and volatility (Sharpe) over 5 years of Express Scripts is 0.15, which is lower, thus worse compared to the benchmark SPY (0.47) in the same period.
- During the last 3 years, the Sharpe Ratio is 0, which is lower, thus worse than the value of 0.39 from the benchmark.

'The Sortino ratio improves upon the Sharpe ratio by isolating downside volatility from total volatility by dividing excess return by the downside deviation. The Sortino ratio is a variation of the Sharpe ratio that differentiates harmful volatility from total overall volatility by using the asset's standard deviation of negative asset returns, called downside deviation. The Sortino ratio takes the asset's return and subtracts the risk-free rate, and then divides that amount by the asset's downside deviation. The ratio was named after Frank A. Sortino.'

Applying this definition to our asset in some examples:- Looking at the excess return divided by the downside deviation of 0.21 in the last 5 years of Express Scripts, we see it is relatively lower, thus worse in comparison to the benchmark SPY (0.66)
- Compared with SPY (0.56) in the period of the last 3 years, the downside risk / excess return profile of 0 is lower, thus worse.

'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 Downside risk index over 5 years of Express Scripts is 19 , which is higher, thus worse compared to the benchmark SPY (9.43 ) in the same period.
- Compared with SPY (10 ) in the period of the last 3 years, the Downside risk index of 20 is larger, thus worse.

'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 DrawDown of -39.6 days in the last 5 years of Express Scripts, we see it is relatively lower, thus worse in comparison to the benchmark SPY (-33.7 days)
- Compared with SPY (-24.5 days) in the period of the last 3 years, the maximum reduction from previous high of -35.6 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) in days.'

Which means for our asset as example:- Looking at the maximum time in days below previous high water mark of 794 days in the last 5 years of Express Scripts, we see it is relatively greater, thus worse in comparison to the benchmark SPY (478 days)
- Looking at maximum time in days below previous high water mark in of 673 days in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (478 days).

'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 (118 days) in the period of the last 5 years, the average days under water of 279 days of Express Scripts is higher, thus worse.
- Compared with SPY (173 days) in the period of the last 3 years, the average time in days below previous high water mark of 310 days is larger, thus worse.

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 Express Scripts 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.