'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:- Compared with the benchmark SPY (60.6%) in the period of the last 5 years, the total return, or performance of -63.8% of Walgreens is smaller, thus worse.
- Looking at total return, or increase in value in of -31% in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (38%).

'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%) in the period of the last 5 years, the annual performance (CAGR) of -18.4% of Walgreens is smaller, thus worse.
- Compared with SPY (11.3%) in the period of the last 3 years, the annual performance (CAGR) of -11.6% is lower, thus worse.

'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.'

Applying this definition to our asset in some examples:- Compared with the benchmark SPY (21.5%) in the period of the last 5 years, the 30 days standard deviation of 33.4% of Walgreens is greater, thus worse.
- Compared with SPY (17.9%) in the period of the last 3 years, the volatility of 30.6% is larger, thus worse.

'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 Walgreens is 24.7%, which is greater, thus worse compared to the benchmark SPY (15.5%) in the same period.
- Compared with SPY (12.5%) in the period of the last 3 years, the downside volatility of 22.1% is larger, 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.'

Applying this definition to our asset in some examples:- Compared with the benchmark SPY (0.35) in the period of the last 5 years, the ratio of return and volatility (Sharpe) of -0.63 of Walgreens is smaller, thus worse.
- Compared with SPY (0.49) in the period of the last 3 years, the risk / return profile (Sharpe) of -0.46 is lower, thus worse.

'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.'

Applying this definition to our asset in some examples:- Compared with the benchmark SPY (0.48) in the period of the last 5 years, the excess return divided by the downside deviation of -0.85 of Walgreens is smaller, thus worse.
- During the last 3 years, the ratio of annual return and downside deviation is -0.64, which is lower, thus worse than the value of 0.71 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.'

Using this definition on our asset we see for example:- The Ulcer Index over 5 years of Walgreens is 42 , which is greater, thus worse compared to the benchmark SPY (9.55 ) in the same period.
- Looking at Downside risk index in of 25 in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to SPY (10 ).

'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:- Looking at the maximum DrawDown of -69.3 days in the last 5 years of Walgreens, we see it is relatively lower, thus worse in comparison to the benchmark SPY (-33.7 days)
- During the last 3 years, the maximum drop from peak to valley is -57.4 days, which is smaller, thus worse than the value of -24.5 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). Many assume Max DD Duration is the length of time between new highs during which the Max DD (magnitude) occurred. But that isn’t always the case. The Max DD duration is the longest time between peaks, period. So it could be the time when the program also had its biggest peak to valley loss (and usually is, because the program needs a long time to recover from the largest loss), but it doesn’t have to be'

Applying this definition to our asset in some examples:- The maximum days below previous high over 5 years of Walgreens is 1207 days, which is greater, thus worse compared to the benchmark SPY (431 days) in the same period.
- Looking at maximum time in days below previous high water mark in of 621 days in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (431 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:- Looking at the average time in days below previous high water mark of 589 days in the last 5 years of Walgreens, we see it is relatively greater, thus worse in comparison to the benchmark SPY (105 days)
- Looking at average days under water in of 264 days in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to SPY (144 days).

Historical returns have been extended using synthetic data.
[Show Details]

- Note that yearly returns do not equal the sum of monthly returns due to compounding.
- Performance results of Walgreens 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.