'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 (67.9%) in the period of the last 5 years, the total return, or increase in value of -67.3% of Viacom is lower, thus worse.
- Looking at total return, or increase in value in of -33.7% in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (44.5%).

'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.'

Using this definition on our asset we see for example:- Looking at the annual return (CAGR) of -20.1% in the last 5 years of Viacom, we see it is relatively lower, thus worse in comparison to the benchmark SPY (10.9%)
- Compared with SPY (13.1%) in the period of the last 3 years, the annual return (CAGR) of -12.8% is smaller, thus worse.

'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:- Looking at the historical 30 days volatility of 34.9% in the last 5 years of Viacom, we see it is relatively larger, thus worse in comparison to the benchmark SPY (21.4%)
- During the last 3 years, the historical 30 days volatility is 32.4%, which is greater, thus worse than the value of 18.7% from the benchmark.

'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.'

Using this definition on our asset we see for example:- Looking at the downside deviation of 26.6% in the last 5 years of Viacom, we see it is relatively larger, thus worse in comparison to the benchmark SPY (15.4%)
- During the last 3 years, the downside volatility is 23.8%, which is greater, thus worse than the value of 13.3% from the benchmark.

'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.'

Which means for our asset as example:- The ratio of return and volatility (Sharpe) over 5 years of Viacom is -0.65, which is smaller, thus worse compared to the benchmark SPY (0.39) in the same period.
- Looking at risk / return profile (Sharpe) in of -0.47 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (0.56).

'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 ratio of annual return and downside deviation over 5 years of Viacom is -0.85, which is lower, thus worse compared to the benchmark SPY (0.55) in the same period.
- Compared with SPY (0.79) in the period of the last 3 years, the downside risk / excess return profile of -0.64 is lower, thus worse.

'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 Viacom is 52 , which is higher, thus worse compared to the benchmark SPY (9.47 ) in the same period.
- During the last 3 years, the Ulcer Index is 35 , which is higher, thus worse than the value of 10 from the benchmark.

'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.'

Applying this definition to our asset in some examples:- The maximum DrawDown over 5 years of Viacom is -72.4 days, which is lower, thus worse compared to the benchmark SPY (-33.7 days) in the same period.
- During the last 3 years, the maximum drop from peak to valley is -54.5 days, which is lower, thus worse than the value of -24.5 days from the benchmark.

'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:- Compared with the benchmark SPY (354 days) in the period of the last 5 years, the maximum days below previous high of 1245 days of Viacom is higher, thus worse.
- Compared with SPY (354 days) in the period of the last 3 years, the maximum days under water of 674 days is larger, 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 618 days in the last 5 years of Viacom, we see it is relatively higher, thus worse in comparison to the benchmark SPY (79 days)
- Looking at average days below previous high in of 310 days in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to SPY (102 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 Viacom 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.