'Total return, when measuring performance, is the actual rate of return of an investment or a pool of investments over a given evaluation period. Total return includes interest, capital gains, dividends and distributions realized over a given period of time. Total return accounts for two categories of return: income including interest paid by fixed-income investments, distributions or dividends and capital appreciation, representing the change in the market price of an asset.'

Applying this definition to our asset in some examples:- Looking at the total return, or performance of 103.9% in the last 5 years of Alphabet, we see it is relatively larger, thus better in comparison to the benchmark SPY (67.3%)
- Compared with SPY (46.1%) in the period of the last 3 years, the total return, or performance of 62.4% is higher, thus better.

'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.'

Using this definition on our asset we see for example:- The annual performance (CAGR) over 5 years of Alphabet is 15.3%, which is larger, thus better compared to the benchmark SPY (10.9%) in the same period.
- Compared with SPY (13.5%) in the period of the last 3 years, the annual return (CAGR) of 17.6% is greater, thus better.

'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:- Compared with the benchmark SPY (13.2%) in the period of the last 5 years, the 30 days standard deviation of 23.4% of Alphabet is higher, thus worse.
- During the last 3 years, the 30 days standard deviation is 21.5%, which is higher, thus worse than the value of 12.4% from the benchmark.

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

Applying this definition to our asset in some examples:- The downside risk over 5 years of Alphabet is 23.5%, which is greater, thus worse compared to the benchmark SPY (14.6%) in the same period.
- Compared with SPY (14%) in the period of the last 3 years, the downside volatility of 23% is higher, 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.'

Which means for our asset as example:- Compared with the benchmark SPY (0.63) in the period of the last 5 years, the Sharpe Ratio of 0.55 of Alphabet is lower, thus worse.
- During the last 3 years, the ratio of return and volatility (Sharpe) is 0.7, which is lower, thus worse than the value of 0.88 from the benchmark.

'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 (0.57) in the period of the last 5 years, the excess return divided by the downside deviation of 0.55 of Alphabet is lower, thus worse.
- During the last 3 years, the excess return divided by the downside deviation is 0.65, which is lower, thus worse than the value of 0.79 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.'

Using this definition on our asset we see for example:- Looking at the Ulcer Ratio of 7.91 in the last 5 years of Alphabet, we see it is relatively greater, thus better in comparison to the benchmark SPY (3.95 )
- During the last 3 years, the Downside risk index is 7.78 , which is greater, thus better than the value of 4 from the benchmark.

'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:- Compared with the benchmark SPY (-19.3 days) in the period of the last 5 years, the maximum reduction from previous high of -23.4 days of Alphabet is lower, thus worse.
- Compared with SPY (-19.3 days) in the period of the last 3 years, the maximum drop from peak to valley of -23.4 days is lower, thus worse.

'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.'

Which means for our asset as example:- Looking at the maximum time in days below previous high water mark of 206 days in the last 5 years of Alphabet, we see it is relatively higher, thus worse in comparison to the benchmark SPY (187 days)
- During the last 3 years, the maximum time in days below previous high water mark is 162 days, which is larger, thus worse than the value of 131 days from the benchmark.

'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:- Looking at the average time in days below previous high water mark of 56 days in the last 5 years of Alphabet, we see it is relatively higher, thus worse in comparison to the benchmark SPY (39 days)
- Looking at average time in days below previous high water mark in of 44 days in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to SPY (33 days).

Historical returns have been extended using synthetic data.
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- "Year" returns in the table above are not equal to 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.