'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:- The total return, or increase in value over 5 years of JP Morgan Chase is 47.4%, which is smaller, thus worse compared to the benchmark SPY (67.9%) in the same period.
- During the last 3 years, the total return is 52.7%, which is higher, thus better than the value of 44.5% 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 performance (CAGR) over 5 years of JP Morgan Chase is 8.1%, which is lower, thus worse compared to the benchmark SPY (10.9%) in the same period.
- Looking at annual performance (CAGR) in of 15.1% in the period of the last 3 years, we see it is relatively larger, thus better in comparison to SPY (13.1%).

'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:- The 30 days standard deviation over 5 years of JP Morgan Chase is 32.2%, which is higher, thus worse compared to the benchmark SPY (21.4%) in the same period.
- Compared with SPY (18.7%) in the period of the last 3 years, the volatility of 28.5% is larger, 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.'

Using this definition on our asset we see for example:- Compared with the benchmark SPY (15.4%) in the period of the last 5 years, the downside risk of 21.8% of JP Morgan Chase is higher, thus worse.
- Compared with SPY (13.3%) in the period of the last 3 years, the downside risk of 18.7% is larger, 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.'

Applying this definition to our asset in some examples:- Looking at the ratio of return and volatility (Sharpe) of 0.17 in the last 5 years of JP Morgan Chase, we see it is relatively lower, thus worse in comparison to the benchmark SPY (0.39)
- During the last 3 years, the risk / return profile (Sharpe) is 0.44, which is smaller, thus worse than the value of 0.56 from the benchmark.

'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:- Looking at the excess return divided by the downside deviation of 0.26 in the last 5 years of JP Morgan Chase, we see it is relatively smaller, thus worse in comparison to the benchmark SPY (0.55)
- During the last 3 years, the downside risk / excess return profile is 0.68, which is lower, thus worse than the value of 0.79 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.'

Using this definition on our asset we see for example:- Looking at the Ulcer Ratio of 17 in the last 5 years of JP Morgan Chase, we see it is relatively higher, thus worse in comparison to the benchmark SPY (9.47 )
- Looking at Ulcer Ratio in of 17 in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to SPY (10 ).

'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:- Compared with the benchmark SPY (-33.7 days) in the period of the last 5 years, the maximum reduction from previous high of -43.6 days of JP Morgan Chase is lower, thus worse.
- During the last 3 years, the maximum drop from peak to valley is -38.8 days, which is lower, thus worse than the value of -24.5 days from the benchmark.

'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.'

Using this definition on our asset we see for example:- Looking at the maximum days below previous high of 403 days in the last 5 years of JP Morgan Chase, we see it is relatively higher, thus worse in comparison to the benchmark SPY (354 days)
- Looking at maximum days under water in of 403 days in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (354 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 under water over 5 years of JP Morgan Chase is 113 days, which is larger, thus worse compared to the benchmark SPY (79 days) in the same period.
- Looking at average time in days below previous high water mark in of 129 days in the period of the last 3 years, we see it is relatively higher, thus worse 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 JP Morgan Chase 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.