'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:- Compared with the benchmark SPY (61.3%) in the period of the last 5 years, the total return of 242.3% of Yahoo is larger, thus better.
- During the last 3 years, the total return is 51%, which is larger, thus better than the value of 31.6% from the benchmark.

'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.'

Using this definition on our asset we see for example:- Looking at the annual performance (CAGR) of 28% in the last 5 years of Yahoo, we see it is relatively larger, thus better in comparison to the benchmark SPY (10%)
- Looking at compounded annual growth rate (CAGR) in of 14.7% in the period of the last 3 years, we see it is relatively higher, thus better in comparison to SPY (9.6%).

'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.'

Which means for our asset as example:- Compared with the benchmark SPY (20.8%) in the period of the last 5 years, the volatility of 28.5% of Yahoo is larger, thus worse.
- Looking at historical 30 days volatility in of 28.8% in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to SPY (24%).

'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:- Compared with the benchmark SPY (15.3%) in the period of the last 5 years, the downside volatility of 19.3% of Yahoo is higher, thus worse.
- Looking at downside deviation in of 19.9% 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 (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.'

Using this definition on our asset we see for example:- Looking at the ratio of return and volatility (Sharpe) of 0.89 in the last 5 years of Yahoo, we see it is relatively larger, thus better in comparison to the benchmark SPY (0.36)
- During the last 3 years, the ratio of return and volatility (Sharpe) is 0.42, which is higher, thus better than the value of 0.3 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.'

Which means for our asset as example:- Looking at the ratio of annual return and downside deviation of 1.32 in the last 5 years of Yahoo, we see it is relatively greater, thus better in comparison to the benchmark SPY (0.49)
- Looking at ratio of annual return and downside deviation in of 0.61 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.'

Applying this definition to our asset in some examples:- Looking at the Ulcer Index of 19 in the last 5 years of Yahoo, we see it is relatively larger, thus worse in comparison to the benchmark SPY (7.61 )
- Compared with SPY (8.93 ) in the period of the last 3 years, the Ulcer Ratio of 24 is higher, 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 (-33.7 days) in the period of the last 5 years, the maximum DrawDown of -48.9 days of Yahoo is lower, thus worse.
- Looking at maximum DrawDown in of -48.9 days in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (-33.7 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) in days.'

Which means for our asset as example:- Looking at the maximum time in days below previous high water mark of 642 days in the last 5 years of Yahoo, we see it is relatively larger, thus worse in comparison to the benchmark SPY (185 days)
- Looking at maximum time in days below previous high water mark in of 642 days in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (185 days).

'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 194 days in the last 5 years of Yahoo, we see it is relatively greater, thus worse in comparison to the benchmark SPY (46 days)
- Looking at average days below previous high in of 285 days in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to SPY (44 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 Yahoo 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.