'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.'

Which means for our asset as example:- The total return over 5 years of Merck & Company is 64.3%, which is lower, thus worse compared to the benchmark SPY (66.1%) in the same period.
- Looking at total return, or performance in of 50.2% in the period of the last 3 years, we see it is relatively larger, thus better in comparison to SPY (46.2%).

'The compound annual growth rate isn't a true return rate, but rather a representational figure. It is essentially a number that describes the rate at which an investment would have grown if it had grown the same rate every year and the profits were reinvested at the end of each year. In reality, this sort of performance is unlikely. However, CAGR can be used to smooth returns so that they may be more easily understood when compared to alternative investments.'

Applying this definition to our asset in some examples:- Looking at the annual return (CAGR) of 10.4% in the last 5 years of Merck & Company, we see it is relatively lower, thus worse in comparison to the benchmark SPY (10.7%)
- During the last 3 years, the annual return (CAGR) is 14.5%, which is greater, thus better than the value of 13.5% from the benchmark.

'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.'

Using this definition on our asset we see for example:- The historical 30 days volatility over 5 years of Merck & Company is 19.6%, which is larger, thus worse compared to the benchmark SPY (13.4%) in the same period.
- Looking at historical 30 days volatility in of 19.1% in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to SPY (12.3%).

'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.'

Using this definition on our asset we see for example:- The downside volatility over 5 years of Merck & Company is 19.8%, which is higher, thus worse compared to the benchmark SPY (14.6%) in the same period.
- During the last 3 years, the downside volatility is 19.1%, which is greater, thus worse than the value of 13.9% from the benchmark.

'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.'

Which means for our asset as example:- The Sharpe Ratio over 5 years of Merck & Company is 0.41, which is lower, thus worse compared to the benchmark SPY (0.61) in the same period.
- During the last 3 years, the ratio of return and volatility (Sharpe) is 0.63, which is lower, thus worse than the value of 0.9 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.'

Using this definition on our asset we see for example:- The ratio of annual return and downside deviation over 5 years of Merck & Company is 0.4, which is smaller, thus worse compared to the benchmark SPY (0.56) in the same period.
- Compared with SPY (0.8) in the period of the last 3 years, the downside risk / excess return profile of 0.63 is smaller, 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:- Compared with the benchmark SPY (3.99 ) in the period of the last 5 years, the Ulcer Ratio of 8.2 of Merck & Company is higher, thus worse.
- Looking at Ulcer Ratio in of 7.04 in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to SPY (4.04 ).

'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:- The maximum DrawDown over 5 years of Merck & Company is -21.3 days, which is smaller, thus worse compared to the benchmark SPY (-19.3 days) in the same period.
- During the last 3 years, the maximum drop from peak to valley is -18.2 days, which is larger, thus better than the value of -19.3 days from the benchmark.

'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.'

Using this definition on our asset we see for example:- The maximum days below previous high over 5 years of Merck & Company is 390 days, which is higher, thus worse compared to the benchmark SPY (187 days) in the same period.
- Looking at maximum time in days below previous high water mark in of 217 days in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (139 days).

'The Drawdown Duration is the length of any peak to peak period, or the time between new equity highs. 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 time in days below previous high water mark over 5 years of Merck & Company is 96 days, which is larger, thus worse compared to the benchmark SPY (41 days) in the same period.
- Looking at average days below previous high in of 49 days in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to SPY (36 days).

Historical returns have been extended using synthetic data.
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- "Year" returns in the table above are not equal to the sum of monthly returns due to compounding.
- Performance results of Merck & Company 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.