'The total return on a portfolio of investments takes into account not only the capital appreciation on the portfolio, but also the income received on the portfolio. The income typically consists of interest, dividends, and securities lending fees. This contrasts with the price return, which takes into account only the capital gain on an investment.'

Using this definition on our asset we see for example:- Compared with the benchmark SPY (80.1%) in the period of the last 5 years, the total return, or performance of 120.3% of Regeneron Pharmaceuticals is larger, thus better.
- Compared with SPY (30.8%) in the period of the last 3 years, the total return, or performance of 55.8% is higher, thus better.

'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:- Looking at the annual return (CAGR) of 17.2% in the last 5 years of Regeneron Pharmaceuticals, we see it is relatively larger, thus better in comparison to the benchmark SPY (12.5%)
- Looking at annual performance (CAGR) in of 16% in the period of the last 3 years, we see it is relatively higher, thus better in comparison to SPY (9.4%).

'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.'

Which means for our asset as example:- The historical 30 days volatility over 5 years of Regeneron Pharmaceuticals is 32.2%, which is greater, thus worse compared to the benchmark SPY (21.3%) in the same period.
- Looking at volatility in of 28.3% in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (17.6%).

'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:- Looking at the downside risk of 21% in the last 5 years of Regeneron Pharmaceuticals, we see it is relatively larger, thus worse in comparison to the benchmark SPY (15.3%)
- Compared with SPY (12.3%) in the period of the last 3 years, the downside volatility of 18.3% 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:- Compared with the benchmark SPY (0.47) in the period of the last 5 years, the ratio of return and volatility (Sharpe) of 0.46 of Regeneron Pharmaceuticals is lower, thus worse.
- Compared with SPY (0.39) in the period of the last 3 years, the ratio of return and volatility (Sharpe) of 0.48 is higher, 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.'

Which means for our asset as example:- Looking at the excess return divided by the downside deviation of 0.7 in the last 5 years of Regeneron Pharmaceuticals, we see it is relatively larger, thus better in comparison to the benchmark SPY (0.66)
- Looking at downside risk / excess return profile in of 0.74 in the period of the last 3 years, we see it is relatively larger, thus better in comparison to SPY (0.56).

'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:- Compared with the benchmark SPY (9.43 ) in the period of the last 5 years, the Ulcer Ratio of 16 of Regeneron Pharmaceuticals is greater, thus worse.
- Looking at Ulcer Ratio in of 9.34 in the period of the last 3 years, we see it is relatively lower, thus better in comparison to SPY (10 ).

'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:- Compared with the benchmark SPY (-33.7 days) in the period of the last 5 years, the maximum drop from peak to valley of -37.8 days of Regeneron Pharmaceuticals is smaller, thus worse.
- During the last 3 years, the maximum DrawDown is -25.8 days, which is smaller, thus worse than the value of -24.5 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:- The maximum days below previous high over 5 years of Regeneron Pharmaceuticals is 274 days, which is smaller, thus better compared to the benchmark SPY (478 days) in the same period.
- During the last 3 years, the maximum days under water is 135 days, which is smaller, thus better than the value of 478 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.'

Applying this definition to our asset in some examples:- Looking at the average days under water of 79 days in the last 5 years of Regeneron Pharmaceuticals, we see it is relatively smaller, thus better in comparison to the benchmark SPY (118 days)
- During the last 3 years, the average days below previous high is 44 days, which is lower, thus better than the value of 173 days from the benchmark.

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.