'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.'

Using this definition on our asset we see for example:- Looking at the total return, or increase in value of 135.8% in the last 5 years of Nike, we see it is relatively higher, thus better in comparison to the benchmark SPY (66.2%)
- Looking at total return, or performance in of 50.6% in the period of the last 3 years, we see it is relatively greater, thus better in comparison to SPY (47.5%).

'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.'

Using this definition on our asset we see for example:- Compared with the benchmark SPY (10.7%) in the period of the last 5 years, the compounded annual growth rate (CAGR) of 18.7% of Nike is larger, thus better.
- Looking at compounded annual growth rate (CAGR) in of 14.7% in the period of the last 3 years, we see it is relatively larger, thus better in comparison to SPY (13.9%).

'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.'

Which means for our asset as example:- Looking at the volatility of 23.6% in the last 5 years of Nike, we see it is relatively larger, thus worse in comparison to the benchmark SPY (13.3%)
- Looking at volatility in of 23.9% in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to SPY (12.5%).

'Downside risk is the financial risk associated with losses. That is, it is the risk of the actual return being below the expected return, or the uncertainty about the magnitude of that difference. 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.'

Applying this definition to our asset in some examples:- Looking at the downside risk of 23% in the last 5 years of Nike, we see it is relatively greater, thus worse in comparison to the benchmark SPY (14.6%)
- Looking at downside risk in of 23.3% in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to SPY (14.2%).

'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.'

Using this definition on our asset we see for example:- Compared with the benchmark SPY (0.62) in the period of the last 5 years, the Sharpe Ratio of 0.69 of Nike is greater, thus better.
- During the last 3 years, the risk / return profile (Sharpe) is 0.51, which is smaller, thus worse than the value of 0.91 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.'

Applying this definition to our asset in some examples:- Compared with the benchmark SPY (0.56) in the period of the last 5 years, the downside risk / excess return profile of 0.71 of Nike is higher, thus better.
- During the last 3 years, the excess return divided by the downside deviation is 0.52, which is lower, thus worse than the value of 0.8 from the benchmark.

'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.'

Which means for our asset as example:- Compared with the benchmark SPY (3.96 ) in the period of the last 5 years, the Ulcer Ratio of 11 of Nike is greater, thus better.
- Looking at Ulcer Index in of 8.05 in the period of the last 3 years, we see it is relatively greater, thus better in comparison to SPY (4.01 ).

'A maximum drawdown is the maximum loss from a peak to a trough of a portfolio, before a new peak is attained. Maximum Drawdown is an indicator of downside risk over a specified time period. It can be used both as a stand-alone measure or as an input into other metrics such as 'Return over Maximum Drawdown' and the Calmar Ratio. Maximum Drawdown is expressed in percentage terms.'

Which means for our asset as example:- Looking at the maximum reduction from previous high of -25.3 days in the last 5 years of Nike, we see it is relatively lower, thus worse in comparison to the benchmark SPY (-19.3 days)
- Looking at maximum drop from peak to valley in of -20.8 days in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (-19.3 days).

'The Maximum 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. It is the length of time the account was in the Max Drawdown. A Max Drawdown measures a retrenchment from when an equity curve reaches a new high. It’s the maximum an account lost during that retrenchment. This method is applied because a valley can’t be measured until a new high occurs. Once the new high is reached, the percentage change from the old high to the bottom of the largest trough is recorded.'

Using this definition on our asset we see for example:- Looking at the maximum time in days below previous high water mark of 538 days in the last 5 years of Nike, we see it is relatively larger, thus worse in comparison to the benchmark SPY (187 days)
- Looking at maximum days below previous high in of 227 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:- Compared with the benchmark SPY (41 days) in the period of the last 5 years, the average days under water of 136 days of Nike is greater, thus worse.
- Looking at average days under water in of 53 days in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (36 days).

Historical returns have been extended using synthetic data.
[Show Details]

- "Year" returns in the table above are not equal to the sum of monthly returns due to compounding.
- Performance results of Nike 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.