'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:- The total return, or increase in value over 5 years of PepsiCo is 74.5%, which is larger, thus better compared to the benchmark SPY (68.7%) in the same period.
- Looking at total return in of 41.1% in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (47.9%).

'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 compounded annual growth rate (CAGR) of 11.8% in the last 5 years of PepsiCo, we see it is relatively greater, thus better in comparison to the benchmark SPY (11%)
- During the last 3 years, the annual return (CAGR) is 12.2%, which is lower, thus worse than the value of 14% from the benchmark.

'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:- Compared with the benchmark SPY (13.3%) in the period of the last 5 years, the historical 30 days volatility of 14.3% of PepsiCo is greater, thus worse.
- During the last 3 years, the historical 30 days volatility is 14.3%, which is higher, thus worse than the value of 12.5% 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.'

Which means for our asset as example:- The downside deviation over 5 years of PepsiCo is 14.9%, which is greater, thus worse compared to the benchmark SPY (14.6%) in the same period.
- Compared with SPY (14.2%) in the period of the last 3 years, the downside deviation of 15.4% is greater, thus worse.

'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.'

Which means for our asset as example:- Looking at the Sharpe Ratio of 0.65 in the last 5 years of PepsiCo, we see it is relatively greater, thus better in comparison to the benchmark SPY (0.64)
- During the last 3 years, the Sharpe Ratio is 0.68, which is lower, thus worse than the value of 0.91 from the benchmark.

'The Sortino ratio measures the risk-adjusted return of an investment asset, portfolio, or strategy. It is a modification of the Sharpe ratio but penalizes only those returns falling below a user-specified target or required rate of return, while the Sharpe ratio penalizes both upside and downside volatility equally. Though both ratios measure an investment's risk-adjusted return, they do so in significantly different ways that will frequently lead to differing conclusions as to the true nature of the investment's return-generating efficiency. The Sortino ratio is used as a way to compare the risk-adjusted performance of programs with differing risk and return profiles. In general, risk-adjusted returns seek to normalize the risk across programs and then see which has the higher return unit per risk.'

Which means for our asset as example:- The excess return divided by the downside deviation over 5 years of PepsiCo is 0.62, which is greater, thus better compared to the benchmark SPY (0.58) in the same period.
- Looking at downside risk / excess return profile in of 0.63 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (0.81).

'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 5.2 in the last 5 years of PepsiCo, we see it is relatively greater, thus better in comparison to the benchmark SPY (3.96 )
- Compared with SPY (4.01 ) in the period of the last 3 years, the Ulcer Ratio of 6.12 is higher, thus better.

'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.'

Using this definition on our asset we see for example:- Looking at the maximum DrawDown of -20.4 days in the last 5 years of PepsiCo, we see it is relatively lower, thus worse in comparison to the benchmark SPY (-19.3 days)
- During the last 3 years, the maximum DrawDown is -20.4 days, which is smaller, thus worse than the value of -19.3 days from the benchmark.

'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'

Using this definition on our asset we see for example:- Looking at the maximum days below previous high of 205 days in the last 5 years of PepsiCo, we see it is relatively higher, thus worse in comparison to the benchmark SPY (187 days)
- During the last 3 years, the maximum time in days below previous high water mark is 205 days, which is higher, thus worse than the value of 139 days from the benchmark.

'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.'

Which means for our asset as example:- Looking at the average days under water of 48 days in the last 5 years of PepsiCo, we see it is relatively larger, thus worse in comparison to the benchmark SPY (41 days)
- During the last 3 years, the average days under water is 58 days, which is greater, thus worse than the value of 36 days from the benchmark.

Historical returns have been extended using synthetic data.
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- "Year" returns in the table above are not equal to 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.