'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.'

Which means for our asset as example:- The total return, or increase in value over 5 years of Wynn Resorts is -27.2%, which is lower, thus worse compared to the benchmark SPY (74.4%) in the same period.
- Looking at total return in of 26.3% in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (47.2%).

'Compound annual growth rate (CAGR) is a business and investing specific term for the geometric progression ratio that provides a constant rate of return over the time period. CAGR is not an accounting term, but it is often used to describe some element of the business, for example revenue, units delivered, registered users, etc. CAGR dampens the effect of volatility of periodic returns that can render arithmetic means irrelevant. It is particularly useful to compare growth rates from various data sets of common domain such as revenue growth of companies in the same industry.'

Applying this definition to our asset in some examples:- The annual return (CAGR) over 5 years of Wynn Resorts is -6.2%, which is lower, thus worse compared to the benchmark SPY (11.8%) in the same period.
- Looking at annual performance (CAGR) in of 8.1% in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (13.8%).

'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:- The 30 days standard deviation over 5 years of Wynn Resorts is 44.3%, which is greater, thus worse compared to the benchmark SPY (13.6%) in the same period.
- Looking at 30 days standard deviation in of 39% in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (12.9%).

'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.'

Using this definition on our asset we see for example:- Looking at the downside volatility of 42.2% in the last 5 years of Wynn Resorts, we see it is relatively larger, thus worse in comparison to the benchmark SPY (14.9%)
- Compared with SPY (14.6%) in the period of the last 3 years, the downside deviation of 40.3% is higher, thus worse.

'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.'

Applying this definition to our asset in some examples:- Looking at the risk / return profile (Sharpe) of -0.2 in the last 5 years of Wynn Resorts, we see it is relatively lower, thus worse in comparison to the benchmark SPY (0.68)
- During the last 3 years, the ratio of return and volatility (Sharpe) is 0.14, which is lower, thus worse than the value of 0.88 from the benchmark.

'The Sortino ratio measures the risk-adjusted return of an investment asset, portfolio, or strategy. It is a modification of the Sharpe ratio but penalizes only those returns falling below a user-specified target or required rate of return, while the Sharpe ratio penalizes both upside and downside volatility equally. Though both ratios measure an investment's risk-adjusted return, they do so in significantly different ways that will frequently lead to differing conclusions as to the true nature of the investment's return-generating efficiency. The Sortino ratio is used as a way to compare the risk-adjusted performance of programs with differing risk and return profiles. In general, risk-adjusted returns seek to normalize the risk across programs and then see which has the higher return unit per risk.'

Applying this definition to our asset in some examples:- The excess return divided by the downside deviation over 5 years of Wynn Resorts is -0.21, which is smaller, thus worse compared to the benchmark SPY (0.62) in the same period.
- Looking at downside risk / excess return profile in of 0.14 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (0.77).

'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.'

Which means for our asset as example:- The Downside risk index over 5 years of Wynn Resorts is 39 , which is higher, thus worse compared to the benchmark SPY (3.99 ) in the same period.
- Compared with SPY (4.1 ) in the period of the last 3 years, the Ulcer Ratio of 26 is larger, 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 (-19.3 days) in the period of the last 5 years, the maximum reduction from previous high of -72 days of Wynn Resorts is lower, thus worse.
- Compared with SPY (-19.3 days) in the period of the last 3 years, the maximum DrawDown of -53.6 days is lower, thus worse.

'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.'

Which means for our asset as example:- Looking at the maximum time in days below previous high water mark of 808 days in the last 5 years of Wynn Resorts, we see it is relatively higher, thus worse in comparison to the benchmark SPY (187 days)
- During the last 3 years, the maximum days below previous high is 359 days, which is greater, thus worse than the value of 139 days from the benchmark.

'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 317 days in the last 5 years of Wynn Resorts, we see it is relatively greater, thus worse in comparison to the benchmark SPY (41 days)
- During the last 3 years, the average days below previous high is 102 days, which is larger, thus worse than the value of 36 days from the benchmark.

Historical returns have been extended using synthetic data.
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- "Year" returns in the table above are not equal to the sum of monthly returns due to compounding.
- Performance results of Wynn Resorts 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.