'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:- The total return, or performance over 5 years of Lam Research is 286.2%, which is greater, thus better compared to the benchmark SPY (62.4%) in the same period.
- Looking at total return in of 163.8% in the period of the last 3 years, we see it is relatively larger, thus better in comparison to SPY (39.3%).

'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.'

Applying this definition to our asset in some examples:- Compared with the benchmark SPY (10.2%) in the period of the last 5 years, the annual performance (CAGR) of 31.1% of Lam Research is greater, thus better.
- During the last 3 years, the annual return (CAGR) is 38.2%, which is greater, thus better than the value of 11.7% from the benchmark.

'In finance, volatility (symbol σ) is the degree of variation of a trading price series over time as measured by the standard deviation of logarithmic returns. Historic volatility measures a time series of past market prices. Implied volatility looks forward in time, being derived from the market price of a market-traded derivative (in particular, an option). Commonly, the higher the volatility, the riskier the security.'

Applying this definition to our asset in some examples:- Looking at the volatility of 33% in the last 5 years of Lam Research, we see it is relatively larger, thus worse in comparison to the benchmark SPY (13.5%)
- Looking at historical 30 days volatility in of 36% in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (13.2%).

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

Using this definition on our asset we see for example:- Looking at the downside deviation of 22.1% in the last 5 years of Lam Research, we see it is relatively larger, thus worse in comparison to the benchmark SPY (9.8%)
- During the last 3 years, the downside volatility is 23.7%, which is higher, thus worse than the value of 9.8% from the benchmark.

'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:- Looking at the Sharpe Ratio of 0.87 in the last 5 years of Lam Research, we see it is relatively higher, thus better in comparison to the benchmark SPY (0.57)
- Compared with SPY (0.69) in the period of the last 3 years, the ratio of return and volatility (Sharpe) of 0.99 is higher, thus better.

'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 (0.78) in the period of the last 5 years, the ratio of annual return and downside deviation of 1.29 of Lam Research is greater, thus better.
- During the last 3 years, the excess return divided by the downside deviation is 1.51, which is higher, thus better than the value of 0.94 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:- The Ulcer Ratio over 5 years of Lam Research is 15 , which is greater, thus worse compared to the benchmark SPY (3.98 ) in the same period.
- Compared with SPY (4.12 ) in the period of the last 3 years, the Ulcer Index of 17 is higher, thus worse.

'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 (-19.3 days) in the period of the last 5 years, the maximum drop from peak to valley of -45 days of Lam Research is lower, thus worse.
- Compared with SPY (-19.3 days) in the period of the last 3 years, the maximum reduction from previous high of -45 days is lower, 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). 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:- Compared with the benchmark SPY (187 days) in the period of the last 5 years, the maximum days below previous high of 373 days of Lam Research is higher, thus worse.
- Compared with SPY (139 days) in the period of the last 3 years, the maximum days under water of 373 days is higher, thus worse.

'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.'

Applying this definition to our asset in some examples:- Compared with the benchmark SPY (42 days) in the period of the last 5 years, the average days below previous high of 112 days of Lam Research is higher, thus worse.
- Compared with SPY (37 days) in the period of the last 3 years, the average time in days below previous high water mark of 113 days is greater, 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 Lam Research 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.