'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.'

Applying this definition to our asset in some examples:- Looking at the total return, or increase in value of 399% in the last 5 years of lululemon, we see it is relatively larger, thus better in comparison to the benchmark SPY (121.2%)
- During the last 3 years, the total return is 255%, which is greater, thus better than the value of 67.5% from the benchmark.

'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:- The annual performance (CAGR) over 5 years of lululemon is 38%, which is greater, thus better compared to the benchmark SPY (17.2%) in the same period.
- During the last 3 years, the annual performance (CAGR) is 52.5%, which is larger, thus better than the value of 18.7% 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.'

Which means for our asset as example:- The volatility over 5 years of lululemon is 38.8%, which is larger, thus worse compared to the benchmark SPY (18.7%) in the same period.
- Compared with SPY (22.5%) in the period of the last 3 years, the 30 days standard deviation of 41.4% is higher, thus worse.

'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 volatility of 26.6% in the last 5 years of lululemon, we see it is relatively larger, thus worse in comparison to the benchmark SPY (13.6%)
- Looking at downside risk in of 28% in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (16.3%).

'The Sharpe ratio is the measure of risk-adjusted return of a financial portfolio. Sharpe ratio is a measure of excess portfolio return over the risk-free rate relative to its standard deviation. Normally, the 90-day Treasury bill rate is taken as the proxy for risk-free rate. A portfolio with a higher Sharpe ratio is considered superior relative to its peers. The measure was named after William F Sharpe, a Nobel laureate and professor of finance, emeritus at Stanford University.'

Which means for our asset as example:- The Sharpe Ratio over 5 years of lululemon is 0.91, which is greater, thus better compared to the benchmark SPY (0.79) in the same period.
- Compared with SPY (0.72) in the period of the last 3 years, the risk / return profile (Sharpe) of 1.21 is larger, thus better.

'The Sortino ratio improves upon the Sharpe ratio by isolating downside volatility from total volatility by dividing excess return by the downside deviation. The Sortino ratio is a variation of the Sharpe ratio that differentiates harmful volatility from total overall volatility by using the asset's standard deviation of negative asset returns, called downside deviation. The Sortino ratio takes the asset's return and subtracts the risk-free rate, and then divides that amount by the asset's downside deviation. The ratio was named after Frank A. Sortino.'

Which means for our asset as example:- Looking at the downside risk / excess return profile of 1.33 in the last 5 years of lululemon, we see it is relatively greater, thus better in comparison to the benchmark SPY (1.08)
- Compared with SPY (1) in the period of the last 3 years, the excess return divided by the downside deviation of 1.79 is greater, thus better.

'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 Downside risk index over 5 years of lululemon is 16 , which is greater, thus worse compared to the benchmark SPY (5.59 ) in the same period.
- Compared with SPY (6.83 ) in the period of the last 3 years, the Ulcer Ratio of 12 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.'

Applying this definition to our asset in some examples:- Looking at the maximum reduction from previous high of -47.3 days in the last 5 years of lululemon, we see it is relatively lower, thus worse in comparison to the benchmark SPY (-33.7 days)
- Looking at maximum reduction from previous high in of -47.3 days in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (-33.7 days).

'The Maximum 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. It is the length of time the account was in the Max Drawdown. A Max Drawdown measures a retrenchment from when an equity curve reaches a new high. It’s the maximum an account lost during that retrenchment. This method is applied because a valley can’t be measured until a new high occurs. Once the new high is reached, the percentage change from the old high to the bottom of the largest trough is recorded.'

Using this definition on our asset we see for example:- The maximum days below previous high over 5 years of lululemon is 368 days, which is greater, thus worse compared to the benchmark SPY (139 days) in the same period.
- Compared with SPY (139 days) in the period of the last 3 years, the maximum days below previous high of 150 days is larger, thus worse.

'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.'

Applying this definition to our asset in some examples:- The average days below previous high over 5 years of lululemon is 82 days, which is greater, thus worse compared to the benchmark SPY (33 days) in the same period.
- Compared with SPY (35 days) in the period of the last 3 years, the average days below previous high of 37 days is greater, thus worse.

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 lululemon 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.