'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:- Compared with the benchmark SPY (66.7%) in the period of the last 5 years, the total return, or increase in value of 64.2% of Skyworks Solutions is lower, thus worse.
- During the last 3 years, the total return is 22.9%, which is lower, thus worse than the value of 46% from the benchmark.

'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:- Looking at the annual return (CAGR) of 10.4% in the last 5 years of Skyworks Solutions, we see it is relatively lower, thus worse in comparison to the benchmark SPY (10.8%)
- Looking at compounded annual growth rate (CAGR) in of 7.1% in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (13.5%).

'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.'

Applying this definition to our asset in some examples:- The historical 30 days volatility over 5 years of Skyworks Solutions is 35.4%, which is larger, thus worse compared to the benchmark SPY (13.4%) in the same period.
- During the last 3 years, the 30 days standard deviation is 32.1%, which is higher, thus worse than the value of 12.3% from the benchmark.

'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 37.2% in the last 5 years of Skyworks Solutions, we see it is relatively larger, thus worse in comparison to the benchmark SPY (14.6%)
- Looking at downside risk in of 33.7% in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (13.9%).

'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.'

Using this definition on our asset we see for example:- The Sharpe Ratio over 5 years of Skyworks Solutions is 0.22, which is smaller, thus worse compared to the benchmark SPY (0.62) in the same period.
- Compared with SPY (0.89) in the period of the last 3 years, the ratio of return and volatility (Sharpe) of 0.14 is smaller, 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.'

Which means for our asset as example:- The downside risk / excess return profile over 5 years of Skyworks Solutions is 0.21, which is lower, thus worse compared to the benchmark SPY (0.57) in the same period.
- Looking at ratio of annual return and downside deviation in of 0.14 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (0.79).

'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:- The Ulcer Ratio over 5 years of Skyworks Solutions is 23 , which is larger, thus worse compared to the benchmark SPY (3.99 ) in the same period.
- Looking at Ulcer Index in of 19 in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to SPY (4.04 ).

'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.'

Using this definition on our asset we see for example:- Compared with the benchmark SPY (-19.3 days) in the period of the last 5 years, the maximum reduction from previous high of -49.1 days of Skyworks Solutions is lower, thus worse.
- Compared with SPY (-19.3 days) in the period of the last 3 years, the maximum reduction from previous high of -46.8 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). Many assume Max DD Duration is the length of time between new highs during which the Max DD (magnitude) occurred. But that isn’t always the case. The Max DD duration is the longest time between peaks, period. So it could be the time when the program also had its biggest peak to valley loss (and usually is, because the program needs a long time to recover from the largest loss), but it doesn’t have to be'

Applying this definition to our asset in some examples:- Compared with the benchmark SPY (187 days) in the period of the last 5 years, the maximum days below previous high of 490 days of Skyworks Solutions is greater, thus worse.
- Compared with SPY (139 days) in the period of the last 3 years, the maximum days under water of 427 days is higher, 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.'

Applying this definition to our asset in some examples:- Looking at the average days below previous high of 182 days in the last 5 years of Skyworks Solutions, we see it is relatively greater, thus worse in comparison to the benchmark SPY (41 days)
- Looking at average days under water in of 139 days in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to SPY (36 days).

Historical returns have been extended using synthetic data.
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- "Year" returns in the table above are not equal to the sum of monthly returns due to compounding.
- Performance results of Skyworks Solutions 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.