'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.'

Which means for our asset as example:- Compared with the benchmark SPY (58.9%) in the period of the last 5 years, the total return, or increase in value of 8.1% of Splunk is lower, thus worse.
- During the last 3 years, the total return, or increase in value is -35.7%, which is smaller, thus worse than the value of 33.9% from the benchmark.

'The compound annual growth rate isn't a true return rate, but rather a representational figure. It is essentially a number that describes the rate at which an investment would have grown if it had grown the same rate every year and the profits were reinvested at the end of each year. In reality, this sort of performance is unlikely. However, CAGR can be used to smooth returns so that they may be more easily understood when compared to alternative investments.'

Using this definition on our asset we see for example:- The compounded annual growth rate (CAGR) over 5 years of Splunk is 1.6%, which is lower, thus worse compared to the benchmark SPY (9.7%) in the same period.
- During the last 3 years, the annual performance (CAGR) is -13.7%, which is lower, thus worse than the value of 10.2% from the benchmark.

'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.'

Using this definition on our asset we see for example:- The volatility over 5 years of Splunk is 50.9%, which is higher, thus worse compared to the benchmark SPY (21.6%) in the same period.
- Looking at volatility in of 56.4% in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to SPY (25%).

'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:- Looking at the downside volatility of 36.5% in the last 5 years of Splunk, we see it is relatively larger, thus worse in comparison to the benchmark SPY (15.7%)
- Compared with SPY (18.1%) in the period of the last 3 years, the downside risk of 41.2% 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:- The risk / return profile (Sharpe) over 5 years of Splunk is -0.02, which is lower, thus worse compared to the benchmark SPY (0.33) in the same period.
- Looking at ratio of return and volatility (Sharpe) in of -0.29 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (0.31).

'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.'

Which means for our asset as example:- The excess return divided by the downside deviation over 5 years of Splunk is -0.03, which is lower, thus worse compared to the benchmark SPY (0.46) in the same period.
- Looking at ratio of annual return and downside deviation in of -0.39 in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (0.43).

'Ulcer Index is a method for measuring investment risk that addresses the real concerns of investors, unlike the widely used standard deviation of return. UI is a measure of the depth and duration of drawdowns in prices from earlier highs. Using Ulcer Index instead of standard deviation can lead to very different conclusions about investment risk and risk-adjusted return, especially when evaluating strategies that seek to avoid major declines in portfolio value (market timing, dynamic asset allocation, hedge funds, etc.). The Ulcer Index was originally developed in 1987. Since then, it has been widely recognized and adopted by the investment community. According to Nelson Freeburg, editor of Formula Research, Ulcer Index is “perhaps the most fully realized statistical portrait of risk there is.'

Using this definition on our asset we see for example:- Compared with the benchmark SPY (8.91 ) in the period of the last 5 years, the Ulcer Ratio of 32 of Splunk is higher, thus worse.
- Looking at Ulcer Index in of 41 in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to SPY (11 ).

'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 reduction from previous high of -69.6 days in the last 5 years of Splunk, we see it is relatively lower, thus worse in comparison to the benchmark SPY (-33.7 days)
- Looking at maximum DrawDown in of -69.6 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 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:- The maximum days under water over 5 years of Splunk is 608 days, which is larger, thus worse compared to the benchmark SPY (271 days) in the same period.
- Compared with SPY (271 days) in the period of the last 3 years, the maximum days below previous high of 608 days is larger, thus worse.

'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.'

Using this definition on our asset we see for example:- Looking at the average days under water of 169 days in the last 5 years of Splunk, we see it is relatively greater, thus worse in comparison to the benchmark SPY (60 days)
- During the last 3 years, the average days below previous high is 256 days, which is higher, thus worse than the value of 72 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 Splunk 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.