'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:- Compared with the benchmark SPY (106.8%) in the period of the last 5 years, the total return, or performance of 442.2% of Cadence Design Systems is greater, thus better.
- Compared with SPY (71.9%) in the period of the last 3 years, the total return of 205.6% 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.'

Applying this definition to our asset in some examples:- Looking at the annual return (CAGR) of 40.3% in the last 5 years of Cadence Design Systems, we see it is relatively greater, thus better in comparison to the benchmark SPY (15.7%)
- During the last 3 years, the annual return (CAGR) is 45.1%, which is larger, thus better than the value of 19.8% from the benchmark.

'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:- Looking at the historical 30 days volatility of 32.9% in the last 5 years of Cadence Design Systems, we see it is relatively greater, thus worse in comparison to the benchmark SPY (18.9%)
- Looking at 30 days standard deviation in of 36.5% in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (21.9%).

'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:- Looking at the downside volatility of 22.1% in the last 5 years of Cadence Design Systems, we see it is relatively greater, thus worse in comparison to the benchmark SPY (13.8%)
- During the last 3 years, the downside deviation is 25.2%, which is larger, thus worse than the value of 15.9% 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.'

Using this definition on our asset we see for example:- Compared with the benchmark SPY (0.69) in the period of the last 5 years, the risk / return profile (Sharpe) of 1.15 of Cadence Design Systems is greater, thus better.
- Compared with SPY (0.79) in the period of the last 3 years, the risk / return profile (Sharpe) of 1.17 is greater, thus better.

'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.'

Which means for our asset as example:- The downside risk / excess return profile over 5 years of Cadence Design Systems is 1.71, which is higher, thus better compared to the benchmark SPY (0.95) in the same period.
- Looking at excess return divided by the downside deviation in of 1.69 in the period of the last 3 years, we see it is relatively higher, thus better in comparison to SPY (1.09).

'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.'

Using this definition on our asset we see for example:- Compared with the benchmark SPY (5.61 ) in the period of the last 5 years, the Ulcer Index of 8.18 of Cadence Design Systems is higher, thus worse.
- During the last 3 years, the Ulcer Ratio is 8.68 , which is higher, thus worse than the value of 6.08 from the benchmark.

'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 reduction from previous high of -32.1 days in the last 5 years of Cadence Design Systems, we see it is relatively higher, thus better in comparison to the benchmark SPY (-33.7 days)
- Looking at maximum drop from peak to valley in of -32.1 days in the period of the last 3 years, we see it is relatively higher, thus better 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.'

Using this definition on our asset we see for example:- The maximum days below previous high over 5 years of Cadence Design Systems is 136 days, which is smaller, thus better 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 below previous high of 136 days is larger, thus worse.

'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 30 days in the last 5 years of Cadence Design Systems, we see it is relatively smaller, thus better in comparison to the benchmark SPY (32 days)
- Compared with SPY (22 days) in the period of the last 3 years, the average days under water of 27 days is higher, thus worse.

Historical returns have been extended using synthetic data.
[Show Details]

- Note that yearly returns do not equal the sum of monthly returns due to compounding.
- Performance results of Cadence Design Systems 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.