'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.'

Applying this definition to our asset in some examples:- The total return over 5 years of is 26.2%, which is smaller, thus worse compared to the benchmark SPY (68.1%) in the same period.
- Looking at total return, or performance in of 35.5% in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (47.1%).

'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.'

Applying this definition to our asset in some examples:- Looking at the annual performance (CAGR) of 4.8% in the last 5 years of , we see it is relatively smaller, thus worse in comparison to the benchmark SPY (11%)
- During the last 3 years, the compounded annual growth rate (CAGR) is 10.7%, which is lower, thus worse than the value of 13.8% from the benchmark.

'In finance, volatility (symbol σ) is the degree of variation of a trading price series over time as measured by the standard deviation of logarithmic returns. Historic volatility measures a time series of past market prices. Implied volatility looks forward in time, being derived from the market price of a market-traded derivative (in particular, an option). Commonly, the higher the volatility, the riskier the security.'

Which means for our asset as example:- The 30 days standard deviation over 5 years of is 15.1%, which is higher, thus worse compared to the benchmark SPY (13.2%) in the same period.
- Looking at 30 days standard deviation in of 13.7% in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to SPY (12.4%).

'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 is 16.3%, which is greater, thus worse compared to the benchmark SPY (14.6%) in the same period.
- Compared with SPY (14%) in the period of the last 3 years, the downside deviation of 15.2% is greater, thus worse.

'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.'

Which means for our asset as example:- Compared with the benchmark SPY (0.64) in the period of the last 5 years, the ratio of return and volatility (Sharpe) of 0.15 of is smaller, thus worse.
- Looking at risk / return profile (Sharpe) in of 0.6 in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (0.91).

'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.'

Using this definition on our asset we see for example:- Compared with the benchmark SPY (0.58) in the period of the last 5 years, the downside risk / excess return profile of 0.14 of is lower, thus worse.
- Looking at ratio of annual return and downside deviation in of 0.54 in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (0.8).

'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:- The Downside risk index over 5 years of is 15 , which is higher, thus better compared to the benchmark SPY (3.95 ) in the same period.
- Compared with SPY (4 ) in the period of the last 3 years, the Ulcer Ratio of 10 is larger, thus better.

'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.'

Which means for our asset as example:- Looking at the maximum DrawDown of -35.6 days in the last 5 years of , we see it is relatively lower, thus worse in comparison to the benchmark SPY (-19.3 days)
- Looking at maximum drop from peak to valley in of -26.3 days in the period of the last 3 years, we see it is relatively smaller, 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.'

Using this definition on our asset we see for example:- Compared with the benchmark SPY (187 days) in the period of the last 5 years, the maximum days below previous high of 732 days of is higher, thus worse.
- Looking at maximum time in days below previous high water mark in of 285 days in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to SPY (131 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.'

Applying this definition to our asset in some examples:- The average time in days below previous high water mark over 5 years of is 262 days, which is higher, thus worse compared to the benchmark SPY (39 days) in the same period.
- Looking at average days under water in of 75 days in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (33 days).

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 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.