'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.'

Applying this definition to our asset in some examples:- Looking at the total return, or performance of 7.2% in the last 5 years of Fox, we see it is relatively smaller, thus worse in comparison to the benchmark SPY (94.9%)
- Looking at total return, or performance in of 13.6% in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (22.5%).

'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.'

Which means for our asset as example:- Looking at the annual performance (CAGR) of 1.4% in the last 5 years of Fox, we see it is relatively lower, thus worse in comparison to the benchmark SPY (14.3%)
- Compared with SPY (7%) in the period of the last 3 years, the annual performance (CAGR) of 4.4% 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.'

Using this definition on our asset we see for example:- The historical 30 days volatility over 5 years of Fox is 32.8%, which is greater, thus worse compared to the benchmark SPY (20.9%) in the same period.
- Compared with SPY (17.5%) in the period of the last 3 years, the volatility of 25.6% is greater, 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:- Looking at the downside deviation of 23% in the last 5 years of Fox, we see it is relatively higher, thus worse in comparison to the benchmark SPY (15%)
- During the last 3 years, the downside deviation is 17.9%, which is larger, 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.'

Applying this definition to our asset in some examples:- Compared with the benchmark SPY (0.56) in the period of the last 5 years, the ratio of return and volatility (Sharpe) of -0.03 of Fox is lower, thus worse.
- Compared with SPY (0.26) in the period of the last 3 years, the Sharpe Ratio of 0.07 is lower, thus worse.

'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:- Compared with the benchmark SPY (0.79) in the period of the last 5 years, the downside risk / excess return profile of -0.05 of Fox is smaller, thus worse.
- During the last 3 years, the excess return divided by the downside deviation is 0.1, which is lower, thus worse than the value of 0.37 from the benchmark.

'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:- Compared with the benchmark SPY (9.32 ) in the period of the last 5 years, the Downside risk index of 23 of Fox is higher, thus worse.
- Compared with SPY (10 ) in the period of the last 3 years, the Ulcer Ratio of 21 is greater, thus worse.

'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.'

Applying this definition to our asset in some examples:- The maximum reduction from previous high over 5 years of Fox is -48.3 days, which is lower, thus worse compared to the benchmark SPY (-33.7 days) in the same period.
- Looking at maximum DrawDown in of -33 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 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.'

Applying this definition to our asset in some examples:- Compared with the benchmark SPY (488 days) in the period of the last 5 years, the maximum days below previous high of 854 days of Fox is greater, thus worse.
- Compared with SPY (488 days) in the period of the last 3 years, the maximum time in days below previous high water mark of 702 days is higher, thus worse.

'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:- Compared with the benchmark SPY (123 days) in the period of the last 5 years, the average days below previous high of 328 days of Fox is greater, thus worse.
- Compared with SPY (179 days) in the period of the last 3 years, the average time in days below previous high water mark of 336 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 Fox are hypothetical and do not account for slippage, fees or taxes.