'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:- Looking at the total return of 56.8% in the last 5 years of Marriott International, we see it is relatively lower, thus worse in comparison to the benchmark SPY (78.4%)
- Compared with SPY (44.1%) in the period of the last 3 years, the total return, or increase in value of 23.5% is lower, thus worse.

'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.'

Applying this definition to our asset in some examples:- Looking at the compounded annual growth rate (CAGR) of 9.4% in the last 5 years of Marriott International, we see it is relatively lower, thus worse in comparison to the benchmark SPY (12.3%)
- Looking at compounded annual growth rate (CAGR) in of 7.3% in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (12.9%).

'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.'

Which means for our asset as example:- Looking at the volatility of 38.5% in the last 5 years of Marriott International, we see it is relatively larger, thus worse in comparison to the benchmark SPY (19.9%)
- During the last 3 years, the historical 30 days volatility is 45.9%, which is larger, thus worse than the value of 23.1% from the benchmark.

'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:- The downside volatility over 5 years of Marriott International is 26.2%, which is larger, thus worse compared to the benchmark SPY (14.6%) in the same period.
- Compared with SPY (16.9%) in the period of the last 3 years, the downside deviation of 30.9% is greater, thus worse.

'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 0.18 in the last 5 years of Marriott International, we see it is relatively lower, thus worse in comparison to the benchmark SPY (0.49)
- During the last 3 years, the risk / return profile (Sharpe) is 0.1, which is smaller, thus worse than the value of 0.45 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.'

Applying this definition to our asset in some examples:- Looking at the excess return divided by the downside deviation of 0.26 in the last 5 years of Marriott International, we see it is relatively lower, thus worse in comparison to the benchmark SPY (0.67)
- Compared with SPY (0.62) in the period of the last 3 years, the excess return divided by the downside deviation of 0.15 is lower, thus worse.

'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 Marriott International is 18 , which is larger, thus worse compared to the benchmark SPY (6.16 ) in the same period.
- Compared with SPY (6.87 ) in the period of the last 3 years, the Ulcer Index of 21 is greater, 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:- Looking at the maximum reduction from previous high of -61.3 days in the last 5 years of Marriott International, we see it is relatively lower, thus worse in comparison to the benchmark SPY (-33.7 days)
- Compared with SPY (-33.7 days) in the period of the last 3 years, the maximum reduction from previous high of -61.3 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:- Compared with the benchmark SPY (139 days) in the period of the last 5 years, the maximum time in days below previous high water mark of 471 days of Marriott International is greater, thus worse.
- Looking at maximum days under water in of 291 days in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to SPY (119 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:- The average days under water over 5 years of Marriott International is 145 days, which is larger, thus worse compared to the benchmark SPY (35 days) in the same period.
- Compared with SPY (27 days) in the period of the last 3 years, the average time in days below previous high water mark of 88 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 Marriott International 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.