'Total return, when measuring performance, is the actual rate of return of an investment or a pool of investments over a given evaluation period. Total return includes interest, capital gains, dividends and distributions realized over a given period of time. Total return accounts for two categories of return: income including interest paid by fixed-income investments, distributions or dividends and capital appreciation, representing the change in the market price of an asset.'

Using this definition on our asset we see for example:- The total return, or increase in value over 5 years of Lam Research is 234.6%, which is higher, thus better compared to the benchmark SPY (64.1%) in the same period.
- Compared with SPY (48.1%) in the period of the last 3 years, the total return, or increase in value of 168.4% is greater, thus better.

'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.'

Using this definition on our asset we see for example:- The annual return (CAGR) over 5 years of Lam Research is 27.3%, which is greater, thus better compared to the benchmark SPY (10.4%) in the same period.
- During the last 3 years, the annual return (CAGR) is 39%, which is greater, thus better than the value of 14% 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.'

Using this definition on our asset we see for example:- The volatility over 5 years of Lam Research is 32.1%, which is larger, thus worse compared to the benchmark SPY (13.6%) in the same period.
- Compared with SPY (12.8%) in the period of the last 3 years, the 30 days standard deviation of 34.3% 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.'

Applying this definition to our asset in some examples:- The downside deviation over 5 years of Lam Research is 34.3%, which is higher, thus worse compared to the benchmark SPY (14.9%) in the same period.
- Looking at downside volatility in of 36.2% in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to SPY (14.5%).

'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:- The ratio of return and volatility (Sharpe) over 5 years of Lam Research is 0.77, which is higher, thus better compared to the benchmark SPY (0.58) in the same period.
- Compared with SPY (0.9) in the period of the last 3 years, the Sharpe Ratio of 1.07 is greater, 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.'

Which means for our asset as example:- The excess return divided by the downside deviation over 5 years of Lam Research is 0.72, which is larger, thus better compared to the benchmark SPY (0.53) in the same period.
- During the last 3 years, the downside risk / excess return profile is 1.01, which is greater, thus better than the value of 0.79 from the benchmark.

'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.'

Using this definition on our asset we see for example:- The Ulcer Index over 5 years of Lam Research is 15 , which is larger, thus worse compared to the benchmark SPY (4.02 ) in the same period.
- During the last 3 years, the Downside risk index is 17 , which is higher, thus worse than the value of 4.09 from the benchmark.

'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:- Compared with the benchmark SPY (-19.3 days) in the period of the last 5 years, the maximum DrawDown of -45 days of Lam Research is smaller, thus worse.
- Looking at maximum drop from peak to valley in of -45 days in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (-19.3 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'

Applying this definition to our asset in some examples:- Looking at the maximum time in days below previous high water mark of 373 days in the last 5 years of Lam Research, we see it is relatively larger, thus worse in comparison to the benchmark SPY (187 days)
- Looking at maximum time in days below previous high water mark in of 373 days in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (139 days).

'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 (41 days) in the period of the last 5 years, the average days below previous high of 112 days of Lam Research is greater, thus worse.
- Looking at average time in days below previous high water mark in of 113 days in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to SPY (35 days).

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

- "Year" returns in the table above are not equal to 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.