'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.'

Using this definition on our asset we see for example:- Looking at the total return, or performance of 45.8% in the last 5 years of Johnson & Johnson, we see it is relatively lower, thus worse in comparison to the benchmark SPY (67.8%)
- Compared with SPY (44.5%) in the period of the last 3 years, the total return, or performance of 12.3% is lower, 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.'

Which means for our asset as example:- Compared with the benchmark SPY (10.9%) in the period of the last 5 years, the compounded annual growth rate (CAGR) of 7.8% of Johnson & Johnson is smaller, thus worse.
- Compared with SPY (13.1%) in the period of the last 3 years, the compounded annual growth rate (CAGR) of 4% is smaller, thus worse.

'Volatility is a statistical measure of the dispersion of returns for a given security or market index. Volatility can either be measured by using the standard deviation or variance between returns from that same security or market index. Commonly, the higher the volatility, the riskier the security. In the securities markets, volatility is often associated with big swings in either direction. For example, when the stock market rises and falls more than one percent over a sustained period of time, it is called a 'volatile' market.'

Using this definition on our asset we see for example:- Compared with the benchmark SPY (21.4%) in the period of the last 5 years, the volatility of 20.4% of Johnson & Johnson is smaller, thus better.
- Compared with SPY (18.8%) in the period of the last 3 years, the 30 days standard deviation of 16.4% is smaller, thus better.

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

Which means for our asset as example:- Looking at the downside volatility of 14.4% in the last 5 years of Johnson & Johnson, we see it is relatively lower, thus better in comparison to the benchmark SPY (15.4%)
- Compared with SPY (13.3%) in the period of the last 3 years, the downside risk of 11.5% is smaller, thus better.

'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.'

Which means for our asset as example:- The ratio of return and volatility (Sharpe) over 5 years of Johnson & Johnson is 0.26, which is smaller, thus worse compared to the benchmark SPY (0.39) in the same period.
- Looking at risk / return profile (Sharpe) in of 0.09 in the period of the last 3 years, we see it is relatively lower, 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 excess return divided by the downside deviation of 0.37 of Johnson & Johnson is smaller, thus worse.
- Compared with SPY (0.79) in the period of the last 3 years, the downside risk / excess return profile of 0.13 is smaller, thus worse.

'The ulcer index is a stock market risk measure or technical analysis indicator devised by Peter Martin in 1987, and published by him and Byron McCann in their 1989 book The Investors Guide to Fidelity Funds. It's designed as a measure of volatility, but only volatility in the downward direction, i.e. the amount of drawdown or retracement occurring over a period. Other volatility measures like standard deviation treat up and down movement equally, but a trader doesn't mind upward movement, it's the downside that causes stress and stomach ulcers that the index's name suggests.'

Using this definition on our asset we see for example:- Looking at the Downside risk index of 7 in the last 5 years of Johnson & Johnson, we see it is relatively lower, thus better in comparison to the benchmark SPY (9.46 )
- Compared with SPY (10 ) in the period of the last 3 years, the Ulcer Ratio of 6.62 is smaller, thus better.

'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.'

Using this definition on our asset we see for example:- Looking at the maximum reduction from previous high of -27.4 days in the last 5 years of Johnson & Johnson, we see it is relatively greater, thus better in comparison to the benchmark SPY (-33.7 days)
- Compared with SPY (-24.5 days) in the period of the last 3 years, the maximum reduction from previous high of -16.6 days is larger, thus better.

'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) in days.'

Applying this definition to our asset in some examples:- Looking at the maximum days under water of 275 days in the last 5 years of Johnson & Johnson, we see it is relatively smaller, thus better in comparison to the benchmark SPY (352 days)
- Looking at maximum time in days below previous high water mark in of 275 days in the period of the last 3 years, we see it is relatively lower, thus better in comparison to SPY (352 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:- Looking at the average days under water of 80 days in the last 5 years of Johnson & Johnson, we see it is relatively larger, thus worse in comparison to the benchmark SPY (78 days)
- Looking at average days below previous high in of 78 days in the period of the last 3 years, we see it is relatively lower, thus better in comparison to SPY (102 days).

Historical returns have been extended using synthetic data.
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- Note that yearly returns do not equal the sum of monthly returns due to compounding.
- Performance results of Johnson & Johnson 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.