'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 IDEXX Laboratories is 118.2%, which is larger, thus better compared to the benchmark SPY (67.9%) in the same period.
- During the last 3 years, the total return, or increase in value is 50.5%, which is greater, thus better than the value of 44.5% 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.'

Using this definition on our asset we see for example:- Looking at the compounded annual growth rate (CAGR) of 16.9% in the last 5 years of IDEXX Laboratories, we see it is relatively greater, thus better in comparison to the benchmark SPY (10.9%)
- Looking at compounded annual growth rate (CAGR) in of 14.6% in the period of the last 3 years, we see it is relatively greater, thus better in comparison to SPY (13.1%).

'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:- Compared with the benchmark SPY (21.4%) in the period of the last 5 years, the 30 days standard deviation of 34.3% of IDEXX Laboratories is higher, thus worse.
- Compared with SPY (18.7%) in the period of the last 3 years, the historical 30 days volatility of 35.1% 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:- Looking at the downside deviation of 24.2% in the last 5 years of IDEXX Laboratories, we see it is relatively higher, thus worse in comparison to the benchmark SPY (15.4%)
- Looking at downside volatility in of 24.7% in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (13.3%).

'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.'

Which means for our asset as example:- Looking at the risk / return profile (Sharpe) of 0.42 in the last 5 years of IDEXX Laboratories, we see it is relatively greater, thus better in comparison to the benchmark SPY (0.39)
- Looking at Sharpe Ratio in of 0.34 in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (0.56).

'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.'

Using this definition on our asset we see for example:- Compared with the benchmark SPY (0.55) in the period of the last 5 years, the downside risk / excess return profile of 0.6 of IDEXX Laboratories is larger, thus better.
- Compared with SPY (0.79) in the period of the last 3 years, the excess return divided by the downside deviation of 0.49 is lower, thus worse.

'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:- Compared with the benchmark SPY (9.47 ) in the period of the last 5 years, the Ulcer Index of 22 of IDEXX Laboratories is higher, thus worse.
- Looking at Ulcer Ratio in of 27 in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to SPY (10 ).

'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.'

Which means for our asset as example:- Compared with the benchmark SPY (-33.7 days) in the period of the last 5 years, the maximum drop from peak to valley of -54 days of IDEXX Laboratories is lower, thus worse.
- Looking at maximum reduction from previous high in of -54 days in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (-24.5 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'

Using this definition on our asset we see for example:- Looking at the maximum time in days below previous high water mark of 458 days in the last 5 years of IDEXX Laboratories, we see it is relatively greater, thus worse in comparison to the benchmark SPY (354 days)
- During the last 3 years, the maximum days under water is 458 days, which is higher, thus worse than the value of 354 days from the benchmark.

'The Average 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. 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 (79 days) in the period of the last 5 years, the average days below previous high of 116 days of IDEXX Laboratories is greater, thus worse.
- Compared with SPY (102 days) in the period of the last 3 years, the average days under water of 157 days is higher, thus worse.

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

- Note that yearly returns do not equal the sum of monthly returns due to compounding.
- Performance results of IDEXX Laboratories 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.