'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.'

Using this definition on our asset we see for example:- Compared with the benchmark SPY (59.9%) in the period of the last 5 years, the total return, or performance of -32.3% of Exxon Mobil is smaller, thus worse.
- Looking at total return, or increase in value in of -33.9% in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (34.2%).

'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.'

Which means for our asset as example:- Compared with the benchmark SPY (9.8%) in the period of the last 5 years, the annual performance (CAGR) of -7.5% of Exxon Mobil is smaller, thus worse.
- Compared with SPY (10.3%) in the period of the last 3 years, the compounded annual growth rate (CAGR) of -12.9% is smaller, thus worse.

'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 historical 30 days volatility over 5 years of Exxon Mobil is 25.9%, which is higher, thus worse compared to the benchmark SPY (18.7%) in the same period.
- During the last 3 years, the historical 30 days volatility is 29.1%, which is higher, thus worse than the value of 21.5% from the benchmark.

'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:- Looking at the downside deviation of 18.7% in the last 5 years of Exxon Mobil, we see it is relatively higher, thus worse in comparison to the benchmark SPY (13.6%)
- Looking at downside volatility in of 21.4% in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to SPY (15.7%).

'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 (0.39) in the period of the last 5 years, the risk / return profile (Sharpe) of -0.39 of Exxon Mobil is lower, thus worse.
- During the last 3 years, the risk / return profile (Sharpe) is -0.53, which is smaller, thus worse than the value of 0.36 from the benchmark.

'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.'

Using this definition on our asset we see for example:- Compared with the benchmark SPY (0.54) in the period of the last 5 years, the downside risk / excess return profile of -0.53 of Exxon Mobil is lower, thus worse.
- Looking at excess return divided by the downside deviation in of -0.72 in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (0.5).

'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.'

Which means for our asset as example:- Looking at the Downside risk index of 15 in the last 5 years of Exxon Mobil, we see it is relatively larger, thus worse in comparison to the benchmark SPY (5.81 )
- Looking at Ulcer Ratio in of 18 in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to SPY (6.86 ).

'Maximum drawdown is defined as the peak-to-trough decline of an investment during a specific period. It is usually quoted as a percentage of the peak value. The maximum drawdown can be calculated based on absolute returns, in order to identify strategies that suffer less during market downturns, such as low-volatility strategies. However, the maximum drawdown can also be calculated based on returns relative to a benchmark index, for identifying strategies that show steady outperformance over time.'

Which means for our asset as example:- Compared with the benchmark SPY (-33.7 days) in the period of the last 5 years, the maximum drop from peak to valley of -61 days of Exxon Mobil is lower, thus worse.
- Compared with SPY (-33.7 days) in the period of the last 3 years, the maximum DrawDown of -61 days is smaller, thus worse.

'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.'

Which means for our asset as example:- The maximum days below previous high over 5 years of Exxon Mobil is 551 days, which is larger, thus worse compared to the benchmark SPY (187 days) in the same period.
- Looking at maximum days below previous high in of 423 days in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to SPY (139 days).

'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 under water of 205 days in the last 5 years of Exxon Mobil, we see it is relatively larger, thus worse in comparison to the benchmark SPY (43 days)
- Compared with SPY (39 days) in the period of the last 3 years, the average time in days below previous high water mark of 147 days is larger, thus worse.

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.