'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.'

Using this definition on our asset we see for example:- Compared with the benchmark SPY (98.3%) in the period of the last 5 years, the total return of 168% of Meta Platforms is higher, thus better.
- Compared with SPY (27.2%) in the period of the last 3 years, the total return, or performance of 33.8% is larger, thus better.

'Compound annual growth rate (CAGR) is a business and investing specific term for the geometric progression ratio that provides a constant rate of return over the time period. CAGR is not an accounting term, but it is often used to describe some element of the business, for example revenue, units delivered, registered users, etc. CAGR dampens the effect of volatility of periodic returns that can render arithmetic means irrelevant. It is particularly useful to compare growth rates from various data sets of common domain such as revenue growth of companies in the same industry.'

Using this definition on our asset we see for example:- Looking at the compounded annual growth rate (CAGR) of 21.8% in the last 5 years of Meta Platforms, we see it is relatively greater, thus better in comparison to the benchmark SPY (14.7%)
- Compared with SPY (8.4%) in the period of the last 3 years, the compounded annual growth rate (CAGR) of 10.2% is larger, thus better.

'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.'

Applying this definition to our asset in some examples:- The 30 days standard deviation over 5 years of Meta Platforms is 44.7%, which is greater, thus worse compared to the benchmark SPY (20.9%) in the same period.
- Compared with SPY (17.7%) in the period of the last 3 years, the 30 days standard deviation of 49% is greater, thus worse.

'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:- Looking at the downside deviation of 31% in the last 5 years of Meta Platforms, we see it is relatively larger, thus worse in comparison to the benchmark SPY (14.9%)
- During the last 3 years, the downside risk is 34.4%, which is larger, thus worse than the value of 12.4% from the benchmark.

'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:- Looking at the ratio of return and volatility (Sharpe) of 0.43 in the last 5 years of Meta Platforms, we see it is relatively smaller, thus worse in comparison to the benchmark SPY (0.58)
- Compared with SPY (0.33) in the period of the last 3 years, the risk / return profile (Sharpe) of 0.16 is lower, thus worse.

'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:- Compared with the benchmark SPY (0.82) in the period of the last 5 years, the ratio of annual return and downside deviation of 0.62 of Meta Platforms is lower, thus worse.
- Looking at excess return divided by the downside deviation in of 0.23 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (0.47).

'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.'

Applying this definition to our asset in some examples:- Compared with the benchmark SPY (9.32 ) in the period of the last 5 years, the Ulcer Ratio of 30 of Meta Platforms is higher, thus worse.
- Compared with SPY (10 ) in the period of the last 3 years, the Downside risk index of 38 is larger, 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:- Compared with the benchmark SPY (-33.7 days) in the period of the last 5 years, the maximum DrawDown of -76.7 days of Meta Platforms is smaller, thus worse.
- Looking at maximum drop from peak to valley in of -76.5 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). 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:- The maximum days below previous high over 5 years of Meta Platforms is 594 days, which is higher, thus worse compared to the benchmark SPY (488 days) in the same period.
- Compared with SPY (488 days) in the period of the last 3 years, the maximum days below previous high of 591 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.'

Using this definition on our asset we see for example:- Looking at the average time in days below previous high water mark of 165 days in the last 5 years of Meta Platforms, we see it is relatively higher, thus worse in comparison to the benchmark SPY (123 days)
- Compared with SPY (177 days) in the period of the last 3 years, the average days under water of 242 days is larger, 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 Meta Platforms are hypothetical and do not account for slippage, fees or taxes.