'Total return, when measuring performance, is the actual rate of return of an investment or a pool of investments over a given evaluation period. Total return includes interest, capital gains, dividends and distributions realized over a given period of time. Total return accounts for two categories of return: income including interest paid by fixed-income investments, distributions or dividends and capital appreciation, representing the change in the market price of an asset.'

Which means for our asset as example:- The total return, or performance over 5 years of Ross Stores is 40.6%, which is smaller, thus worse compared to the benchmark SPY (61.3%) in the same period.
- Looking at total return, or increase in value in of -18.1% in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (31.6%).

'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:- Looking at the annual performance (CAGR) of 7.1% in the last 5 years of Ross Stores, we see it is relatively lower, thus worse in comparison to the benchmark SPY (10%)
- Compared with SPY (9.6%) in the period of the last 3 years, the annual performance (CAGR) of -6.4% is smaller, thus worse.

'Volatility is a statistical measure of the dispersion of returns for a given security or market index. Volatility can either be measured by using the standard deviation or variance between returns from that same security or market index. Commonly, the higher the volatility, the riskier the security. In the securities markets, volatility is often associated with big swings in either direction. For example, when the stock market rises and falls more than one percent over a sustained period of time, it is called a 'volatile' market.'

Applying this definition to our asset in some examples:- Compared with the benchmark SPY (20.8%) in the period of the last 5 years, the volatility of 38% of Ross Stores is greater, thus worse.
- Looking at historical 30 days volatility in of 44.4% in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to SPY (24%).

'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.'

Applying this definition to our asset in some examples:- The downside volatility over 5 years of Ross Stores is 27.1%, which is larger, thus worse compared to the benchmark SPY (15.3%) in the same period.
- Looking at downside deviation in of 32% in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (17.6%).

'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 (0.36) in the period of the last 5 years, the Sharpe Ratio of 0.12 of Ross Stores is smaller, thus worse.
- Compared with SPY (0.3) in the period of the last 3 years, the ratio of return and volatility (Sharpe) of -0.2 is smaller, thus worse.

'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 ratio of annual return and downside deviation of 0.17 in the last 5 years of Ross Stores, we see it is relatively smaller, thus worse in comparison to the benchmark SPY (0.49)
- Looking at excess return divided by the downside deviation in of -0.28 in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (0.4).

'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.'

Applying this definition to our asset in some examples:- The Ulcer Ratio over 5 years of Ross Stores is 18 , which is higher, thus worse compared to the benchmark SPY (7.61 ) in the same period.
- Compared with SPY (8.93 ) in the period of the last 3 years, the Downside risk index of 22 is greater, thus worse.

'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.'

Applying this definition to our asset in some examples:- Looking at the maximum DrawDown of -51.4 days in the last 5 years of Ross Stores, 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 reduction from previous high of -51.4 days is lower, thus worse.

'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:- Compared with the benchmark SPY (185 days) in the period of the last 5 years, the maximum time in days below previous high water mark of 351 days of Ross Stores is higher, thus worse.
- During the last 3 years, the maximum time in days below previous high water mark is 351 days, which is larger, thus worse than the value of 185 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.'

Using this definition on our asset we see for example:- Looking at the average days under water of 96 days in the last 5 years of Ross Stores, we see it is relatively larger, thus worse in comparison to the benchmark SPY (46 days)
- Looking at average time in days below previous high water mark in of 131 days in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (44 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.