'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 (68.2%) in the period of the last 5 years, the total return, or increase in value of 221.3% of Ulta Beauty is higher, thus better.
- Compared with SPY (47.7%) in the period of the last 3 years, the total return, or increase in value of 75.1% is greater, thus better.

'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 (11%) in the period of the last 5 years, the annual performance (CAGR) of 26.3% of Ulta Beauty is larger, thus better.
- During the last 3 years, the annual return (CAGR) is 20.5%, which is larger, thus better than the value of 13.9% 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.'

Applying this definition to our asset in some examples:- Compared with the benchmark SPY (13.2%) in the period of the last 5 years, the 30 days standard deviation of 30.7% of Ulta Beauty is higher, thus worse.
- Looking at volatility in of 29.6% in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (12.4%).

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

Applying this definition to our asset in some examples:- Compared with the benchmark SPY (14.6%) in the period of the last 5 years, the downside deviation of 28.3% of Ulta Beauty is larger, thus worse.
- Looking at downside risk in of 30% in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to SPY (14%).

'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.'

Which means for our asset as example:- The risk / return profile (Sharpe) over 5 years of Ulta Beauty is 0.78, which is greater, thus better compared to the benchmark SPY (0.64) in the same period.
- During the last 3 years, the ratio of return and volatility (Sharpe) is 0.61, which is lower, thus worse than the value of 0.92 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:- The downside risk / excess return profile over 5 years of Ulta Beauty is 0.84, which is larger, thus better compared to the benchmark SPY (0.58) in the same period.
- Looking at excess return divided by the downside deviation in of 0.6 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (0.81).

'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.'

Using this definition on our asset we see for example:- Compared with the benchmark SPY (3.95 ) in the period of the last 5 years, the Downside risk index of 15 of Ulta Beauty is greater, thus better.
- Looking at Ulcer Index in of 18 in the period of the last 3 years, we see it is relatively larger, thus better in comparison to SPY (4 ).

'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.'

Which means for our asset as example:- The maximum drop from peak to valley over 5 years of Ulta Beauty is -39.4 days, which is lower, thus worse compared to the benchmark SPY (-19.3 days) in the same period.
- Looking at maximum drop from peak to valley in of -39.4 days in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (-19.3 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 Ulta Beauty is 364 days, which is higher, thus worse compared to the benchmark SPY (187 days) in the same period.
- Compared with SPY (131 days) in the period of the last 3 years, the maximum days below previous high of 364 days is greater, 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 under water of 79 days in the last 5 years of Ulta Beauty, we see it is relatively higher, thus worse in comparison to the benchmark SPY (39 days)
- During the last 3 years, the average time in days below previous high water mark is 113 days, which is greater, thus worse than the value of 33 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 Ulta Beauty 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.