'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.'

Using this definition on our asset we see for example:- Looking at the total return, or performance of 96.8% in the last 5 years of ANSYS, we see it is relatively larger, thus better in comparison to the benchmark SPY (68.1%)
- Compared with SPY (47%) in the period of the last 3 years, the total return, or increase in value of 18.7% is lower, thus worse.

'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:- The compounded annual growth rate (CAGR) over 5 years of ANSYS is 14.5%, which is higher, thus better compared to the benchmark SPY (11%) in the same period.
- Looking at compounded annual growth rate (CAGR) in of 5.9% in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (13.7%).

'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.'

Using this definition on our asset we see for example:- The 30 days standard deviation over 5 years of ANSYS is 35.5%, which is larger, thus worse compared to the benchmark SPY (21.4%) in the same period.
- Compared with SPY (18.7%) in the period of the last 3 years, the 30 days standard deviation of 34.9% is greater, thus worse.

'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 deviation over 5 years of ANSYS is 24.3%, which is larger, thus worse compared to the benchmark SPY (15.4%) in the same period.
- During the last 3 years, the downside risk is 24.2%, which is higher, thus worse than the value of 13.3% from the benchmark.

'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 (0.4) in the period of the last 5 years, the Sharpe Ratio of 0.34 of ANSYS is smaller, thus worse.
- Looking at ratio of return and volatility (Sharpe) in of 0.1 in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (0.6).

'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.'

Applying this definition to our asset in some examples:- Looking at the excess return divided by the downside deviation of 0.49 in the last 5 years of ANSYS, we see it is relatively smaller, thus worse in comparison to the benchmark SPY (0.55)
- Looking at ratio of annual return and downside deviation in of 0.14 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (0.84).

'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.'

Applying this definition to our asset in some examples:- Compared with the benchmark SPY (9.45 ) in the period of the last 5 years, the Ulcer Ratio of 20 of ANSYS is greater, thus worse.
- Compared with SPY (10 ) in the period of the last 3 years, the Ulcer Index 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.'

Applying this definition to our asset in some examples:- Looking at the maximum DrawDown of -51.3 days in the last 5 years of ANSYS, we see it is relatively smaller, thus worse in comparison to the benchmark SPY (-33.7 days)
- Compared with SPY (-24.5 days) in the period of the last 3 years, the maximum reduction from previous high of -51.3 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). 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'

Using this definition on our asset we see for example:- The maximum days below previous high over 5 years of ANSYS is 356 days, which is larger, thus worse compared to the benchmark SPY (351 days) in the same period.
- During the last 3 years, the maximum days below previous high is 356 days, which is greater, thus worse than the value of 351 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.'

Which means for our asset as example:- Compared with the benchmark SPY (78 days) in the period of the last 5 years, the average time in days below previous high water mark of 87 days of ANSYS is higher, thus worse.
- Compared with SPY (101 days) in the period of the last 3 years, the average days below previous high of 116 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 ANSYS 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.