Description of Citrix Systems

Citrix Systems, Inc. - Common Stock

Statistics of Citrix Systems (YTD)

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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.'

Using this definition on our asset we see for example:
  • The total return over 5 years of Citrix Systems is 112.2%, which is greater, thus better compared to the benchmark SPY (66.9%) in the same period.
  • During the last 3 years, the total return is 63.5%, which is larger, thus better than the value of 50.6% from the benchmark.

CAGR:

'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:
  • Compared with the benchmark SPY (10.8%) in the period of the last 5 years, the annual return (CAGR) of 16.3% of Citrix Systems is larger, thus better.
  • Looking at compounded annual growth rate (CAGR) in of 17.9% in the period of the last 3 years, we see it is relatively greater, thus better in comparison to SPY (14.7%).

Volatility:

'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 historical 30 days volatility over 5 years of Citrix Systems is 23.5%, which is larger, thus worse compared to the benchmark SPY (13.5%) in the same period.
  • Looking at 30 days standard deviation in of 18.8% in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to SPY (12.8%).

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.'

Using this definition on our asset we see for example:
  • The downside deviation over 5 years of Citrix Systems is 25%, which is greater, thus worse compared to the benchmark SPY (14.8%) in the same period.
  • Looking at downside deviation in of 20.1% in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to SPY (14.7%).

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.'

Which means for our asset as example:
  • Looking at the Sharpe Ratio of 0.59 in the last 5 years of Citrix Systems, we see it is relatively smaller, thus worse in comparison to the benchmark SPY (0.61)
  • Compared with SPY (0.95) in the period of the last 3 years, the risk / return profile (Sharpe) of 0.82 is lower, thus worse.

Sortino:

'The Sortino ratio, a variation of the Sharpe ratio only factors in the downside, or negative volatility, rather than the total volatility used in calculating the Sharpe ratio. The theory behind the Sortino variation is that upside volatility is a plus for the investment, and it, therefore, should not be included in the risk calculation. Therefore, the Sortino ratio takes upside volatility out of the equation and uses only the downside standard deviation in its calculation instead of the total standard deviation that is used in calculating the Sharpe ratio.'

Applying this definition to our asset in some examples:
  • Compared with the benchmark SPY (0.56) in the period of the last 5 years, the ratio of annual return and downside deviation of 0.55 of Citrix Systems is lower, thus worse.
  • Looking at ratio of annual return and downside deviation in of 0.76 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (0.83).

Ulcer:

'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.'

Which means for our asset as example:
  • Looking at the Ulcer Index of 8.28 in the last 5 years of Citrix Systems, we see it is relatively higher, thus worse in comparison to the benchmark SPY (3.99 )
  • During the last 3 years, the Downside risk index is 8.4 , which is larger, thus worse than the value of 4.1 from the benchmark.

MaxDD:

'Maximum drawdown measures the loss in any losing period during a fund’s investment record. It is defined as the percent retrenchment from a fund’s peak value to the fund’s valley value. The drawdown is in effect from the time the fund’s retrenchment begins until a new fund high is reached. The maximum drawdown encompasses both the period from the fund’s peak to the fund’s valley (length), and the time from the fund’s valley to a new fund high (recovery). It measures the largest percentage drawdown that has occurred in any fund’s data record.'

Applying this definition to our asset in some examples:
  • The maximum DrawDown over 5 years of Citrix Systems is -26 days, which is smaller, thus worse compared to the benchmark SPY (-19.3 days) in the same period.
  • During the last 3 years, the maximum drop from peak to valley is -19.5 days, which is lower, thus worse than the value of -19.3 days from the benchmark.

MaxDuration:

'The Maximum 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. It is the length of time the account was in the Max Drawdown. A Max Drawdown measures a retrenchment from when an equity curve reaches a new high. It’s the maximum an account lost during that retrenchment. This method is applied because a valley can’t be measured until a new high occurs. Once the new high is reached, the percentage change from the old high to the bottom of the largest trough is recorded.'

Which means for our asset as example:
  • Compared with the benchmark SPY (187 days) in the period of the last 5 years, the maximum days under water of 302 days of Citrix Systems is higher, thus worse.
  • Looking at maximum days under water in of 302 days in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to SPY (139 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.'

Which means for our asset as example:
  • The average days under water over 5 years of Citrix Systems is 69 days, which is higher, thus worse compared to the benchmark SPY (42 days) in the same period.
  • During the last 3 years, the average days below previous high is 84 days, which is greater, thus worse than the value of 36 days from the benchmark.

Performance of Citrix Systems (YTD)

Historical returns have been extended using synthetic data.

Allocations of Citrix Systems
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Allocations

Returns of Citrix Systems (%)

  • Note that yearly returns do not equal the sum of monthly returns due to compounding.
  • Performance results of Citrix 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.