'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.'

Applying this definition to our asset in some examples:- Looking at the total return of 55.1% in the last 5 years of Roper Technologies, we see it is relatively lower, thus worse in comparison to the benchmark SPY (88.1%)
- Looking at total return, or increase in value in of 26.6% in the period of the last 3 years, we see it is relatively larger, thus better in comparison to SPY (26.1%).

'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 (13.5%) in the period of the last 5 years, the annual return (CAGR) of 9.2% of Roper Technologies is lower, thus worse.
- Compared with SPY (8.1%) in the period of the last 3 years, the annual return (CAGR) of 8.2% is greater, thus better.

'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:- The historical 30 days volatility over 5 years of Roper Technologies is 25.6%, which is higher, thus worse compared to the benchmark SPY (20.9%) in the same period.
- Compared with SPY (17.3%) in the period of the last 3 years, the historical 30 days volatility of 19.9% is higher, thus worse.

'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:- Compared with the benchmark SPY (15%) in the period of the last 5 years, the downside deviation of 18.4% of Roper Technologies is higher, thus worse.
- Looking at downside risk in of 13.9% in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to SPY (12.1%).

'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.'

Applying this definition to our asset in some examples:- The ratio of return and volatility (Sharpe) over 5 years of Roper Technologies is 0.26, which is lower, thus worse compared to the benchmark SPY (0.52) in the same period.
- During the last 3 years, the Sharpe Ratio is 0.29, which is lower, thus worse than the value of 0.32 from the benchmark.

'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 downside risk / excess return profile of 0.36 in the last 5 years of Roper Technologies, we see it is relatively lower, thus worse in comparison to the benchmark SPY (0.73)
- During the last 3 years, the excess return divided by the downside deviation is 0.41, which is smaller, thus worse than the value of 0.46 from the benchmark.

'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.'

Which means for our asset as example:- Looking at the Downside risk index of 10 in the last 5 years of Roper Technologies, we see it is relatively greater, thus worse in comparison to the benchmark SPY (9.33 )
- During the last 3 years, the Downside risk index is 10 , which is higher, thus worse than the value of 10 from the benchmark.

'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.'

Which means for our asset as example:- The maximum reduction from previous high over 5 years of Roper Technologies is -35.2 days, which is lower, thus worse compared to the benchmark SPY (-33.7 days) in the same period.
- Looking at maximum drop from peak to valley in of -27.5 days in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (-24.5 days).

'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.'

Applying this definition to our asset in some examples:- The maximum time in days below previous high water mark over 5 years of Roper Technologies is 416 days, which is lower, thus better compared to the benchmark SPY (488 days) in the same period.
- During the last 3 years, the maximum days below previous high is 416 days, which is lower, thus better than the value of 488 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:- The average days under water over 5 years of Roper Technologies is 107 days, which is lower, thus better compared to the benchmark SPY (123 days) in the same period.
- Looking at average days below previous high in of 132 days in the period of the last 3 years, we see it is relatively lower, thus better in comparison to SPY (179 days).

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 Roper Technologies 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.