'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:- Compared with the benchmark SPY (94.9%) in the period of the last 5 years, the total return, or increase in value of 41.3% of Mattel is lower, thus worse.
- Compared with SPY (22.5%) in the period of the last 3 years, the total return of -15.8% 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.'

Using this definition on our asset we see for example:- Compared with the benchmark SPY (14.3%) in the period of the last 5 years, the annual performance (CAGR) of 7.2% of Mattel is lower, thus worse.
- During the last 3 years, the compounded annual growth rate (CAGR) is -5.6%, which is smaller, thus worse than the value of 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:- The 30 days standard deviation over 5 years of Mattel is 40.2%, which is larger, thus worse compared to the benchmark SPY (20.9%) in the same period.
- During the last 3 years, the historical 30 days volatility is 34.6%, which is larger, thus worse than the value of 17.5% from the benchmark.

'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.'

Which means for our asset as example:- Looking at the downside volatility of 27.5% in the last 5 years of Mattel, we see it is relatively greater, thus worse in comparison to the benchmark SPY (15%)
- Compared with SPY (12.3%) in the period of the last 3 years, the downside volatility of 23.5% is larger, thus worse.

'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.'

Using this definition on our asset we see for example:- Compared with the benchmark SPY (0.56) in the period of the last 5 years, the ratio of return and volatility (Sharpe) of 0.12 of Mattel is smaller, thus worse.
- During the last 3 years, the risk / return profile (Sharpe) is -0.23, which is lower, thus worse than the value of 0.26 from the benchmark.

'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.'

Using this definition on our asset we see for example:- Compared with the benchmark SPY (0.79) in the period of the last 5 years, the downside risk / excess return profile of 0.17 of Mattel is smaller, thus worse.
- Looking at excess return divided by the downside deviation in of -0.34 in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (0.37).

'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.'

Applying this definition to our asset in some examples:- Looking at the Downside risk index of 23 in the last 5 years of Mattel, we see it is relatively greater, thus worse in comparison to the benchmark SPY (9.32 )
- Compared with SPY (10 ) in the period of the last 3 years, the Downside risk index of 25 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.'

Using this definition on our asset we see for example:- Looking at the maximum DrawDown of -50.7 days in the last 5 years of Mattel, 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 -40.7 days in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (-24.5 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) in days.'

Applying this definition to our asset in some examples:- Looking at the maximum time in days below previous high water mark of 567 days in the last 5 years of Mattel, we see it is relatively greater, thus worse in comparison to the benchmark SPY (488 days)
- During the last 3 years, the maximum days below previous high is 567 days, which is higher, thus worse than the value of 488 days from the benchmark.

'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 under water over 5 years of Mattel is 163 days, which is higher, thus worse compared to the benchmark SPY (123 days) in the same period.
- Compared with SPY (179 days) in the period of the last 3 years, the average days under water of 224 days is higher, 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 Mattel are hypothetical and do not account for slippage, fees or taxes.