'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:- The total return, or increase in value over 5 years of Alphabet is 143.5%, which is higher, thus better compared to the benchmark SPY (81.9%) in the same period.
- Compared with SPY (46.1%) in the period of the last 3 years, the total return of 94.7% is higher, thus better.

'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:- Compared with the benchmark SPY (12.7%) in the period of the last 5 years, the annual return (CAGR) of 19.5% of Alphabet is greater, thus better.
- Compared with SPY (13.5%) in the period of the last 3 years, the annual performance (CAGR) of 24.9% is greater, thus better.

'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.'

Applying this definition to our asset in some examples:- Compared with the benchmark SPY (19.8%) in the period of the last 5 years, the historical 30 days volatility of 28.6% of Alphabet is larger, thus worse.
- During the last 3 years, the 30 days standard deviation is 30.9%, which is greater, thus worse than the value of 23% from the benchmark.

'The downside volatility is similar to the volatility, or standard deviation, but only takes losing/negative periods into account.'

Using this definition on our asset we see for example:- Looking at the downside deviation of 19.9% in the last 5 years of Alphabet, we see it is relatively greater, thus worse in comparison to the benchmark SPY (14.5%)
- Looking at downside volatility in of 21.2% in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (16.8%).

'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.'

Applying this definition to our asset in some examples:- The Sharpe Ratio over 5 years of Alphabet is 0.6, which is larger, thus better compared to the benchmark SPY (0.52) in the same period.
- During the last 3 years, the Sharpe Ratio is 0.72, which is greater, thus better than the value of 0.48 from the benchmark.

'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.'

Which means for our asset as example:- Looking at the downside risk / excess return profile of 0.85 in the last 5 years of Alphabet, we see it is relatively larger, thus better in comparison to the benchmark SPY (0.7)
- Compared with SPY (0.65) in the period of the last 3 years, the downside risk / excess return profile of 1.06 is larger, thus better.

'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:- Looking at the Ulcer Index of 8.93 in the last 5 years of Alphabet, we see it is relatively greater, thus worse in comparison to the benchmark SPY (6.08 )
- Compared with SPY (6.77 ) in the period of the last 3 years, the Ulcer Ratio of 8.35 is greater, 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.'

Using this definition on our asset we see for example:- Looking at the maximum reduction from previous high of -30.8 days in the last 5 years of Alphabet, we see it is relatively higher, thus better in comparison to the benchmark SPY (-33.7 days)
- Looking at maximum reduction from previous high in of -30.8 days in the period of the last 3 years, we see it is relatively greater, thus better 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.'

Applying this definition to our asset in some examples:- Looking at the maximum time in days below previous high water mark of 187 days in the last 5 years of Alphabet, we see it is relatively larger, thus worse in comparison to the benchmark SPY (139 days)
- Looking at maximum days under water in of 122 days in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to SPY (119 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.'

Using this definition on our asset we see for example:- Compared with the benchmark SPY (35 days) in the period of the last 5 years, the average time in days below previous high water mark of 47 days of Alphabet is higher, thus worse.
- Looking at average days under water in of 29 days in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to SPY (27 days).

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 Alphabet 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.