'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.'

Which means for our asset as example:- Looking at the total return, or increase in value of 162.3% in the last 5 years of VeriSign, we see it is relatively higher, thus better in comparison to the benchmark SPY (133.2%)
- Looking at total return in of 52.8% in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (80.4%).

'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.'

Using this definition on our asset we see for example:- Compared with the benchmark SPY (18.5%) in the period of the last 5 years, the compounded annual growth rate (CAGR) of 21.3% of VeriSign is higher, thus better.
- Looking at annual performance (CAGR) in of 15.2% in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (21.8%).

'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.'

Applying this definition to our asset in some examples:- Compared with the benchmark SPY (18.7%) in the period of the last 5 years, the historical 30 days volatility of 26.7% of VeriSign is greater, thus worse.
- Looking at historical 30 days volatility in of 30.7% in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to SPY (22.4%).

'The downside volatility is similar to the volatility, or standard deviation, but only takes losing/negative periods into account.'

Which means for our asset as example:- The downside volatility over 5 years of VeriSign is 17.8%, which is higher, thus worse compared to the benchmark SPY (13.6%) in the same period.
- Compared with SPY (16.2%) in the period of the last 3 years, the downside volatility of 20.1% is higher, 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 (0.85) in the period of the last 5 years, the Sharpe Ratio of 0.7 of VeriSign is lower, thus worse.
- Compared with SPY (0.86) in the period of the last 3 years, the risk / return profile (Sharpe) of 0.41 is smaller, thus worse.

'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:- The excess return divided by the downside deviation over 5 years of VeriSign is 1.06, which is smaller, thus worse compared to the benchmark SPY (1.18) in the same period.
- During the last 3 years, the downside risk / excess return profile is 0.63, which is lower, thus worse than the value of 1.19 from the benchmark.

'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 (5.59 ) in the period of the last 5 years, the Ulcer Ratio of 7.27 of VeriSign is higher, thus worse.
- Compared with SPY (6.36 ) in the period of the last 3 years, the Ulcer Ratio of 8.76 is greater, thus worse.

'Maximum drawdown measures the loss in any losing period during a fund’s investment record. It is defined as the percent retrenchment from a fund’s peak value to the fund’s valley value. The drawdown is in effect from the time the fund’s retrenchment begins until a new fund high is reached. The maximum drawdown encompasses both the period from the fund’s peak to the fund’s valley (length), and the time from the fund’s valley to a new fund high (recovery). It measures the largest percentage drawdown that has occurred in any fund’s data record.'

Applying this definition to our asset in some examples:- Compared with the benchmark SPY (-33.7 days) in the period of the last 5 years, the maximum DrawDown of -31.6 days of VeriSign is higher, thus better.
- During the last 3 years, the maximum DrawDown is -31.6 days, which is higher, thus better than the value of -33.7 days from the benchmark.

'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:- The maximum days under water over 5 years of VeriSign is 453 days, which is larger, thus worse compared to the benchmark SPY (139 days) in the same period.
- Looking at maximum days below previous high in of 453 days in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to SPY (119 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 days under water over 5 years of VeriSign is 104 days, which is higher, thus worse compared to the benchmark SPY (32 days) in the same period.
- Compared with SPY (25 days) in the period of the last 3 years, the average days under water of 154 days is higher, thus worse.

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 VeriSign 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.