'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 of 159.8% in the last 5 years of NXP Semiconductors N.V., we see it is relatively larger, thus better in comparison to the benchmark SPY (80.1%)
- During the last 3 years, the total return, or performance is 32.3%, which is higher, thus better than the value of 30.8% from the benchmark.

'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 annual performance (CAGR) of 21.1% in the last 5 years of NXP Semiconductors N.V., we see it is relatively higher, thus better in comparison to the benchmark SPY (12.5%)
- Compared with SPY (9.4%) in the period of the last 3 years, the compounded annual growth rate (CAGR) of 9.8% is greater, thus better.

'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.'

Using this definition on our asset we see for example:- The volatility over 5 years of NXP Semiconductors N.V. is 43.8%, which is greater, thus worse compared to the benchmark SPY (21.3%) in the same period.
- Looking at volatility in of 39% in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to SPY (17.6%).

'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:- The downside volatility over 5 years of NXP Semiconductors N.V. is 30.1%, which is larger, thus worse compared to the benchmark SPY (15.3%) in the same period.
- Looking at downside deviation in of 26.8% in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to SPY (12.3%).

'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 (0.47) in the period of the last 5 years, the ratio of return and volatility (Sharpe) of 0.42 of NXP Semiconductors N.V. is lower, thus worse.
- Looking at Sharpe Ratio in of 0.19 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (0.39).

'The Sortino ratio, a variation of the Sharpe ratio only factors in the downside, or negative volatility, rather than the total volatility used in calculating the Sharpe ratio. The theory behind the Sortino variation is that upside volatility is a plus for the investment, and it, therefore, should not be included in the risk calculation. Therefore, the Sortino ratio takes upside volatility out of the equation and uses only the downside standard deviation in its calculation instead of the total standard deviation that is used in calculating the Sharpe ratio.'

Which means for our asset as example:- The excess return divided by the downside deviation over 5 years of NXP Semiconductors N.V. is 0.62, which is smaller, thus worse compared to the benchmark SPY (0.66) in the same period.
- Looking at downside risk / excess return profile in of 0.27 in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (0.56).

'The Ulcer Index is a technical indicator that measures downside risk, in terms of both the depth and duration of price declines. The index increases in value as the price moves farther away from a recent high and falls as the price rises to new highs. The indicator is usually calculated over a 14-day period, with the Ulcer Index showing the percentage drawdown a trader can expect from the high over that period. The greater the value of the Ulcer Index, the longer it takes for a stock to get back to the former high.'

Applying this definition to our asset in some examples:- Looking at the Ulcer Index of 18 in the last 5 years of NXP Semiconductors N.V., we see it is relatively higher, thus worse in comparison to the benchmark SPY (9.43 )
- During the last 3 years, the Downside risk index is 20 , which is larger, thus worse than the value of 10 from the benchmark.

'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.'

Applying this definition to our asset in some examples:- Looking at the maximum DrawDown of -53.3 days in the last 5 years of NXP Semiconductors N.V., we see it is relatively lower, thus worse in comparison to the benchmark SPY (-33.7 days)
- Looking at maximum reduction from previous high in of -41.2 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 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 days below previous high of 496 days in the last 5 years of NXP Semiconductors N.V., we see it is relatively greater, thus worse in comparison to the benchmark SPY (478 days)
- Looking at maximum time in days below previous high water mark in of 496 days in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to SPY (478 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:- Looking at the average time in days below previous high water mark of 128 days in the last 5 years of NXP Semiconductors N.V., we see it is relatively larger, thus worse in comparison to the benchmark SPY (118 days)
- Compared with SPY (173 days) in the period of the last 3 years, the average time in days below previous high water mark of 179 days is greater, 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 NXP Semiconductors N.V. 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.