'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.'

Using this definition on our asset we see for example:- Looking at the total return, or performance of % in the last 5 years of Fox, we see it is relatively lower, thus worse in comparison to the benchmark SPY (58.9%)
- Compared with SPY (33.9%) in the period of the last 3 years, the total return, or performance of -8.1% is lower, thus worse.

'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.'

Using this definition on our asset we see for example:- The compounded annual growth rate (CAGR) over 5 years of Fox is %, which is lower, thus worse compared to the benchmark SPY (9.7%) in the same period.
- Compared with SPY (10.2%) in the period of the last 3 years, the annual performance (CAGR) of -2.8% is smaller, 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 % in the last 5 years of Fox, we see it is relatively smaller, thus better in comparison to the benchmark SPY (21.6%)
- During the last 3 years, the historical 30 days volatility is 38.1%, which is larger, thus worse than the value of 25% from the benchmark.

'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:- Looking at the downside risk of % in the last 5 years of Fox, we see it is relatively smaller, thus better in comparison to the benchmark SPY (15.7%)
- Compared with SPY (18.1%) in the period of the last 3 years, the downside deviation of 26.7% is larger, thus worse.

'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.'

Applying this definition to our asset in some examples:- Looking at the risk / return profile (Sharpe) of in the last 5 years of Fox, we see it is relatively lower, thus worse in comparison to the benchmark SPY (0.33)
- Looking at Sharpe Ratio in of -0.14 in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (0.31).

'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 in the last 5 years of Fox, we see it is relatively lower, thus worse in comparison to the benchmark SPY (0.46)
- Looking at downside risk / excess return profile in of -0.2 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (0.43).

'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:- Looking at the Downside risk index of in the last 5 years of Fox, we see it is relatively lower, thus better in comparison to the benchmark SPY (8.91 )
- Looking at Ulcer Ratio in of 22 in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to SPY (11 ).

'Maximum drawdown measures the loss in any losing period during a fund’s investment record. It is defined as the percent retrenchment from a fund’s peak value to the fund’s valley value. The drawdown is in effect from the time the fund’s retrenchment begins until a new fund high is reached. The maximum drawdown encompasses both the period from the fund’s peak to the fund’s valley (length), and the time from the fund’s valley to a new fund high (recovery). It measures the largest percentage drawdown that has occurred in any fund’s data record.'

Applying this definition to our asset in some examples:- Compared with the benchmark SPY (-33.7 days) in the period of the last 5 years, the maximum reduction from previous high of days of Fox is lower, thus worse.
- Looking at maximum DrawDown in of -47.4 days in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (-33.7 days).

'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.'

Using this definition on our asset we see for example:- Looking at the maximum days under water of days in the last 5 years of Fox, we see it is relatively lower, thus better in comparison to the benchmark SPY (271 days)
- Looking at maximum days below previous high in of 474 days in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to SPY (271 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 (60 days) in the period of the last 5 years, the average days under water of days of Fox is lower, thus better.
- Compared with SPY (72 days) in the period of the last 3 years, the average days below previous high of 200 days is greater, thus worse.

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 Fox 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.