'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:- Looking at the total return, or increase in value of 298.2% in the last 5 years of Microsoft, we see it is relatively greater, thus better in comparison to the benchmark SPY (55.3%)
- Looking at total return, or performance in of 157.5% in the period of the last 3 years, we see it is relatively larger, thus better in comparison to SPY (33%).

'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 (9.2%) in the period of the last 5 years, the annual return (CAGR) of 31.9% of Microsoft is greater, thus better.
- Looking at compounded annual growth rate (CAGR) in of 37.1% in the period of the last 3 years, we see it is relatively greater, thus better in comparison to SPY (10%).

'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:- Compared with the benchmark SPY (13.6%) in the period of the last 5 years, the volatility of 23.3% of Microsoft is larger, thus worse.
- Looking at 30 days standard deviation in of 22.7% in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to SPY (13.5%).

'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:- Compared with the benchmark SPY (10%) in the period of the last 5 years, the downside deviation of 15.3% of Microsoft is greater, thus worse.
- Compared with SPY (10.1%) in the period of the last 3 years, the downside deviation of 15.4% is greater, thus worse.

'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.'

Applying this definition to our asset in some examples:- The ratio of return and volatility (Sharpe) over 5 years of Microsoft is 1.26, which is higher, thus better compared to the benchmark SPY (0.49) in the same period.
- Looking at risk / return profile (Sharpe) in of 1.52 in the period of the last 3 years, we see it is relatively greater, thus better in comparison to SPY (0.55).

'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:- The downside risk / excess return profile over 5 years of Microsoft is 1.92, which is greater, thus better compared to the benchmark SPY (0.67) in the same period.
- Looking at ratio of annual return and downside deviation in of 2.24 in the period of the last 3 years, we see it is relatively higher, thus better in comparison to SPY (0.74).

'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:- Compared with the benchmark SPY (4 ) in the period of the last 5 years, the Ulcer Index of 4.57 of Microsoft is greater, thus worse.
- Looking at Ulcer Ratio in of 3.75 in the period of the last 3 years, we see it is relatively lower, thus better in comparison to SPY (4.14 ).

'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.'

Applying this definition to our asset in some examples:- Compared with the benchmark SPY (-19.3 days) in the period of the last 5 years, the maximum drop from peak to valley of -18.2 days of Microsoft is greater, thus better.
- Compared with SPY (-19.3 days) in the period of the last 3 years, the maximum reduction from previous high of -18.2 days is larger, thus better.

'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'

Applying this definition to our asset in some examples:- Looking at the maximum time in days below previous high water mark of 124 days in the last 5 years of Microsoft, we see it is relatively lower, thus better in comparison to the benchmark SPY (187 days)
- During the last 3 years, the maximum time in days below previous high water mark is 112 days, which is smaller, thus better than the value of 139 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:- Looking at the average days below previous high of 25 days in the last 5 years of Microsoft, we see it is relatively smaller, thus better in comparison to the benchmark SPY (42 days)
- During the last 3 years, the average time in days below previous high water mark is 18 days, which is lower, thus better than the value of 36 days from the benchmark.

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 Microsoft 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.