'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:- Looking at the total return of 67.4% in the last 5 years of Ulta Beauty, we see it is relatively smaller, thus worse in comparison to the benchmark SPY (68.1%)
- During the last 3 years, the total return, or increase in value is 76.6%, which is larger, thus better than the value of 47% from the benchmark.

'Compound annual growth rate (CAGR) is a business and investing specific term for the geometric progression ratio that provides a constant rate of return over the time period. CAGR is not an accounting term, but it is often used to describe some element of the business, for example revenue, units delivered, registered users, etc. CAGR dampens the effect of volatility of periodic returns that can render arithmetic means irrelevant. It is particularly useful to compare growth rates from various data sets of common domain such as revenue growth of companies in the same industry.'

Which means for our asset as example:- Compared with the benchmark SPY (11%) in the period of the last 5 years, the compounded annual growth rate (CAGR) of 10.9% of Ulta Beauty is lower, thus worse.
- Looking at annual performance (CAGR) in of 20.8% in the period of the last 3 years, we see it is relatively greater, thus better in comparison to SPY (13.7%).

'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 (21.4%) in the period of the last 5 years, the historical 30 days volatility of 43.5% of Ulta Beauty is greater, thus worse.
- Compared with SPY (18.7%) in the period of the last 3 years, the historical 30 days volatility of 36% is higher, thus worse.

'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.'

Which means for our asset as example:- Looking at the downside volatility of 31.1% in the last 5 years of Ulta Beauty, we see it is relatively greater, thus worse in comparison to the benchmark SPY (15.4%)
- Compared with SPY (13.3%) in the period of the last 3 years, the downside volatility of 24.7% is greater, thus worse.

'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 ratio of return and volatility (Sharpe) over 5 years of Ulta Beauty is 0.19, which is lower, thus worse compared to the benchmark SPY (0.4) in the same period.
- During the last 3 years, the Sharpe Ratio is 0.51, which is lower, thus worse than the value of 0.6 from the benchmark.

'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 excess return divided by the downside deviation of 0.27 in the last 5 years of Ulta Beauty, we see it is relatively lower, thus worse in comparison to the benchmark SPY (0.55)
- Looking at ratio of annual return and downside deviation in of 0.74 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (0.84).

'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:- Looking at the Downside risk index of 20 in the last 5 years of Ulta Beauty, we see it is relatively greater, thus worse in comparison to the benchmark SPY (9.45 )
- Looking at Ulcer Ratio in of 8.62 in the period of the last 3 years, we see it is relatively lower, thus better in comparison to SPY (10 ).

'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.'

Using this definition on our asset we see for example:- Compared with the benchmark SPY (-33.7 days) in the period of the last 5 years, the maximum reduction from previous high of -64.9 days of Ulta Beauty is smaller, thus worse.
- Compared with SPY (-24.5 days) in the period of the last 3 years, the maximum reduction from previous high of -25.4 days is lower, 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) in days.'

Using this definition on our asset we see for example:- Looking at the maximum days under water of 521 days in the last 5 years of Ulta Beauty, we see it is relatively higher, thus worse in comparison to the benchmark SPY (351 days)
- During the last 3 years, the maximum days under water is 108 days, which is smaller, thus better than the value of 351 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.'

Which means for our asset as example:- Looking at the average days below previous high of 128 days in the last 5 years of Ulta Beauty, we see it is relatively larger, thus worse in comparison to the benchmark SPY (78 days)
- Looking at average days under water in of 29 days in the period of the last 3 years, we see it is relatively smaller, thus better in comparison to SPY (101 days).

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 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.