'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.'

Using this definition on our asset we see for example:- The total return, or performance over 5 years of T-Mobile US is 173.1%, which is larger, thus better compared to the benchmark SPY (64.1%) in the same period.
- Looking at total return in of 75.5% in the period of the last 3 years, we see it is relatively greater, thus better in comparison to SPY (48.1%).

'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:- Compared with the benchmark SPY (10.4%) in the period of the last 5 years, the compounded annual growth rate (CAGR) of 22.3% of T-Mobile US is larger, thus better.
- During the last 3 years, the compounded annual growth rate (CAGR) is 20.6%, which is greater, thus better than the value of 14% 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.'

Applying this definition to our asset in some examples:- Compared with the benchmark SPY (13.6%) in the period of the last 5 years, the 30 days standard deviation of 25.5% of T-Mobile US is greater, thus worse.
- Looking at 30 days standard deviation in of 23.9% in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to SPY (12.8%).

'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.'

Using this definition on our asset we see for example:- Looking at the downside volatility of 26.2% in the last 5 years of T-Mobile US, we see it is relatively higher, thus worse in comparison to the benchmark SPY (14.9%)
- During the last 3 years, the downside deviation is 23.1%, which is larger, thus worse than the value of 14.5% 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.'

Applying this definition to our asset in some examples:- The ratio of return and volatility (Sharpe) over 5 years of T-Mobile US is 0.77, which is higher, thus better compared to the benchmark SPY (0.58) in the same period.
- Looking at risk / return profile (Sharpe) in of 0.76 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (0.9).

'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 downside risk / excess return profile of 0.75 in the last 5 years of T-Mobile US, we see it is relatively larger, thus better in comparison to the benchmark SPY (0.53)
- During the last 3 years, the downside risk / excess return profile is 0.78, which is lower, thus worse than the value of 0.79 from the benchmark.

'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 T-Mobile US is 7.18 , which is higher, thus worse compared to the benchmark SPY (4.02 ) in the same period.
- During the last 3 years, the Downside risk index is 7.34 , which is larger, thus worse than the value of 4.09 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.'

Using this definition on our asset we see for example:- The maximum DrawDown over 5 years of T-Mobile US is -19.7 days, which is lower, thus worse compared to the benchmark SPY (-19.3 days) in the same period.
- During the last 3 years, the maximum DrawDown is -19 days, which is larger, thus better than the value of -19.3 days from the benchmark.

'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 (187 days) in the period of the last 5 years, the maximum days below previous high of 322 days of T-Mobile US is greater, thus worse.
- During the last 3 years, the maximum days under water is 322 days, which is higher, thus worse than the value of 139 days from the benchmark.

'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 time in days below previous high water mark of 70 days in the last 5 years of T-Mobile US, we see it is relatively higher, thus worse in comparison to the benchmark SPY (41 days)
- During the last 3 years, the average time in days below previous high water mark is 85 days, which is larger, thus worse than the value of 35 days from the benchmark.

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 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.