'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.'

Which means for our asset as example:- The total return, or increase in value over 5 years of JP Morgan Chase & Co. is 162.9%, which is larger, thus better compared to the benchmark SPY (77.6%) in the same period.
- Compared with SPY (53.5%) in the period of the last 3 years, the total return, or performance of 68.4% is larger, thus better.

'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.'

Which means for our asset as example:- Looking at the annual performance (CAGR) of 21.3% in the last 5 years of JP Morgan Chase & Co., we see it is relatively higher, thus better in comparison to the benchmark SPY (12.2%)
- Looking at annual performance (CAGR) in of 19% in the period of the last 3 years, we see it is relatively larger, thus better in comparison to SPY (15.4%).

'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.'

Applying this definition to our asset in some examples:- The historical 30 days volatility over 5 years of JP Morgan Chase & Co. is 20.7%, which is higher, thus worse compared to the benchmark SPY (13.3%) in the same period.
- Looking at volatility in of 19.1% in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to SPY (13%).

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

Applying this definition to our asset in some examples:- Looking at the downside risk of 13.9% in the last 5 years of JP Morgan Chase & Co., we see it is relatively greater, thus worse in comparison to the benchmark SPY (9.6%)
- During the last 3 years, the downside risk is 12.9%, which is larger, thus worse than the value of 9.4% from the benchmark.

'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.'

Applying this definition to our asset in some examples:- Looking at the ratio of return and volatility (Sharpe) of 0.91 in the last 5 years of JP Morgan Chase & Co., we see it is relatively larger, thus better in comparison to the benchmark SPY (0.73)
- Looking at Sharpe Ratio in of 0.86 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (0.99).

'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 ratio of annual return and downside deviation of 1.36 in the last 5 years of JP Morgan Chase & Co., we see it is relatively greater, thus better in comparison to the benchmark SPY (1.01)
- During the last 3 years, the excess return divided by the downside deviation is 1.27, which is lower, thus worse than the value of 1.37 from the benchmark.

'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:- Compared with the benchmark SPY (3.97 ) in the period of the last 5 years, the Ulcer Ratio of 6.93 of JP Morgan Chase & Co. is greater, thus worse.
- Compared with SPY (4.1 ) in the period of the last 3 years, the Downside risk index of 6.34 is greater, thus worse.

'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 DrawDown of -23.2 days in the last 5 years of JP Morgan Chase & Co., we see it is relatively lower, thus worse in comparison to the benchmark SPY (-19.3 days)
- Compared with SPY (-19.3 days) in the period of the last 3 years, the maximum reduction from previous high of -21.8 days is smaller, thus worse.

'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 304 days in the last 5 years of JP Morgan Chase & Co., we see it is relatively larger, thus worse in comparison to the benchmark SPY (187 days)
- During the last 3 years, the maximum time in days below previous high water mark is 149 days, which is larger, thus worse than the value of 139 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:- The average days under water over 5 years of JP Morgan Chase & Co. is 65 days, which is higher, thus worse compared to the benchmark SPY (42 days) in the same period.
- Looking at average days under water in of 38 days in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to SPY (37 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 & Co. 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.