'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:- Compared with the benchmark SPY (68.2%) in the period of the last 5 years, the total return of 49% of is lower, thus worse.
- During the last 3 years, the total return, or increase in value is 59%, which is greater, thus better than the value of 47.7% from the benchmark.

'The compound annual growth rate isn't a true return rate, but rather a representational figure. It is essentially a number that describes the rate at which an investment would have grown if it had grown the same rate every year and the profits were reinvested at the end of each year. In reality, this sort of performance is unlikely. However, CAGR can be used to smooth returns so that they may be more easily understood when compared to alternative investments.'

Using this definition on our asset we see for example:- Compared with the benchmark SPY (11%) in the period of the last 5 years, the annual performance (CAGR) of 8.3% of is lower, thus worse.
- Compared with SPY (13.9%) in the period of the last 3 years, the annual performance (CAGR) of 16.7% is higher, thus better.

'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.'

Applying this definition to our asset in some examples:- The 30 days standard deviation over 5 years of is 16%, which is larger, thus worse compared to the benchmark SPY (13.2%) in the same period.
- Compared with SPY (12.4%) in the period of the last 3 years, the volatility of 15.4% is larger, 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.'

Using this definition on our asset we see for example:- Looking at the downside deviation of 17.8% in the last 5 years of , we see it is relatively greater, thus worse in comparison to the benchmark SPY (14.6%)
- During the last 3 years, the downside risk is 17.4%, which is greater, thus worse than the value of 14% 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.'

Using this definition on our asset we see for example:- The ratio of return and volatility (Sharpe) over 5 years of is 0.36, which is lower, thus worse compared to the benchmark SPY (0.64) in the same period.
- Compared with SPY (0.92) in the period of the last 3 years, the Sharpe Ratio of 0.93 is larger, thus better.

'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.'

Applying this definition to our asset in some examples:- Compared with the benchmark SPY (0.58) in the period of the last 5 years, the ratio of annual return and downside deviation of 0.33 of is smaller, thus worse.
- During the last 3 years, the downside risk / excess return profile is 0.81, which is higher, thus better than the value of 0.81 from the benchmark.

'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.'

Which means for our asset as example:- Compared with the benchmark SPY (3.95 ) in the period of the last 5 years, the Ulcer Ratio of 7.5 of is higher, thus better.
- Looking at Ulcer Index in of 5.39 in the period of the last 3 years, we see it is relatively greater, thus better in comparison to SPY (4 ).

'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 drop from peak to valley over 5 years of is -26.6 days, which is smaller, thus worse compared to the benchmark SPY (-19.3 days) in the same period.
- Looking at maximum drop from peak to valley in of -26 days in the period of the last 3 years, we see it is relatively lower, thus worse 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.'

Using this definition on our asset we see for example:- Looking at the maximum time in days below previous high water mark of 369 days in the last 5 years of , we see it is relatively greater, thus worse in comparison to the benchmark SPY (187 days)
- Looking at maximum time in days below previous high water mark in of 137 days in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to SPY (131 days).

'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 (39 days) in the period of the last 5 years, the average time in days below previous high water mark of 82 days of is higher, thus worse.
- Looking at average days below previous high in of 25 days in the period of the last 3 years, we see it is relatively lower, thus better 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.