'Total return, when measuring performance, is the actual rate of return of an investment or a pool of investments over a given evaluation period. Total return includes interest, capital gains, dividends and distributions realized over a given period of time. Total return accounts for two categories of return: income including interest paid by fixed-income investments, distributions or dividends and capital appreciation, representing the change in the market price of an asset.'

Which means for our asset as example:- The total return, or increase in value over 5 years of PepsiCo is 68.5%, which is larger, thus better compared to the benchmark SPY (67.3%) in the same period.
- Compared with SPY (46.1%) in the period of the last 3 years, the total return of 27.8% is lower, thus worse.

'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.'

Using this definition on our asset we see for example:- Compared with the benchmark SPY (10.9%) in the period of the last 5 years, the compounded annual growth rate (CAGR) of 11% of PepsiCo is greater, thus better.
- Compared with SPY (13.5%) in the period of the last 3 years, the compounded annual growth rate (CAGR) of 8.5% is lower, thus worse.

'Volatility is a statistical measure of the dispersion of returns for a given security or market index. Volatility can either be measured by using the standard deviation or variance between returns from that same security or market index. Commonly, the higher the volatility, the riskier the security. In the securities markets, volatility is often associated with big swings in either direction. For example, when the stock market rises and falls more than one percent over a sustained period of time, it is called a 'volatile' market.'

Using this definition on our asset we see for example:- Looking at the volatility of 14.3% in the last 5 years of PepsiCo, we see it is relatively higher, thus worse in comparison to the benchmark SPY (13.2%)
- Looking at volatility in of 14.3% in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (12.4%).

'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:- The downside deviation over 5 years of PepsiCo is 14.9%, which is larger, thus worse compared to the benchmark SPY (14.6%) in the same period.
- Looking at downside deviation in of 15.6% in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to SPY (14%).

'The Sharpe ratio was developed by Nobel laureate William F. Sharpe, and is used to help investors understand the return of an investment compared to its risk. The ratio is the average return earned in excess of the risk-free rate per unit of volatility or total risk. Subtracting the risk-free rate from the mean return allows an investor to better isolate the profits associated with risk-taking activities. One intuition of this calculation is that a portfolio engaging in 'zero risk' investments, such as the purchase of U.S. Treasury bills (for which the expected return is the risk-free rate), has a Sharpe ratio of exactly zero. Generally, the greater the value of the Sharpe ratio, the more attractive the risk-adjusted return.'

Using this definition on our asset we see for example:- Looking at the Sharpe Ratio of 0.6 in the last 5 years of PepsiCo, we see it is relatively smaller, thus worse in comparison to the benchmark SPY (0.63)
- Looking at ratio of return and volatility (Sharpe) in of 0.42 in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (0.88).

'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:- Compared with the benchmark SPY (0.57) in the period of the last 5 years, the excess return divided by the downside deviation of 0.57 of PepsiCo is higher, thus better.
- Compared with SPY (0.79) in the period of the last 3 years, the excess return divided by the downside deviation of 0.39 is smaller, thus worse.

'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:- The Ulcer Ratio over 5 years of PepsiCo is 5.2 , which is higher, thus better compared to the benchmark SPY (3.95 ) in the same period.
- During the last 3 years, the Downside risk index is 6.17 , which is greater, thus better than the value of 4 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.'

Which means for our asset as example:- Compared with the benchmark SPY (-19.3 days) in the period of the last 5 years, the maximum drop from peak to valley of -20.4 days of PepsiCo is lower, thus worse.
- 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.'

Using this definition on our asset we see for example:- The maximum time in days below previous high water mark over 5 years of PepsiCo is 205 days, which is larger, thus worse compared to the benchmark SPY (187 days) in the same period.
- Looking at maximum time in days below previous high water mark in of 205 days in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to SPY (131 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.'

Using this definition on our asset we see for example:- Looking at the average days below previous high of 48 days in the last 5 years of PepsiCo, we see it is relatively larger, thus worse in comparison to the benchmark SPY (39 days)
- Compared with SPY (33 days) in the period of the last 3 years, the average days below previous high of 58 days is larger, thus worse.

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.