'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 increase in value over 5 years of Willis Towers Watson is 96.2%, which is larger, thus better compared to the benchmark SPY (63%) in the same period.
- Looking at total return, or increase in value in of 59.1% in the period of the last 3 years, we see it is relatively larger, thus better in comparison to SPY (33.5%).

'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.'

Applying this definition to our asset in some examples:- Compared with the benchmark SPY (10.3%) in the period of the last 5 years, the annual performance (CAGR) of 14.4% of Willis Towers Watson is larger, thus better.
- Looking at compounded annual growth rate (CAGR) in of 16.7% in the period of the last 3 years, we see it is relatively greater, thus better 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.'

Applying this definition to our asset in some examples:- The 30 days standard deviation over 5 years of Willis Towers Watson is 25.5%, which is larger, thus worse compared to the benchmark SPY (21.6%) in the same period.
- Looking at historical 30 days volatility in of 29.7% in the period of the last 3 years, we see it is relatively higher, 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.'

Applying this definition to our asset in some examples:- Looking at the downside volatility of 17.8% in the last 5 years of Willis Towers Watson, we see it is relatively greater, thus worse in comparison to the benchmark SPY (15.6%)
- Compared with SPY (18.1%) in the period of the last 3 years, the downside volatility of 20.7% 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 (0.36) in the period of the last 5 years, the risk / return profile (Sharpe) of 0.47 of Willis Towers Watson is larger, thus better.
- Compared with SPY (0.3) in the period of the last 3 years, the risk / return profile (Sharpe) of 0.48 is higher, thus better.

'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:- The ratio of annual return and downside deviation over 5 years of Willis Towers Watson is 0.67, which is greater, thus better compared to the benchmark SPY (0.5) in the same period.
- Looking at downside risk / excess return profile in of 0.68 in the period of the last 3 years, we see it is relatively larger, thus better in comparison to SPY (0.42).

'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 Willis Towers Watson is 7.99 , which is lower, thus better compared to the benchmark SPY (8.88 ) in the same period.
- During the last 3 years, the Downside risk index is 9.23 , which is lower, thus better than the value of 11 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.'

Which means for our asset as example:- Looking at the maximum DrawDown of -32.9 days in the last 5 years of Willis Towers Watson, we see it is relatively larger, thus better in comparison to the benchmark SPY (-33.7 days)
- Looking at maximum drop from peak to valley in of -32.9 days in the period of the last 3 years, we see it is relatively higher, thus better in comparison to SPY (-33.7 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:- The maximum days below previous high over 5 years of Willis Towers Watson is 252 days, which is smaller, thus better 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 252 days is smaller, thus better.

'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 60 days in the last 5 years of Willis Towers Watson, we see it is relatively greater, thus worse in comparison to the benchmark SPY (57 days)
- Looking at average days under water in of 77 days in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (73 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 Willis Towers Watson 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.