'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.'

Using this definition on our asset we see for example:- Compared with the benchmark SPY (67.2%) in the period of the last 5 years, the total return of 188.2% of T-Mobile US is greater, thus better.
- Looking at total return, or increase in value in of 44.9% in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (50.7%).

'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 T-Mobile US is 23.6%, which is larger, thus better compared to the benchmark SPY (10.8%) in the same period.
- Compared with SPY (14.7%) in the period of the last 3 years, the annual return (CAGR) of 13.2% is lower, thus worse.

'In finance, volatility (symbol σ) is the degree of variation of a trading price series over time as measured by the standard deviation of logarithmic returns. Historic volatility measures a time series of past market prices. Implied volatility looks forward in time, being derived from the market price of a market-traded derivative (in particular, an option). Commonly, the higher the volatility, the riskier the security.'

Which means for our asset as example:- The volatility over 5 years of T-Mobile US is 25.2%, which is larger, thus worse compared to the benchmark SPY (13.5%) in the same period.
- Looking at historical 30 days volatility in of 23% in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to SPY (12.8%).

'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:- Compared with the benchmark SPY (14.8%) in the period of the last 5 years, the downside risk of 26% of T-Mobile US is higher, thus worse.
- During the last 3 years, the downside risk is 22.9%, which is higher, thus worse than the value of 14.7% from the benchmark.

'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.'

Using this definition on our asset we see for example:- Looking at the risk / return profile (Sharpe) of 0.84 in the last 5 years of T-Mobile US, we see it is relatively higher, thus better in comparison to the benchmark SPY (0.62)
- During the last 3 years, the ratio of return and volatility (Sharpe) is 0.46, which is lower, thus worse than the value of 0.95 from the benchmark.

'The Sortino ratio measures the risk-adjusted return of an investment asset, portfolio, or strategy. It is a modification of the Sharpe ratio but penalizes only those returns falling below a user-specified target or required rate of return, while the Sharpe ratio penalizes both upside and downside volatility equally. Though both ratios measure an investment's risk-adjusted return, they do so in significantly different ways that will frequently lead to differing conclusions as to the true nature of the investment's return-generating efficiency. The Sortino ratio is used as a way to compare the risk-adjusted performance of programs with differing risk and return profiles. In general, risk-adjusted returns seek to normalize the risk across programs and then see which has the higher return unit per risk.'

Using this definition on our asset we see for example:- Looking at the downside risk / excess return profile of 0.81 in the last 5 years of T-Mobile US, we see it is relatively greater, thus better in comparison to the benchmark SPY (0.56)
- Compared with SPY (0.83) in the period of the last 3 years, the downside risk / excess return profile of 0.47 is smaller, thus worse.

'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:- Compared with the benchmark SPY (3.99 ) in the period of the last 5 years, the Ulcer Index of 7.06 of T-Mobile US is greater, thus worse.
- Looking at Ulcer Ratio in of 7.46 in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to SPY (4.09 ).

'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.'

Applying this definition to our asset in some examples:- Compared with the benchmark SPY (-19.3 days) in the period of the last 5 years, the maximum DrawDown of -19.7 days of T-Mobile US is smaller, thus worse.
- Compared with SPY (-19.3 days) in the period of the last 3 years, the maximum DrawDown of -19 days is greater, thus better.

'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.'

Applying this definition to our asset in some examples:- The maximum days below previous high over 5 years of T-Mobile US is 322 days, which is larger, thus worse compared to the benchmark SPY (187 days) in the same period.
- Compared with SPY (139 days) in the period of the last 3 years, the maximum days below previous high of 322 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.'

Which means for our asset as example:- Compared with the benchmark SPY (42 days) in the period of the last 5 years, the average days under water of 70 days of T-Mobile US is higher, thus worse.
- During the last 3 years, the average days below previous high is 88 days, which is greater, thus worse than the value of 36 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 T-Mobile US 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.