'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:- Looking at the total return, or increase in value of 242.3% in the last 5 years of Yahoo, we see it is relatively greater, thus better in comparison to the benchmark SPY (81.9%)
- Compared with SPY (46.1%) in the period of the last 3 years, the total return, or performance of 51% is greater, thus better.

'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.'

Which means for our asset as example:- Looking at the compounded annual growth rate (CAGR) of 28% in the last 5 years of Yahoo, we see it is relatively larger, thus better in comparison to the benchmark SPY (12.7%)
- Compared with SPY (13.5%) in the period of the last 3 years, the annual performance (CAGR) of 14.7% is higher, thus better.

'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:- Looking at the volatility of 28.5% in the last 5 years of Yahoo, we see it is relatively higher, thus worse in comparison to the benchmark SPY (19.8%)
- Looking at historical 30 days 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 (23%).

'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 deviation over 5 years of Yahoo is 19.3%, which is greater, thus worse compared to the benchmark SPY (14.5%) in the same period.
- During the last 3 years, the downside risk is 19.9%, which is higher, thus worse than the value of 16.8% 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.'

Applying this definition to our asset in some examples:- Looking at the Sharpe Ratio of 0.89 in the last 5 years of Yahoo, we see it is relatively higher, thus better in comparison to the benchmark SPY (0.52)
- Looking at Sharpe Ratio in of 0.42 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (0.48).

'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.'

Using this definition on our asset we see for example:- The ratio of annual return and downside deviation over 5 years of Yahoo is 1.32, which is higher, thus better compared to the benchmark SPY (0.7) in the same period.
- Compared with SPY (0.65) in the period of the last 3 years, the ratio of annual return and downside deviation of 0.61 is lower, thus worse.

'The ulcer index is a stock market risk measure or technical analysis indicator devised by Peter Martin in 1987, and published by him and Byron McCann in their 1989 book The Investors Guide to Fidelity Funds. It's designed as a measure of volatility, but only volatility in the downward direction, i.e. the amount of drawdown or retracement occurring over a period. Other volatility measures like standard deviation treat up and down movement equally, but a trader doesn't mind upward movement, it's the downside that causes stress and stomach ulcers that the index's name suggests.'

Applying this definition to our asset in some examples:- Compared with the benchmark SPY (6.08 ) in the period of the last 5 years, the Downside risk index of 19 of Yahoo is higher, thus worse.
- Compared with SPY (6.77 ) in the period of the last 3 years, the Ulcer Ratio of 24 is greater, 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.'

Which means for our asset as example:- Looking at the maximum DrawDown of -48.9 days in the last 5 years of Yahoo, we see it is relatively lower, thus worse in comparison to the benchmark SPY (-33.7 days)
- During the last 3 years, the maximum drop from peak to valley is -48.9 days, which is lower, thus worse than the value of -33.7 days from the benchmark.

'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.'

Using this definition on our asset we see for example:- The maximum days below previous high over 5 years of Yahoo is 642 days, which is larger, thus worse compared to the benchmark SPY (139 days) in the same period.
- Compared with SPY (119 days) in the period of the last 3 years, the maximum days under water of 642 days is larger, thus worse.

'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.'

Using this definition on our asset we see for example:- The average days below previous high over 5 years of Yahoo is 194 days, which is greater, thus worse compared to the benchmark SPY (35 days) in the same period.
- Compared with SPY (27 days) in the period of the last 3 years, the average days below previous high of 285 days is greater, 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.