Synopsys (SNPS)

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, or performance of 412.6% in the last 5 years of Synopsys, we see it is relatively greater, thus better in comparison to the benchmark SPY (129.1%)
• During the last 3 years, the total return, or performance is 252.5%, which is greater, thus better than the value of 71.3% 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.'

• Looking at the annual performance (CAGR) of 38.7% in the last 5 years of Synopsys, we see it is relatively higher, thus better in comparison to the benchmark SPY (18.1%)
• Looking at annual performance (CAGR) in of 52.2% in the period of the last 3 years, we see it is relatively larger, thus better in comparison to SPY (19.7%).

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.'

• Compared with the benchmark SPY (18.7%) in the period of the last 5 years, the historical 30 days volatility of 28.6% of Synopsys is higher, thus worse.
• Looking at volatility in of 33.8% in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to SPY (22.5%).

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.'

• Looking at the downside risk of 19.6% in the last 5 years of Synopsys, we see it is relatively greater, thus worse in comparison to the benchmark SPY (13.6%)
• Compared with SPY (16.3%) in the period of the last 3 years, the downside volatility of 23.1% is higher, 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.'

• The ratio of return and volatility (Sharpe) over 5 years of Synopsys is 1.27, which is greater, thus better compared to the benchmark SPY (0.83) in the same period.
• Compared with SPY (0.76) in the period of the last 3 years, the Sharpe Ratio of 1.47 is larger, thus better.

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.'

• Compared with the benchmark SPY (1.15) in the period of the last 5 years, the ratio of annual return and downside deviation of 1.84 of Synopsys is greater, thus better.
• Compared with SPY (1.05) in the period of the last 3 years, the ratio of annual return and downside deviation of 2.15 is larger, thus better.

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 Ulcer Ratio over 5 years of Synopsys is 7.78 , which is higher, thus worse compared to the benchmark SPY (5.59 ) in the same period.
• Compared with SPY (6.38 ) in the period of the last 3 years, the Ulcer Index of 8.54 is greater, thus worse.

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.'

• The maximum DrawDown over 5 years of Synopsys is -34.3 days, which is lower, thus worse compared to the benchmark SPY (-33.7 days) in the same period.
• During the last 3 years, the maximum DrawDown is -34.3 days, which is lower, thus worse than the value of -33.7 days from the benchmark.

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.'

• Compared with the benchmark SPY (139 days) in the period of the last 5 years, the maximum days under water of 137 days of Synopsys is lower, thus better.
• Compared with SPY (119 days) in the period of the last 3 years, the maximum days below previous high of 119 days is higher, 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.'

• Compared with the benchmark SPY (32 days) in the period of the last 5 years, the average days under water of 31 days of Synopsys is lower, thus better.
• Compared with SPY (25 days) in the period of the last 3 years, the average time in days below previous high water mark of 27 days is larger, thus worse.