Citrix Systems (CTXS)

TotalReturn:

'Total return, when measuring performance, is the actual rate of return of an investment or a pool of investments over a given evaluation period. Total return includes interest, capital gains, dividends and distributions realized over a given period of time. Total return accounts for two categories of return: income including interest paid by fixed-income investments, distributions or dividends and capital appreciation, representing the change in the market price of an asset.'

• Looking at the total return, or performance of 41.1% in the last 5 years of Citrix Systems, we see it is relatively smaller, thus worse in comparison to the benchmark SPY (92.8%)
• During the last 3 years, the total return, or performance is 11.5%, which is smaller, thus worse than the value of 88.1% from the benchmark.

CAGR:

'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.'

• Compared with the benchmark SPY (14.1%) in the period of the last 5 years, the compounded annual growth rate (CAGR) of 7.1% of Citrix Systems is lower, thus worse.
• During the last 3 years, the compounded annual growth rate (CAGR) is 3.7%, which is lower, thus worse than the value of 23.6% from the benchmark.

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.'

• The 30 days standard deviation over 5 years of Citrix Systems is 27.4%, which is greater, thus worse compared to the benchmark SPY (17%) in the same period.
• Looking at 30 days standard deviation in of 32.5% in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to SPY (15.1%).

DownVol:

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

• The downside volatility over 5 years of Citrix Systems is 19.1%, which is greater, thus worse compared to the benchmark SPY (11.7%) in the same period.
• Compared with SPY (10.1%) in the period of the last 3 years, the downside deviation of 22.6% is larger, thus worse.

Sharpe:

'The Sharpe ratio is the measure of risk-adjusted return of a financial portfolio. Sharpe ratio is a measure of excess portfolio return over the risk-free rate relative to its standard deviation. Normally, the 90-day Treasury bill rate is taken as the proxy for risk-free rate. A portfolio with a higher Sharpe ratio is considered superior relative to its peers. The measure was named after William F Sharpe, a Nobel laureate and professor of finance, emeritus at Stanford University.'

• Looking at the ratio of return and volatility (Sharpe) of 0.17 in the last 5 years of Citrix Systems, we see it is relatively lower, thus worse in comparison to the benchmark SPY (0.68)
• Looking at ratio of return and volatility (Sharpe) in of 0.04 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (1.4).

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 (0.99) in the period of the last 5 years, the ratio of annual return and downside deviation of 0.24 of Citrix Systems is smaller, thus worse.
• Looking at ratio of annual return and downside deviation in of 0.05 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (2.1).

Ulcer:

'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.'

• The Ulcer Index over 5 years of Citrix Systems is 23 , which is larger, thus worse compared to the benchmark SPY (8.45 ) in the same period.
• Looking at Ulcer Ratio in of 28 in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to SPY (3.5 ).

MaxDD:

'A maximum drawdown is the maximum loss from a peak to a trough of a portfolio, before a new peak is attained. Maximum Drawdown is an indicator of downside risk over a specified time period. It can be used both as a stand-alone measure or as an input into other metrics such as 'Return over Maximum Drawdown' and the Calmar Ratio. Maximum Drawdown is expressed in percentage terms.'

• Looking at the maximum drop from peak to valley of -52.4 days in the last 5 years of Citrix Systems, we see it is relatively lower, thus worse in comparison to the benchmark SPY (-24.5 days)
• Looking at maximum reduction from previous high in of -52.4 days in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (-18.8 days).

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) in days.'

• Looking at the maximum days below previous high of 554 days in the last 5 years of Citrix Systems, we see it is relatively larger, thus worse in comparison to the benchmark SPY (488 days)
• Looking at maximum days below previous high in of 554 days in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to SPY (87 days).

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.'

• The average days below previous high over 5 years of Citrix Systems is 173 days, which is larger, thus worse compared to the benchmark SPY (120 days) in the same period.
• Looking at average days under water in of 219 days in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to SPY (20 days).