'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.'

Which means for our asset as example:- Compared with the benchmark SPY (68.1%) in the period of the last 5 years, the total return, or increase in value of -9.5% of International Business Machines is lower, thus worse.
- During the last 3 years, the total return, or increase in value is 7.7%, which is smaller, thus worse than the value of 47.1% from the benchmark.

'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 return (CAGR) over 5 years of International Business Machines is -2%, which is lower, thus worse compared to the benchmark SPY (11%) in the same period.
- Looking at annual return (CAGR) in of 2.5% in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (13.8%).

'Volatility is a rate at which the price of a security increases or decreases for a given set of returns. Volatility is measured by calculating the standard deviation of the annualized returns over a given period of time. It shows the range to which the price of a security may increase or decrease. Volatility measures the risk of a security. It is used in option pricing formula to gauge the fluctuations in the returns of the underlying assets. Volatility indicates the pricing behavior of the security and helps estimate the fluctuations that may happen in a short period of time.'

Which means for our asset as example:- Looking at the 30 days standard deviation of 20.2% in the last 5 years of International Business Machines, we see it is relatively higher, thus worse in comparison to the benchmark SPY (13.2%)
- Compared with SPY (12.4%) in the period of the last 3 years, the historical 30 days volatility of 20.1% is higher, thus worse.

'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.'

Applying this definition to our asset in some examples:- Compared with the benchmark SPY (14.6%) in the period of the last 5 years, the downside volatility of 21.3% of International Business Machines is greater, thus worse.
- Compared with SPY (14%) in the period of the last 3 years, the downside deviation of 21.3% is greater, 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 (0.64) in the period of the last 5 years, the Sharpe Ratio of -0.22 of International Business Machines is lower, thus worse.
- Compared with SPY (0.91) in the period of the last 3 years, the ratio of return and volatility (Sharpe) of 0 is lower, thus worse.

'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:- The downside risk / excess return profile over 5 years of International Business Machines is -0.21, which is smaller, thus worse compared to the benchmark SPY (0.58) in the same period.
- During the last 3 years, the excess return divided by the downside deviation is 0, 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.'

Which means for our asset as example:- Compared with the benchmark SPY (3.95 ) in the period of the last 5 years, the Downside risk index of 17 of International Business Machines is higher, thus better.
- During the last 3 years, the Ulcer Index is 14 , which is higher, thus better than the value of 4 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.'

Applying this definition to our asset in some examples:- Looking at the maximum drop from peak to valley of -36.7 days in the last 5 years of International Business Machines, we see it is relatively lower, thus worse in comparison to the benchmark SPY (-19.3 days)
- Looking at maximum DrawDown in of -36.3 days in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (-19.3 days).

'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.'

Using this definition on our asset we see for example:- Compared with the benchmark SPY (187 days) in the period of the last 5 years, the maximum days under water of 714 days of International Business Machines is higher, thus worse.
- During the last 3 years, the maximum time in days below previous high water mark is 514 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.'

Which means for our asset as example:- Compared with the benchmark SPY (39 days) in the period of the last 5 years, the average days under water of 310 days of International Business Machines is greater, thus worse.
- Looking at average days under water in of 190 days in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to SPY (33 days).

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 International Business Machines 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.