'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:- Compared with the benchmark SPY (67.8%) in the period of the last 5 years, the total return of 53% of NetEase is lower, thus worse.
- During the last 3 years, the total return, or increase in value is 27.4%, which is lower, thus worse than the value of 44.5% from the benchmark.

'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.'

Which means for our asset as example:- The compounded annual growth rate (CAGR) over 5 years of NetEase is 8.9%, which is lower, thus worse compared to the benchmark SPY (10.9%) in the same period.
- Compared with SPY (13.1%) in the period of the last 3 years, the compounded annual growth rate (CAGR) of 8.4% is smaller, thus worse.

'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 NetEase is 45.9%, which is higher, thus worse compared to the benchmark SPY (21.4%) in the same period.
- Looking at 30 days standard deviation in of 50.4% in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to SPY (18.8%).

'The downside volatility is similar to the volatility, or standard deviation, but only takes losing/negative periods into account.'

Which means for our asset as example:- Compared with the benchmark SPY (15.4%) in the period of the last 5 years, the downside deviation of 30.9% of NetEase is greater, thus worse.
- During the last 3 years, the downside risk is 33.3%, which is higher, thus worse than the value of 13.3% from the benchmark.

'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.'

Applying this definition to our asset in some examples:- Looking at the risk / return profile (Sharpe) of 0.14 in the last 5 years of NetEase, we see it is relatively lower, thus worse in comparison to the benchmark SPY (0.39)
- Compared with SPY (0.56) in the period of the last 3 years, the ratio of return and volatility (Sharpe) of 0.12 is smaller, 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.'

Using this definition on our asset we see for example:- Looking at the downside risk / excess return profile of 0.21 in the last 5 years of NetEase, we see it is relatively lower, thus worse in comparison to the benchmark SPY (0.55)
- Looking at excess return divided by the downside deviation in of 0.18 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (0.79).

'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:- Looking at the Ulcer Index of 24 in the last 5 years of NetEase, we see it is relatively greater, thus worse in comparison to the benchmark SPY (9.46 )
- During the last 3 years, the Ulcer Ratio is 25 , which is higher, thus worse than the value of 10 from the benchmark.

'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:- Looking at the maximum reduction from previous high of -57.3 days in the last 5 years of NetEase, we see it is relatively smaller, thus worse in comparison to the benchmark SPY (-33.7 days)
- Compared with SPY (-24.5 days) in the period of the last 3 years, the maximum drop from peak to valley of -57.3 days is lower, thus worse.

'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.'

Which means for our asset as example:- Compared with the benchmark SPY (352 days) in the period of the last 5 years, the maximum days below previous high of 508 days of NetEase is larger, thus worse.
- During the last 3 years, the maximum days below previous high is 508 days, which is larger, thus worse than the value of 352 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 under water of 196 days in the last 5 years of NetEase, we see it is relatively greater, thus worse in comparison to the benchmark SPY (78 days)
- Compared with SPY (102 days) in the period of the last 3 years, the average days under water of 186 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 NetEase 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.