'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, or performance of 111.1% in the last 5 years of UnitedHealth, we see it is relatively greater, thus better in comparison to the benchmark SPY (80%)
- During the last 3 years, the total return, or increase in value is 71.4%, which is larger, thus better than the value of 31.8% 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.'

Applying this definition to our asset in some examples:- The compounded annual growth rate (CAGR) over 5 years of UnitedHealth is 16.2%, which is larger, thus better compared to the benchmark SPY (12.5%) in the same period.
- Looking at annual return (CAGR) in of 19.7% in the period of the last 3 years, we see it is relatively higher, thus better in comparison to SPY (9.7%).

'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.'

Which means for our asset as example:- The 30 days standard deviation over 5 years of UnitedHealth is 29.7%, which is higher, thus worse compared to the benchmark SPY (21.3%) in the same period.
- Compared with SPY (17.6%) in the period of the last 3 years, the historical 30 days volatility of 21.6% is higher, thus worse.

'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.'

Applying this definition to our asset in some examples:- The downside risk over 5 years of UnitedHealth is 20.2%, which is higher, thus worse compared to the benchmark SPY (15.3%) in the same period.
- During the last 3 years, the downside deviation is 14.5%, which is greater, thus worse than the value of 12.3% 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:- Compared with the benchmark SPY (0.47) in the period of the last 5 years, the ratio of return and volatility (Sharpe) of 0.46 of UnitedHealth is lower, thus worse.
- During the last 3 years, the ratio of return and volatility (Sharpe) is 0.8, which is higher, thus better than the value of 0.41 from the benchmark.

'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.'

Using this definition on our asset we see for example:- The downside risk / excess return profile over 5 years of UnitedHealth is 0.68, which is greater, thus better compared to the benchmark SPY (0.66) in the same period.
- Compared with SPY (0.58) in the period of the last 3 years, the ratio of annual return and downside deviation of 1.19 is larger, thus better.

'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.'

Using this definition on our asset we see for example:- The Ulcer Index over 5 years of UnitedHealth is 9.21 , which is lower, thus better compared to the benchmark SPY (9.43 ) in the same period.
- During the last 3 years, the Ulcer Ratio is 7.3 , which is lower, thus better than the value of 10 from the benchmark.

'Maximum drawdown is defined as the peak-to-trough decline of an investment during a specific period. It is usually quoted as a percentage of the peak value. The maximum drawdown can be calculated based on absolute returns, in order to identify strategies that suffer less during market downturns, such as low-volatility strategies. However, the maximum drawdown can also be calculated based on returns relative to a benchmark index, for identifying strategies that show steady outperformance over time.'

Applying this definition to our asset in some examples:- Looking at the maximum drop from peak to valley of -35.9 days in the last 5 years of UnitedHealth, we see it is relatively lower, thus worse in comparison to the benchmark SPY (-33.7 days)
- Compared with SPY (-24.5 days) in the period of the last 3 years, the maximum drop from peak to valley of -18.5 days is higher, thus better.

'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:- The maximum days under water over 5 years of UnitedHealth is 271 days, which is smaller, thus better compared to the benchmark SPY (480 days) in the same period.
- Looking at maximum time in days below previous high water mark in of 271 days in the period of the last 3 years, we see it is relatively smaller, thus better in comparison to SPY (480 days).

'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 (119 days) in the period of the last 5 years, the average days below previous high of 70 days of UnitedHealth is smaller, thus better.
- During the last 3 years, the average days below previous high is 67 days, which is smaller, thus better than the value of 174 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 UnitedHealth 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.