'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.'

Applying this definition to our asset in some examples:- The total return, or performance over 5 years of VeriSign is 93.5%, which is larger, thus better compared to the benchmark SPY (63%) in the same period.
- Compared with SPY (33.5%) in the period of the last 3 years, the total return of 3.4% is lower, thus worse.

'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 (10.3%) in the period of the last 5 years, the compounded annual growth rate (CAGR) of 14.1% of VeriSign is larger, thus better.
- Looking at annual performance (CAGR) in of 1.1% in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (10.1%).

'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.'

Using this definition on our asset we see for example:- The volatility over 5 years of VeriSign is 30.1%, which is larger, thus worse compared to the benchmark SPY (21.6%) in the same period.
- Looking at 30 days standard deviation in of 32.6% in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (25.1%).

'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.'

Which means for our asset as example:- Looking at the downside volatility of 20.7% in the last 5 years of VeriSign, we see it is relatively higher, thus worse in comparison to the benchmark SPY (15.6%)
- Looking at downside deviation in of 23.1% in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (18.1%).

'The Sharpe ratio is the measure of risk-adjusted return of a financial portfolio. Sharpe ratio is a measure of excess portfolio return over the risk-free rate relative to its standard deviation. Normally, the 90-day Treasury bill rate is taken as the proxy for risk-free rate. A portfolio with a higher Sharpe ratio is considered superior relative to its peers. The measure was named after William F Sharpe, a Nobel laureate and professor of finance, emeritus at Stanford University.'

Using this definition on our asset we see for example:- Looking at the Sharpe Ratio of 0.39 in the last 5 years of VeriSign, we see it is relatively larger, thus better in comparison to the benchmark SPY (0.36)
- Looking at ratio of return and volatility (Sharpe) in of -0.04 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (0.3).

'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.'

Which means for our asset as example:- Compared with the benchmark SPY (0.5) in the period of the last 5 years, the downside risk / excess return profile of 0.56 of VeriSign is higher, thus better.
- During the last 3 years, the ratio of annual return and downside deviation is -0.06, which is lower, thus worse than the value of 0.42 from the benchmark.

'Ulcer Index is a method for measuring investment risk that addresses the real concerns of investors, unlike the widely used standard deviation of return. UI is a measure of the depth and duration of drawdowns in prices from earlier highs. Using Ulcer Index instead of standard deviation can lead to very different conclusions about investment risk and risk-adjusted return, especially when evaluating strategies that seek to avoid major declines in portfolio value (market timing, dynamic asset allocation, hedge funds, etc.). The Ulcer Index was originally developed in 1987. Since then, it has been widely recognized and adopted by the investment community. According to Nelson Freeburg, editor of Formula Research, Ulcer Index is “perhaps the most fully realized statistical portrait of risk there is.'

Applying this definition to our asset in some examples:- Compared with the benchmark SPY (8.88 ) in the period of the last 5 years, the Ulcer Ratio of 14 of VeriSign is greater, thus worse.
- During the last 3 years, the Ulcer Ratio is 16 , which is higher, thus worse than the value of 11 from the benchmark.

'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.'

Using this definition on our asset we see for example:- Compared with the benchmark SPY (-33.7 days) in the period of the last 5 years, the maximum drop from peak to valley of -38.8 days of VeriSign is smaller, thus worse.
- Looking at maximum DrawDown in of -38.8 days in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (-33.7 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.'

Which means for our asset as example:- The maximum time in days below previous high water mark over 5 years of VeriSign is 453 days, which is larger, thus worse compared to the benchmark SPY (273 days) in the same period.
- Compared with SPY (273 days) in the period of the last 3 years, the maximum days below previous high of 276 days is greater, thus worse.

'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.'

Which means for our asset as example:- The average days under water over 5 years of VeriSign is 129 days, which is higher, thus worse compared to the benchmark SPY (57 days) in the same period.
- Compared with SPY (73 days) in the period of the last 3 years, the average days below previous high of 82 days is larger, 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.