'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.'

Using this definition on our asset we see for example:- Compared with the benchmark SPY (66%) in the period of the last 5 years, the total return, or performance of 130.3% of Hasbro is higher, thus better.
- Compared with SPY (45.6%) in the period of the last 3 years, the total return of 45.5% is smaller, thus worse.

'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.'

Applying this definition to our asset in some examples:- Compared with the benchmark SPY (10.7%) in the period of the last 5 years, the annual return (CAGR) of 18.2% of Hasbro is larger, thus better.
- Compared with SPY (13.3%) in the period of the last 3 years, the annual performance (CAGR) of 13.3% is larger, 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:- Compared with the benchmark SPY (13.4%) in the period of the last 5 years, the 30 days standard deviation of 26.3% of Hasbro is higher, thus worse.
- During the last 3 years, the historical 30 days volatility is 26.8%, which is greater, thus worse than the value of 12.3% from the benchmark.

'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 risk over 5 years of Hasbro is 24.9%, which is larger, thus worse compared to the benchmark SPY (14.6%) in the same period.
- During the last 3 years, the downside risk is 24.1%, which is higher, thus worse than the value of 13.8% 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.'

Which means for our asset as example:- Looking at the ratio of return and volatility (Sharpe) of 0.6 in the last 5 years of Hasbro, we see it is relatively lower, thus worse in comparison to the benchmark SPY (0.61)
- During the last 3 years, the risk / return profile (Sharpe) is 0.4, which is lower, thus worse than the value of 0.88 from the benchmark.

'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:- The downside risk / excess return profile over 5 years of Hasbro is 0.63, which is higher, thus better compared to the benchmark SPY (0.56) in the same period.
- During the last 3 years, the downside risk / excess return profile is 0.45, which is smaller, thus worse than the value of 0.78 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.'

Applying this definition to our asset in some examples:- Looking at the Ulcer Ratio of 12 in the last 5 years of Hasbro, we see it is relatively greater, thus worse in comparison to the benchmark SPY (3.99 )
- Compared with SPY (4.04 ) in the period of the last 3 years, the Ulcer Ratio of 15 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 drop from peak to valley over 5 years of Hasbro is -30.2 days, which is lower, thus worse compared to the benchmark SPY (-19.3 days) in the same period.
- During the last 3 years, the maximum drop from peak to valley is -30.2 days, which is lower, thus worse than the value of -19.3 days from the benchmark.

'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.'

Applying this definition to our asset in some examples:- Looking at the maximum time in days below previous high water mark of 501 days in the last 5 years of Hasbro, we see it is relatively larger, thus worse in comparison to the benchmark SPY (187 days)
- Looking at maximum time in days below previous high water mark in of 501 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.'

Which means for our asset as example:- Compared with the benchmark SPY (41 days) in the period of the last 5 years, the average days below previous high of 132 days of Hasbro is greater, thus worse.
- Compared with SPY (36 days) in the period of the last 3 years, the average time in days below previous high water mark of 182 days is larger, thus worse.

Historical returns have been extended using synthetic data.
[Show Details]

- "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.