'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.'

Applying this definition to our asset in some examples:- The total return, or increase in value over 5 years of PepsiCo is 65.3%, which is greater, thus better compared to the benchmark SPY (62.4%) in the same period.
- During the last 3 years, the total return is 41.4%, which is greater, thus better than the value of 39.3% 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:- Compared with the benchmark SPY (10.2%) in the period of the last 5 years, the annual performance (CAGR) of 10.6% of PepsiCo is higher, thus better.
- Looking at compounded annual growth rate (CAGR) in of 12.3% in the period of the last 3 years, we see it is relatively greater, thus better in comparison to SPY (11.7%).

'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:- The 30 days standard deviation over 5 years of PepsiCo is 14.3%, which is higher, thus worse compared to the benchmark SPY (13.5%) in the same period.
- During the last 3 years, the volatility is 14.6%, which is larger, thus worse than the value of 13.2% from the benchmark.

'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 volatility of 10% in the last 5 years of PepsiCo, we see it is relatively larger, thus worse in comparison to the benchmark SPY (9.8%)
- During the last 3 years, the downside deviation is 10.1%, which is greater, thus worse than the value of 9.8% 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:- The ratio of return and volatility (Sharpe) over 5 years of PepsiCo is 0.57, which is higher, thus better compared to the benchmark SPY (0.57) in the same period.
- During the last 3 years, the Sharpe Ratio is 0.67, which is lower, thus worse than the value of 0.69 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.'

Which means for our asset as example:- Looking at the excess return divided by the downside deviation of 0.81 in the last 5 years of PepsiCo, we see it is relatively higher, thus better in comparison to the benchmark SPY (0.78)
- During the last 3 years, the ratio of annual return and downside deviation is 0.97, which is higher, thus better than the value of 0.94 from the benchmark.

'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.'

Using this definition on our asset we see for example:- Looking at the Ulcer Index of 5.18 in the last 5 years of PepsiCo, we see it is relatively greater, thus worse in comparison to the benchmark SPY (3.98 )
- Looking at Ulcer Ratio in of 6.03 in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to SPY (4.12 ).

'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.'

Which means for our asset as example:- Looking at the maximum drop from peak to valley of -20.4 days in the last 5 years of PepsiCo, we see it is relatively smaller, thus worse in comparison to the benchmark SPY (-19.3 days)
- During the last 3 years, the maximum reduction from previous high is -20.4 days, which is smaller, thus worse than the value of -19.3 days from the benchmark.

'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.'

Applying this definition to our asset in some examples:- Compared with the benchmark SPY (187 days) in the period of the last 5 years, the maximum days below previous high of 205 days of PepsiCo is larger, thus worse.
- Compared with SPY (139 days) in the period of the last 3 years, the maximum days below previous high of 205 days is greater, thus worse.

'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:- Compared with the benchmark SPY (42 days) in the period of the last 5 years, the average time in days below previous high water mark of 48 days of PepsiCo is higher, thus worse.
- Looking at average days below previous high in of 47 days in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to SPY (37 days).

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 PepsiCo 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.