'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:- The total return, or performance over 5 years of Facebook is 12.6%, which is smaller, thus worse compared to the benchmark SPY (60.6%) in the same period.
- Compared with SPY (38%) in the period of the last 3 years, the total return, or increase in value of -10.6% is lower, 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.'

Which means for our asset as example:- Looking at the annual performance (CAGR) of 2.4% in the last 5 years of Facebook, we see it is relatively smaller, thus worse in comparison to the benchmark SPY (10%)
- Looking at compounded annual growth rate (CAGR) in of -3.7% in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (11.3%).

'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.'

Which means for our asset as example:- The volatility over 5 years of Facebook is 39%, which is greater, thus worse compared to the benchmark SPY (21.5%) in the same period.
- Looking at historical 30 days volatility in of 42.6% in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to SPY (17.9%).

'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.'

Using this definition on our asset we see for example:- The downside volatility over 5 years of Facebook is 28.8%, which is higher, thus worse compared to the benchmark SPY (15.5%) in the same period.
- During the last 3 years, the downside deviation is 31.4%, which is higher, thus worse than the value of 12.5% 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.'

Using this definition on our asset we see for example:- The ratio of return and volatility (Sharpe) over 5 years of Facebook is 0, which is lower, thus worse compared to the benchmark SPY (0.35) in the same period.
- Compared with SPY (0.49) in the period of the last 3 years, the risk / return profile (Sharpe) of -0.14 is smaller, thus worse.

'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 (0.48) in the period of the last 5 years, the ratio of annual return and downside deviation of 0 of Facebook is lower, thus worse.
- Compared with SPY (0.71) in the period of the last 3 years, the ratio of annual return and downside deviation of -0.2 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.'

Using this definition on our asset we see for example:- Compared with the benchmark SPY (9.55 ) in the period of the last 5 years, the Ulcer Ratio of 19 of Facebook is greater, thus worse.
- Looking at Ulcer Index in of 20 in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to SPY (10 ).

'Maximum drawdown is defined as the peak-to-trough decline of an investment during a specific period. It is usually quoted as a percentage of the peak value. The maximum drawdown can be calculated based on absolute returns, in order to identify strategies that suffer less during market downturns, such as low-volatility strategies. However, the maximum drawdown can also be calculated based on returns relative to a benchmark index, for identifying strategies that show steady outperformance over time.'

Which means for our asset as example:- Looking at the maximum drop from peak to valley of -59.2 days in the last 5 years of Facebook, we see it is relatively smaller, thus worse in comparison to the benchmark SPY (-33.7 days)
- Looking at maximum drop from peak to valley in of -59.2 days in the period of the last 3 years, we see it is relatively lower, 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 366 days in the last 5 years of Facebook, we see it is relatively lower, thus better in comparison to the benchmark SPY (431 days)
- Compared with SPY (431 days) in the period of the last 3 years, the maximum days under water of 202 days is lower, thus better.

'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.'

Which means for our asset as example:- Looking at the average time in days below previous high water mark of 91 days in the last 5 years of Facebook, we see it is relatively lower, thus better in comparison to the benchmark SPY (105 days)
- Compared with SPY (144 days) in the period of the last 3 years, the average days under water of 60 days is smaller, thus better.

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 Facebook 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.