Cognizant (CTSH)

TotalReturn:

'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.'

• Looking at the total return of -13.4% in the last 5 years of Cognizant, we see it is relatively lower, thus worse in comparison to the benchmark SPY (67.9%)
• Looking at total return in of 22.9% in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (44.5%).

CAGR:

'The compound annual growth rate isn't a true return rate, but rather a representational figure. It is essentially a number that describes the rate at which an investment would have grown if it had grown the same rate every year and the profits were reinvested at the end of each year. In reality, this sort of performance is unlikely. However, CAGR can be used to smooth returns so that they may be more easily understood when compared to alternative investments.'

• The compounded annual growth rate (CAGR) over 5 years of Cognizant is -2.8%, which is lower, thus worse compared to the benchmark SPY (10.9%) in the same period.
• Compared with SPY (13.1%) in the period of the last 3 years, the annual return (CAGR) of 7.1% is lower, thus worse.

Volatility:

'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.'

• Compared with the benchmark SPY (21.4%) in the period of the last 5 years, the 30 days standard deviation of 32.2% of Cognizant is greater, thus worse.
• Compared with SPY (18.7%) in the period of the last 3 years, the 30 days standard deviation of 28.2% is higher, thus worse.

DownVol:

'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.'

• Compared with the benchmark SPY (15.4%) in the period of the last 5 years, the downside volatility of 23.5% of Cognizant is greater, thus worse.
• Looking at downside risk in of 20.7% in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to SPY (13.3%).

Sharpe:

'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.'

• Looking at the ratio of return and volatility (Sharpe) of -0.17 in the last 5 years of Cognizant, we see it is relatively smaller, thus worse in comparison to the benchmark SPY (0.39)
• Compared with SPY (0.56) in the period of the last 3 years, the ratio of return and volatility (Sharpe) of 0.16 is lower, thus worse.

Sortino:

'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.'

• Compared with the benchmark SPY (0.55) in the period of the last 5 years, the excess return divided by the downside deviation of -0.23 of Cognizant is lower, thus worse.
• Compared with SPY (0.79) in the period of the last 3 years, the excess return divided by the downside deviation of 0.22 is smaller, thus worse.

Ulcer:

'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.'

• The Downside risk index over 5 years of Cognizant is 22 , which is greater, thus worse compared to the benchmark SPY (9.47 ) in the same period.
• Compared with SPY (10 ) in the period of the last 3 years, the Ulcer Index of 20 is higher, thus worse.

MaxDD:

'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.'

• Compared with the benchmark SPY (-33.7 days) in the period of the last 5 years, the maximum drop from peak to valley of -49 days of Cognizant is smaller, thus worse.
• Compared with SPY (-24.5 days) in the period of the last 3 years, the maximum drop from peak to valley of -43.8 days is lower, thus worse.

MaxDuration:

'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'

• Looking at the maximum days under water of 604 days in the last 5 years of Cognizant, we see it is relatively larger, thus worse in comparison to the benchmark SPY (354 days)
• During the last 3 years, the maximum days under water is 300 days, which is lower, thus better than the value of 354 days from the benchmark.

AveDuration:

'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.'

• Compared with the benchmark SPY (79 days) in the period of the last 5 years, the average time in days below previous high water mark of 196 days of Cognizant is larger, thus worse.
• Compared with SPY (102 days) in the period of the last 3 years, the average time in days below previous high water mark of 84 days is lower, thus better.