'The total return on a portfolio of investments takes into account not only the capital appreciation on the portfolio, but also the income received on the portfolio. The income typically consists of interest, dividends, and securities lending fees. This contrasts with the price return, which takes into account only the capital gain on an investment.'

Applying this definition to our asset in some examples:- The total return over 5 years of Willis Towers Watson is 96.2%, which is higher, thus better compared to the benchmark SPY (61.3%) in the same period.
- Compared with SPY (31.6%) in the period of the last 3 years, the total return of 59.1% is larger, thus better.

'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:- Looking at the annual return (CAGR) of 14.4% in the last 5 years of Willis Towers Watson, we see it is relatively higher, thus better in comparison to the benchmark SPY (10%)
- Looking at annual performance (CAGR) in of 16.7% in the period of the last 3 years, we see it is relatively larger, thus better in comparison to SPY (9.6%).

'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 Willis Towers Watson is 25.5%, which is larger, thus worse compared to the benchmark SPY (20.8%) in the same period.
- Looking at volatility in of 29.7% in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (24%).

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

Applying this definition to our asset in some examples:- The downside risk over 5 years of Willis Towers Watson is 17.8%, which is greater, thus worse compared to the benchmark SPY (15.3%) in the same period.
- Looking at downside deviation in of 20.7% in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to SPY (17.6%).

'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 Sharpe Ratio over 5 years of Willis Towers Watson is 0.47, which is larger, thus better compared to the benchmark SPY (0.36) in the same period.
- Looking at risk / return profile (Sharpe) in of 0.48 in the period of the last 3 years, we see it is relatively larger, thus better 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.'

Applying this definition to our asset in some examples:- Compared with the benchmark SPY (0.49) in the period of the last 5 years, the downside risk / excess return profile of 0.67 of Willis Towers Watson is larger, thus better.
- Looking at excess return divided by the downside deviation in of 0.68 in the period of the last 3 years, we see it is relatively larger, thus better in comparison to SPY (0.4).

'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.'

Using this definition on our asset we see for example:- Looking at the Ulcer Ratio of 7.99 in the last 5 years of Willis Towers Watson, we see it is relatively higher, thus worse in comparison to the benchmark SPY (7.61 )
- Looking at Downside risk index in of 9.23 in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (8.93 ).

'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:- Looking at the maximum DrawDown of -32.9 days in the last 5 years of Willis Towers Watson, we see it is relatively higher, thus better in comparison to the benchmark SPY (-33.7 days)
- Compared with SPY (-33.7 days) in the period of the last 3 years, the maximum drop from peak to valley of -32.9 days is larger, thus better.

'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.'

Applying this definition to our asset in some examples:- The maximum days below previous high over 5 years of Willis Towers Watson is 252 days, which is greater, thus worse compared to the benchmark SPY (185 days) in the same period.
- Compared with SPY (185 days) in the period of the last 3 years, the maximum days below previous high of 252 days is larger, thus worse.

'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.'

Which means for our asset as example:- Looking at the average days below previous high of 60 days in the last 5 years of Willis Towers Watson, we see it is relatively higher, thus worse in comparison to the benchmark SPY (46 days)
- During the last 3 years, the average days under water is 77 days, which is larger, thus worse than the value of 44 days from the benchmark.

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 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.