'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.'

Which means for our asset as example:- The total return, or performance over 5 years of Yahoo is 242.3%, which is larger, thus better compared to the benchmark SPY (80.4%) in the same period.
- During the last 3 years, the total return, or performance is 51%, which is greater, thus better than the value of 30.7% 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:- Compared with the benchmark SPY (12.6%) in the period of the last 5 years, the annual return (CAGR) of 28% of Yahoo is greater, thus better.
- Looking at annual return (CAGR) in of 14.7% in the period of the last 3 years, we see it is relatively larger, thus better in comparison to SPY (9.4%).

'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.'

Using this definition on our asset we see for example:- The historical 30 days volatility over 5 years of Yahoo is 28.5%, which is larger, thus worse compared to the benchmark SPY (21.3%) in the same period.
- Looking at volatility in of 28.8% in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to SPY (17.6%).

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

Which means for our asset as example:- The downside risk over 5 years of Yahoo is 19.3%, which is greater, thus worse compared to the benchmark SPY (15.3%) in the same period.
- Looking at downside deviation in of 19.9% in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (12.3%).

'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.'

Applying this definition to our asset in some examples:- Compared with the benchmark SPY (0.47) in the period of the last 5 years, the Sharpe Ratio of 0.89 of Yahoo is larger, thus better.
- During the last 3 years, the risk / return profile (Sharpe) is 0.42, which is greater, thus better than the value of 0.39 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 (0.66) in the period of the last 5 years, the downside risk / excess return profile of 1.32 of Yahoo is greater, thus better.
- Looking at excess return divided by the downside deviation in of 0.61 in the period of the last 3 years, we see it is relatively greater, thus better in comparison to SPY (0.56).

'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:- Compared with the benchmark SPY (9.43 ) in the period of the last 5 years, the Downside risk index of 19 of Yahoo is larger, thus worse.
- Compared with SPY (10 ) in the period of the last 3 years, the Ulcer Ratio of 24 is larger, thus worse.

'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.'

Using this definition on our asset we see for example:- The maximum reduction from previous high over 5 years of Yahoo is -48.9 days, which is smaller, thus worse compared to the benchmark SPY (-33.7 days) in the same period.
- During the last 3 years, the maximum reduction from previous high is -48.9 days, which is smaller, thus worse than the value of -24.5 days from the benchmark.

'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:- The maximum days below previous high over 5 years of Yahoo is 642 days, which is greater, thus worse compared to the benchmark SPY (479 days) in the same period.
- During the last 3 years, the maximum days under water is 642 days, which is greater, thus worse than the value of 479 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:- The average days under water over 5 years of Yahoo is 194 days, which is higher, thus worse compared to the benchmark SPY (119 days) in the same period.
- Compared with SPY (173 days) in the period of the last 3 years, the average days below previous high of 285 days is higher, 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 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.