'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.'

Which means for our asset as example:- Looking at the total return, or performance of 237% in the last 5 years of Visa, we see it is relatively higher, thus better in comparison to the benchmark SPY (65.8%)
- Looking at total return, or increase in value in of 119.5% in the period of the last 3 years, we see it is relatively higher, thus better in comparison to SPY (48.8%).

'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 compounded annual growth rate (CAGR) over 5 years of Visa is 27.5%, which is higher, thus better compared to the benchmark SPY (10.6%) in the same period.
- Looking at compounded annual growth rate (CAGR) in of 30% in the period of the last 3 years, we see it is relatively greater, thus better in comparison to SPY (14.2%).

'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 (13.6%) in the period of the last 5 years, the volatility of 21% of Visa is higher, thus worse.
- Looking at 30 days standard deviation in of 19.6% in the period of the last 3 years, we see it is relatively higher, 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.'

Applying this definition to our asset in some examples:- Compared with the benchmark SPY (15%) in the period of the last 5 years, the downside deviation of 22.2% of Visa is larger, thus worse.
- Compared with SPY (14.6%) in the period of the last 3 years, the downside risk of 22.1% is larger, thus worse.

'The Sharpe ratio was developed by Nobel laureate William F. Sharpe, and is used to help investors understand the return of an investment compared to its risk. The ratio is the average return earned in excess of the risk-free rate per unit of volatility or total risk. Subtracting the risk-free rate from the mean return allows an investor to better isolate the profits associated with risk-taking activities. One intuition of this calculation is that a portfolio engaging in 'zero risk' investments, such as the purchase of U.S. Treasury bills (for which the expected return is the risk-free rate), has a Sharpe ratio of exactly zero. Generally, the greater the value of the Sharpe ratio, the more attractive the risk-adjusted return.'

Applying this definition to our asset in some examples:- Compared with the benchmark SPY (0.6) in the period of the last 5 years, the Sharpe Ratio of 1.19 of Visa is larger, thus better.
- Compared with SPY (0.91) in the period of the last 3 years, the ratio of return and volatility (Sharpe) of 1.41 is higher, thus better.

'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 ratio of annual return and downside deviation over 5 years of Visa is 1.13, which is higher, thus better compared to the benchmark SPY (0.54) in the same period.
- Compared with SPY (0.8) in the period of the last 3 years, the ratio of annual return and downside deviation of 1.25 is higher, 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.'

Applying this definition to our asset in some examples:- Compared with the benchmark SPY (4.03 ) in the period of the last 5 years, the Ulcer Ratio of 4.32 of Visa is larger, thus worse.
- During the last 3 years, the Ulcer Ratio is 3.83 , which is lower, thus better than the value of 4.1 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:- The maximum reduction from previous high over 5 years of Visa is -19.1 days, which is higher, thus better compared to the benchmark SPY (-19.3 days) in the same period.
- Looking at maximum drop from peak to valley in of -19.1 days in the period of the last 3 years, we see it is relatively larger, thus better in comparison to SPY (-19.3 days).

'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.'

Applying this definition to our asset in some examples:- Looking at the maximum days under water of 108 days in the last 5 years of Visa, we see it is relatively smaller, thus better in comparison to the benchmark SPY (187 days)
- During the last 3 years, the maximum days below previous high is 108 days, which is lower, thus better than the value of 139 days from the benchmark.

'The Average 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. 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:- Compared with the benchmark SPY (41 days) in the period of the last 5 years, the average days below previous high of 24 days of Visa is smaller, thus better.
- Looking at average time in days below previous high water mark in of 22 days in the period of the last 3 years, we see it is relatively lower, thus better in comparison to SPY (35 days).

Historical returns have been extended using synthetic data.
[Show Details]

- "Year" returns in the table above are not equal to the sum of monthly returns due to compounding.
- Performance results of Visa 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.