'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 Regeneron Pharmaceuticals is 44%, which is smaller, thus worse compared to the benchmark SPY (81.9%) in the same period.
- During the last 3 years, the total return is 112.6%, which is higher, thus better than the value of 46.1% from the benchmark.

'The compound annual growth rate isn't a true return rate, but rather a representational figure. It is essentially a number that describes the rate at which an investment would have grown if it had grown the same rate every year and the profits were reinvested at the end of each year. In reality, this sort of performance is unlikely. However, CAGR can be used to smooth returns so that they may be more easily understood when compared to alternative investments.'

Using this definition on our asset we see for example:- Compared with the benchmark SPY (12.7%) in the period of the last 5 years, the annual performance (CAGR) of 7.6% of Regeneron Pharmaceuticals is lower, thus worse.
- Looking at annual performance (CAGR) in of 28.6% in the period of the last 3 years, we see it is relatively higher, thus better in comparison to SPY (13.5%).

'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.'

Using this definition on our asset we see for example:- Looking at the volatility of 32.1% in the last 5 years of Regeneron Pharmaceuticals, we see it is relatively higher, thus worse in comparison to the benchmark SPY (19.8%)
- Looking at volatility in of 32.9% in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (23%).

'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.'

Using this definition on our asset we see for example:- The downside risk over 5 years of Regeneron Pharmaceuticals is 21.8%, which is higher, thus worse compared to the benchmark SPY (14.5%) in the same period.
- Looking at downside risk in of 21.7% in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (16.8%).

'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:- Looking at the ratio of return and volatility (Sharpe) of 0.16 in the last 5 years of Regeneron Pharmaceuticals, we see it is relatively lower, thus worse in comparison to the benchmark SPY (0.52)
- Compared with SPY (0.48) in the period of the last 3 years, the ratio of return and volatility (Sharpe) of 0.79 is greater, thus better.

'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.'

Using this definition on our asset we see for example:- The ratio of annual return and downside deviation over 5 years of Regeneron Pharmaceuticals is 0.23, which is lower, thus worse compared to the benchmark SPY (0.7) in the same period.
- Looking at excess return divided by the downside deviation in of 1.2 in the period of the last 3 years, we see it is relatively higher, thus better in comparison to SPY (0.65).

'The ulcer index is a stock market risk measure or technical analysis indicator devised by Peter Martin in 1987, and published by him and Byron McCann in their 1989 book The Investors Guide to Fidelity Funds. It's designed as a measure of volatility, but only volatility in the downward direction, i.e. the amount of drawdown or retracement occurring over a period. Other volatility measures like standard deviation treat up and down movement equally, but a trader doesn't mind upward movement, it's the downside that causes stress and stomach ulcers that the index's name suggests.'

Which means for our asset as example:- Compared with the benchmark SPY (6.08 ) in the period of the last 5 years, the Ulcer Index of 25 of Regeneron Pharmaceuticals is higher, thus worse.
- Looking at Ulcer Ratio in of 13 in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to SPY (6.77 ).

'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.'

Using this definition on our asset we see for example:- Looking at the maximum reduction from previous high of -48.1 days in the last 5 years of Regeneron Pharmaceuticals, we see it is relatively lower, thus worse in comparison to the benchmark SPY (-33.7 days)
- Compared with SPY (-33.7 days) in the period of the last 3 years, the maximum DrawDown of -32.1 days is higher, thus better.

'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.'

Using this definition on our asset we see for example:- Looking at the maximum time in days below previous high water mark of 707 days in the last 5 years of Regeneron Pharmaceuticals, we see it is relatively higher, thus worse in comparison to the benchmark SPY (139 days)
- Compared with SPY (119 days) in the period of the last 3 years, the maximum days below previous high of 274 days is larger, thus worse.

'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 under water of 243 days in the last 5 years of Regeneron Pharmaceuticals, we see it is relatively greater, thus worse in comparison to the benchmark SPY (35 days)
- Compared with SPY (27 days) in the period of the last 3 years, the average days under water of 76 days is higher, 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 Regeneron Pharmaceuticals 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.