'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 increase in value of 153.4% in the last 5 years of Hasbro, we see it is relatively larger, thus better in comparison to the benchmark SPY (65.8%)
- During the last 3 years, the total return, or increase in value is 66.4%, which is higher, thus better than the value of 48.8% from the benchmark.

'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.'

Applying this definition to our asset in some examples:- Looking at the compounded annual growth rate (CAGR) of 20.5% in the last 5 years of Hasbro, we see it is relatively larger, thus better in comparison to the benchmark SPY (10.6%)
- Compared with SPY (14.2%) in the period of the last 3 years, the compounded annual growth rate (CAGR) of 18.6% is higher, 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.'

Applying this definition to our asset in some examples:- Looking at the 30 days standard deviation of 27.3% in the last 5 years of Hasbro, we see it is relatively greater, thus worse in comparison to the benchmark SPY (13.6%)
- During the last 3 years, the 30 days standard deviation is 28.3%, which is larger, thus worse than the value of 12.8% 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.'

Which means for our asset as example:- The downside risk over 5 years of Hasbro is 26.1%, which is greater, thus worse compared to the benchmark SPY (15%) in the same period.
- Compared with SPY (14.6%) in the period of the last 3 years, the downside deviation of 26.2% is greater, thus worse.

'The Sharpe ratio was developed by Nobel laureate William F. Sharpe, and is used to help investors understand the return of an investment compared to its risk. The ratio is the average return earned in excess of the risk-free rate per unit of volatility or total risk. Subtracting the risk-free rate from the mean return allows an investor to better isolate the profits associated with risk-taking activities. One intuition of this calculation is that a portfolio engaging in 'zero risk' investments, such as the purchase of U.S. Treasury bills (for which the expected return is the risk-free rate), has a Sharpe ratio of exactly zero. Generally, the greater the value of the Sharpe ratio, the more attractive the risk-adjusted return.'

Applying this definition to our asset in some examples:- Compared with the benchmark SPY (0.6) in the period of the last 5 years, the risk / return profile (Sharpe) of 0.66 of Hasbro is greater, thus better.
- Compared with SPY (0.91) in the period of the last 3 years, the Sharpe Ratio of 0.57 is smaller, 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 excess return divided by the downside deviation over 5 years of Hasbro is 0.69, which is higher, thus better compared to the benchmark SPY (0.54) in the same period.
- During the last 3 years, the ratio of annual return and downside deviation is 0.61, which is smaller, thus worse than the value of 0.8 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:- The Ulcer Index over 5 years of Hasbro is 12 , which is higher, thus worse compared to the benchmark SPY (4.03 ) in the same period.
- During the last 3 years, the Downside risk index is 15 , which is higher, thus worse than the value of 4.1 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:- The maximum reduction from previous high over 5 years of Hasbro is -30.2 days, which is smaller, thus worse compared to the benchmark SPY (-19.3 days) in the same period.
- Looking at maximum reduction from previous high in of -30.2 days in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (-19.3 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). 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:- Looking at the maximum time in days below previous high water mark of 502 days in the last 5 years of Hasbro, we see it is relatively higher, thus worse in comparison to the benchmark SPY (187 days)
- Looking at maximum days below previous high in of 502 days in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to SPY (139 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:- The average days below previous high over 5 years of Hasbro is 133 days, which is higher, thus worse compared to the benchmark SPY (41 days) in the same period.
- Looking at average days below previous high in of 185 days in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to SPY (35 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 Hasbro 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.