Description

Citrix Systems, Inc. provides workspace, networking, and professional services worldwide. The company offers workspace services, including Citrix Virtual Apps and Desktops; Citrix Content Collaboration, a cloud-based file sharing and storage solution, which provides enterprise-class data services on various corporate and personal mobile devices for businesses; Citrix Endpoint Management for mobility and device management capabilities; and Workspace Intelligence that customizes and streamlines user workflows, as well as microapp creation with low-code tooling, automates tasks and functions. It also provides networking products comprising Citrix ADC, an application delivery controller and load balancing solution for web, traditional and cloud-native applications; and Citrix SD-WAN, a WAN Edge solution that delivers flexible, automated, secure connectivity and performance for the workspace, as well as Citrix Analytics for security, performance, and operations. In addition, the company offers customer services, hardware maintenance, consulting, and product training and certification services. The company serves health care, financial services, technology, manufacturing, consumer, and government agencies. It markets and licenses its products through resellers, distributors, systems integrators, independent software vendors, original equipment manufacturers, and service providers. The company was formerly known as Citrus Systems, Inc. and changed its name to Citrix Systems, Inc. in March 2009. Citrix Systems, Inc. was founded in 1989 and is headquartered in Fort Lauderdale, Florida.

Statistics (YTD)

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TotalReturn:

'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 (63%) in the period of the last 5 years, the total return, or increase in value of 41.1% of Citrix Systems is smaller, thus worse.
  • Compared with SPY (33.5%) in the period of the last 3 years, the total return of 11.5% is lower, thus worse.

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.'

Applying this definition to our asset in some examples:
  • The annual return (CAGR) over 5 years of Citrix Systems is 7.1%, which is lower, thus worse compared to the benchmark SPY (10.3%) in the same period.
  • Looking at annual return (CAGR) in of 3.7% in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (10.1%).

Volatility:

'In finance, volatility (symbol σ) is the degree of variation of a trading price series over time as measured by the standard deviation of logarithmic returns. Historic volatility measures a time series of past market prices. Implied volatility looks forward in time, being derived from the market price of a market-traded derivative (in particular, an option). Commonly, the higher the volatility, the riskier the security.'

Which means for our asset as example:
  • The historical 30 days volatility over 5 years of Citrix Systems is 27.4%, which is greater, thus worse compared to the benchmark SPY (21.6%) in the same period.
  • Compared with SPY (25.1%) in the period of the last 3 years, the historical 30 days volatility of 32.5% is larger, 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.'

Applying this definition to our asset in some examples:
  • Looking at the downside volatility of 19.1% in the last 5 years of Citrix Systems, we see it is relatively higher, thus worse in comparison to the benchmark SPY (15.6%)
  • During the last 3 years, the downside risk is 22.6%, which is higher, thus worse than the value of 18.1% from the benchmark.

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.'

Using this definition on our asset we see for example:
  • The ratio of return and volatility (Sharpe) over 5 years of Citrix Systems is 0.17, which is lower, thus worse compared to the benchmark SPY (0.36) in the same period.
  • Looking at risk / return profile (Sharpe) in of 0.04 in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (0.3).

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.'

Applying this definition to our asset in some examples:
  • Compared with the benchmark SPY (0.5) in the period of the last 5 years, the downside risk / excess return profile of 0.24 of Citrix Systems is lower, 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 (0.42).

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.'

Which means for our asset as example:
  • The Ulcer Index over 5 years of Citrix Systems is 23 , which is higher, thus worse compared to the benchmark SPY (8.88 ) in the same period.
  • During the last 3 years, the Ulcer Ratio is 28 , which is larger, thus worse than the value of 11 from the benchmark.

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.'

Using this definition on our asset we see for example:
  • 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 smaller, thus worse in comparison to the benchmark SPY (-33.7 days)
  • During the last 3 years, the maximum reduction from previous high is -52.4 days, which is smaller, thus worse than the value of -33.7 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.'

Using this definition on our asset we see for example:
  • The maximum days below previous high over 5 years of Citrix Systems is 554 days, which is larger, thus worse compared to the benchmark SPY (273 days) in the same period.
  • Compared with SPY (273 days) in the period of the last 3 years, the maximum days under water of 554 days is larger, thus worse.

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.'

Using this definition on our asset we see for example:
  • The average days under water over 5 years of Citrix Systems is 173 days, which is larger, thus worse compared to the benchmark SPY (57 days) in the same period.
  • Compared with SPY (73 days) in the period of the last 3 years, the average days below previous high of 219 days is higher, thus worse.

Performance (YTD)

Historical returns have been extended using synthetic data.

Allocations ()

Allocations

Returns (%)

  • 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.