'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 investmentâ€™s overall performance.'

Applying this definition to our asset in some examples:- Looking at the total return, or performance of 23.2% in the last 5 years of Splunk, we see it is relatively lower, thus worse in comparison to the benchmark SPY (103.3%)
- Looking at total return, or performance in of 13.3% in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (37.7%).

'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.'

Which means for our asset as example:- The annual performance (CAGR) over 5 years of Splunk is 4.3%, which is smaller, thus worse compared to the benchmark SPY (15.3%) in the same period.
- During the last 3 years, the annual performance (CAGR) is 4.2%, which is lower, thus worse than the value of 11.3% from the benchmark.

'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:- Compared with the benchmark SPY (20.9%) in the period of the last 5 years, the historical 30 days volatility of 48.9% of Splunk is greater, thus worse.
- Compared with SPY (17.3%) in the period of the last 3 years, the historical 30 days volatility of 48% is higher, thus worse.

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

Which means for our asset as example:- Looking at the downside volatility of 34.5% in the last 5 years of Splunk, we see it is relatively greater, thus worse in comparison to the benchmark SPY (14.9%)
- During the last 3 years, the downside risk is 32.4%, which is greater, thus worse than the value of 12% 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.'

Applying this definition to our asset in some examples:- Compared with the benchmark SPY (0.61) in the period of the last 5 years, the ratio of return and volatility (Sharpe) of 0.04 of Splunk is lower, thus worse.
- Compared with SPY (0.51) in the period of the last 3 years, the Sharpe Ratio of 0.04 is lower, thus worse.

'The Sortino ratio improves upon the Sharpe ratio by isolating downside volatility from total volatility by dividing excess return by the downside deviation. The Sortino ratio is a variation of the Sharpe ratio that differentiates harmful volatility from total overall volatility by using the asset's standard deviation of negative asset returns, called downside deviation. The Sortino ratio takes the asset's return and subtracts the risk-free rate, and then divides that amount by the asset's downside deviation. The ratio was named after Frank A. Sortino.'

Applying this definition to our asset in some examples:- Compared with the benchmark SPY (0.85) in the period of the last 5 years, the excess return divided by the downside deviation of 0.05 of Splunk is lower, thus worse.
- Looking at excess return divided by the downside deviation in of 0.05 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (0.73).

'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.'

Applying this definition to our asset in some examples:- The Downside risk index over 5 years of Splunk is 39 , which is larger, thus worse compared to the benchmark SPY (9.32 ) in the same period.
- During the last 3 years, the Ulcer Ratio is 34 , which is larger, 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 drop from peak to valley over 5 years of Splunk is -69.6 days, which is lower, thus worse compared to the benchmark SPY (-33.7 days) in the same period.
- Compared with SPY (-24.5 days) in the period of the last 3 years, the maximum drop from peak to valley of -60.8 days is smaller, thus worse.

'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.'

Which means for our asset as example:- Looking at the maximum days below previous high of 889 days in the last 5 years of Splunk, we see it is relatively larger, thus worse in comparison to the benchmark SPY (488 days)
- Looking at maximum time in days below previous high water mark in of 589 days in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to SPY (488 days).

'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 332 days in the last 5 years of Splunk, we see it is relatively larger, thus worse in comparison to the benchmark SPY (123 days)
- Looking at average time in days below previous high water mark in of 242 days in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to SPY (181 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 Splunk are hypothetical and do not account for slippage, fees or taxes.