'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.'

Applying this definition to our asset in some examples:- The total return, or performance over 5 years of Exxon Mobil is -3%, which is lower, thus worse compared to the benchmark SPY (74.4%) in the same period.
- Looking at total return, or performance in of -13.8% in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (48.6%).

'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:- Looking at the annual return (CAGR) of -0.6% in the last 5 years of Exxon Mobil, we see it is relatively lower, thus worse in comparison to the benchmark SPY (11.8%)
- During the last 3 years, the annual return (CAGR) is -4.8%, which is lower, thus worse than the value of 14.1% from the benchmark.

'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.'

Using this definition on our asset we see for example:- The 30 days standard deviation over 5 years of Exxon Mobil is 19.1%, which is larger, thus worse compared to the benchmark SPY (13.5%) in the same period.
- Compared with SPY (12.8%) in the period of the last 3 years, the volatility of 17.7% is higher, thus worse.

'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:- The downside risk over 5 years of Exxon Mobil is 19.2%, which is higher, thus worse compared to the benchmark SPY (14.8%) in the same period.
- During the last 3 years, the downside risk is 18.5%, which is greater, thus worse than the value of 14.6% from the benchmark.

'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.'

Which means for our asset as example:- The Sharpe Ratio over 5 years of Exxon Mobil is -0.16, which is smaller, thus worse compared to the benchmark SPY (0.69) in the same period.
- During the last 3 years, the risk / return profile (Sharpe) is -0.41, which is lower, thus worse than the value of 0.91 from the benchmark.

'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.'

Using this definition on our asset we see for example:- Compared with the benchmark SPY (0.63) in the period of the last 5 years, the downside risk / excess return profile of -0.16 of Exxon Mobil is lower, thus worse.
- Compared with SPY (0.79) in the period of the last 3 years, the ratio of annual return and downside deviation of -0.4 is smaller, thus worse.

'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 Ratio over 5 years of Exxon Mobil is 11 , which is greater, thus worse compared to the benchmark SPY (3.99 ) in the same period.
- During the last 3 years, the Ulcer Ratio is 11 , which is higher, thus worse than the value of 4.09 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 drop from peak to valley of -25.5 days in the last 5 years of Exxon Mobil, we see it is relatively smaller, thus worse in comparison to the benchmark SPY (-19.3 days)
- Looking at maximum DrawDown in of -23.6 days in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (-19.3 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). 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:- Looking at the maximum days below previous high of 860 days in the last 5 years of Exxon Mobil, we see it is relatively higher, thus worse in comparison to the benchmark SPY (187 days)
- Compared with SPY (139 days) in the period of the last 3 years, the maximum days below previous high of 446 days is higher, 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:- Looking at the average time in days below previous high water mark of 348 days in the last 5 years of Exxon Mobil, we see it is relatively higher, thus worse in comparison to the benchmark SPY (42 days)
- Looking at average days below previous high in of 195 days in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to SPY (36 days).

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 Exxon Mobil 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.