'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:- Looking at the total return, or increase in value of 113.5% in the last 5 years of Ross Stores, we see it is relatively larger, thus better in comparison to the benchmark SPY (59.2%)
- Compared with SPY (33.1%) in the period of the last 3 years, the total return, or increase in value of 57.3% 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.'

Applying this definition to our asset in some examples:- Compared with the benchmark SPY (9.7%) in the period of the last 5 years, the annual performance (CAGR) of 16.4% of Ross Stores is higher, thus better.
- Compared with SPY (10%) in the period of the last 3 years, the annual return (CAGR) of 16.3% 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.'

Which means for our asset as example:- The 30 days standard deviation over 5 years of Ross Stores is 31.4%, which is larger, thus worse compared to the benchmark SPY (18.7%) in the same period.
- Looking at historical 30 days volatility in of 35.8% in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (21.5%).

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

Applying this definition to our asset in some examples:- Compared with the benchmark SPY (13.6%) in the period of the last 5 years, the downside deviation of 21.9% of Ross Stores is larger, thus worse.
- During the last 3 years, the downside risk is 25%, which is greater, thus worse than the value of 15.7% from the benchmark.

'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.'

Which means for our asset as example:- Compared with the benchmark SPY (0.39) in the period of the last 5 years, the Sharpe Ratio of 0.44 of Ross Stores is greater, thus better.
- Compared with SPY (0.35) in the period of the last 3 years, the ratio of return and volatility (Sharpe) of 0.39 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:- Compared with the benchmark SPY (0.53) in the period of the last 5 years, the downside risk / excess return profile of 0.63 of Ross Stores is greater, thus better.
- Looking at ratio of annual return and downside deviation in of 0.55 in the period of the last 3 years, we see it is relatively greater, thus better in comparison to SPY (0.48).

'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:- The Ulcer Ratio over 5 years of Ross Stores is 10 , which is larger, thus worse compared to the benchmark SPY (5.79 ) in the same period.
- During the last 3 years, the Ulcer Index is 11 , which is larger, thus worse than the value of 6.83 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:- The maximum drop from peak to valley over 5 years of Ross Stores is -51.4 days, which is smaller, thus worse compared to the benchmark SPY (-33.7 days) in the same period.
- Looking at maximum DrawDown in of -51.4 days in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (-33.7 days).

'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.'

Which means for our asset as example:- The maximum days below previous high over 5 years of Ross Stores is 231 days, which is larger, thus worse compared to the benchmark SPY (187 days) in the same period.
- During the last 3 years, the maximum time in days below previous high water mark is 149 days, which is greater, thus worse than the value of 139 days from the benchmark.

'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:- Compared with the benchmark SPY (42 days) in the period of the last 5 years, the average time in days below previous high water mark of 52 days of Ross Stores is higher, thus worse.
- Looking at average time in days below previous high water mark in of 35 days in the period of the last 3 years, we see it is relatively lower, thus better in comparison to SPY (38 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 Ross Stores 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.