'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:- Looking at the total return of -3.8% in the last 5 years of Gilead Sciences, we see it is relatively smaller, thus worse in comparison to the benchmark SPY (62.7%)
- During the last 3 years, the total return, or performance is 18.6%, which is smaller, thus worse than the value of 34.7% from the benchmark.

'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.'

Using this definition on our asset we see for example:- The annual performance (CAGR) over 5 years of Gilead Sciences is -0.8%, which is lower, thus worse compared to the benchmark SPY (10.2%) in the same period.
- Compared with SPY (10.5%) in the period of the last 3 years, the compounded annual growth rate (CAGR) of 5.9% is lower, thus worse.

'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 Gilead Sciences is 26.4%, which is larger, thus worse compared to the benchmark SPY (20.9%) in the same period.
- Looking at 30 days standard deviation in of 27.5% in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (24.1%).

'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.'

Using this definition on our asset we see for example:- The downside volatility over 5 years of Gilead Sciences is 18%, which is higher, thus worse compared to the benchmark SPY (15.3%) in the same period.
- Looking at downside volatility in of 18% in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to SPY (17.6%).

'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.'

Which means for our asset as example:- Compared with the benchmark SPY (0.37) in the period of the last 5 years, the risk / return profile (Sharpe) of -0.12 of Gilead Sciences is lower, thus worse.
- Compared with SPY (0.33) in the period of the last 3 years, the ratio of return and volatility (Sharpe) of 0.12 is lower, thus worse.

'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.'

Applying this definition to our asset in some examples:- The downside risk / excess return profile over 5 years of Gilead Sciences is -0.18, which is lower, thus worse compared to the benchmark SPY (0.51) in the same period.
- During the last 3 years, the excess return divided by the downside deviation is 0.19, which is lower, thus worse than the value of 0.45 from the benchmark.

'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.'

Which means for our asset as example:- Looking at the Ulcer Ratio of 18 in the last 5 years of Gilead Sciences, we see it is relatively larger, thus worse in comparison to the benchmark SPY (7.71 )
- During the last 3 years, the Downside risk index is 16 , which is larger, thus worse than the value of 9.08 from the benchmark.

'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.'

Which means for our asset as example:- Compared with the benchmark SPY (-33.7 days) in the period of the last 5 years, the maximum reduction from previous high of -30.5 days of Gilead Sciences is larger, thus better.
- Compared with SPY (-33.7 days) in the period of the last 3 years, the maximum drop from peak to valley of -30.5 days is higher, thus better.

'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'

Which means for our asset as example:- The maximum time in days below previous high water mark over 5 years of Gilead Sciences is 612 days, which is greater, thus worse compared to the benchmark SPY (189 days) in the same period.
- Compared with SPY (189 days) in the period of the last 3 years, the maximum days under water of 612 days is greater, thus worse.

'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.'

Which means for our asset as example:- Looking at the average time in days below previous high water mark of 276 days in the last 5 years of Gilead Sciences, we see it is relatively higher, thus worse in comparison to the benchmark SPY (46 days)
- Looking at average days under water in of 259 days in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to SPY (45 days).

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 Gilead Sciences 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.