'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:- Compared with the benchmark SPY (68.1%) in the period of the last 5 years, the total return of -25.6% of PayPal is lower, thus worse.
- Looking at total return in of -59% in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (47%).

'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.'

Applying this definition to our asset in some examples:- Compared with the benchmark SPY (11%) in the period of the last 5 years, the annual performance (CAGR) of -5.8% of PayPal is smaller, thus worse.
- During the last 3 years, the annual performance (CAGR) is -25.7%, which is lower, thus worse than the value of 13.7% from the benchmark.

'Volatility is a rate at which the price of a security increases or decreases for a given set of returns. Volatility is measured by calculating the standard deviation of the annualized returns over a given period of time. It shows the range to which the price of a security may increase or decrease. Volatility measures the risk of a security. It is used in option pricing formula to gauge the fluctuations in the returns of the underlying assets. Volatility indicates the pricing behavior of the security and helps estimate the fluctuations that may happen in a short period of time.'

Applying this definition to our asset in some examples:- Compared with the benchmark SPY (21.4%) in the period of the last 5 years, the volatility of 43.8% of PayPal is higher, thus worse.
- Compared with SPY (18.7%) in the period of the last 3 years, the historical 30 days volatility of 45.9% is greater, thus worse.

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

Using this definition on our asset we see for example:- The downside risk over 5 years of PayPal is 31.1%, which is higher, thus worse compared to the benchmark SPY (15.4%) in the same period.
- Compared with SPY (13.3%) in the period of the last 3 years, the downside risk of 33.9% 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 ratio of return and volatility (Sharpe) of -0.19 in the last 5 years of PayPal, we see it is relatively lower, thus worse in comparison to the benchmark SPY (0.4)
- During the last 3 years, the ratio of return and volatility (Sharpe) is -0.61, which is lower, thus worse than the value of 0.6 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.'

Applying this definition to our asset in some examples:- Compared with the benchmark SPY (0.55) in the period of the last 5 years, the ratio of annual return and downside deviation of -0.26 of PayPal is lower, thus worse.
- During the last 3 years, the excess return divided by the downside deviation is -0.83, which is lower, thus worse than the value of 0.84 from the benchmark.

'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.'

Which means for our asset as example:- Looking at the Ulcer Index of 39 in the last 5 years of PayPal, we see it is relatively greater, thus worse in comparison to the benchmark SPY (9.45 )
- Compared with SPY (10 ) in the period of the last 3 years, the Ulcer Index of 50 is larger, thus worse.

'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:- The maximum DrawDown over 5 years of PayPal is -80.8 days, which is lower, thus worse compared to the benchmark SPY (-33.7 days) in the same period.
- Compared with SPY (-24.5 days) in the period of the last 3 years, the maximum reduction from previous high of -80.8 days is smaller, thus worse.

'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) in days.'

Which means for our asset as example:- The maximum days below previous high over 5 years of PayPal is 464 days, which is greater, thus worse compared to the benchmark SPY (351 days) in the same period.
- Compared with SPY (351 days) in the period of the last 3 years, the maximum days below previous high of 464 days is higher, 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.'

Which means for our asset as example:- The average time in days below previous high water mark over 5 years of PayPal is 115 days, which is larger, thus worse compared to the benchmark SPY (78 days) in the same period.
- Compared with SPY (101 days) in the period of the last 3 years, the average days below previous high of 162 days is higher, thus worse.

Historical returns have been extended using synthetic data.
[Show Details]

- Note that yearly returns do not equal the sum of monthly returns due to compounding.
- Performance results of PayPal 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.