Description

Synopsys, Inc. provides electronic design automation software products used to design and test integrated circuits. It offers Fusion Design Platform, a digital design implementation solution; Verification Continuum Platform that provides virtual prototyping, static and formal verification, simulation, emulation, field-programmable gate array (FPGA)-based prototyping, and debug solutions; and FPGA design products that are programmed to perform specific functions. The company also offers intellectual property (IP) solutions for USB, PCI Express, DDR, Ethernet, SATA, MIPI, HDMI, and Bluetooth low energy applications; analog IP, including data converters and audio codecs; and system-on-chip infrastructure IP, datapath and building block IP, and verification IP products, as well as mathematical and floating point components, and ARM AMBA interconnect fabric and peripherals. In addition, it provides logic libraries and embedded memories; configurable processor cores and application-specific instruction-set processor tools for embedded applications; IP subsystems for audio, sensor, and data fusion functionality; and security IP solutions. Further, the company offers Platform Architect tools for SoC architecture analysis and optimization; virtual prototyping solutions; and HAPS FPGA-based prototyping systems, as well as a series of tools used in the design of optical systems and photonic devices. Additionally, it provides security testing, managed services, programs and professional services, and training that enable its customers to detect and remediate security vulnerabilities, and defects in the software development lifecycle; manufacturing solutions; and professional and other services. The company was founded in 1986 and is headquartered in Mountain View, California.

Statistics (YTD)

What do these metrics mean? [Read More] [Hide]

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 Synopsys is 277.4%, which is larger, thus better compared to the benchmark SPY (60.7%) in the same period.
  • Looking at total return, or increase in value in of 121.2% in the period of the last 3 years, we see it is relatively larger, thus better in comparison to SPY (29.5%).

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.'

Using this definition on our asset we see for example:
  • Looking at the compounded annual growth rate (CAGR) of 30.5% in the last 5 years of Synopsys, we see it is relatively higher, thus better in comparison to the benchmark SPY (10%)
  • Compared with SPY (9%) in the period of the last 3 years, the compounded annual growth rate (CAGR) of 30.2% is higher, thus better.

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.'

Applying this definition to our asset in some examples:
  • The volatility over 5 years of Synopsys is 32.9%, which is greater, thus worse compared to the benchmark SPY (20.8%) in the same period.
  • Compared with SPY (24%) in the period of the last 3 years, the historical 30 days volatility of 37.6% is higher, thus worse.

DownVol:

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

Which means for our asset as example:
  • The downside deviation over 5 years of Synopsys is 22.6%, which is higher, thus worse compared to the benchmark SPY (15.3%) in the same period.
  • Looking at downside deviation in of 25.8% in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to SPY (17.6%).

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.'

Using this definition on our asset we see for example:
  • Looking at the Sharpe Ratio of 0.85 in the last 5 years of Synopsys, we see it is relatively higher, thus better in comparison to the benchmark SPY (0.36)
  • Looking at Sharpe Ratio in of 0.74 in the period of the last 3 years, we see it is relatively larger, thus better in comparison to SPY (0.27).

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.'

Which means for our asset as example:
  • The excess return divided by the downside deviation over 5 years of Synopsys is 1.24, which is larger, thus better compared to the benchmark SPY (0.49) in the same period.
  • During the last 3 years, the excess return divided by the downside deviation is 1.08, which is greater, thus better than the value of 0.37 from the benchmark.

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.'

Which means for our asset as example:
  • The Downside risk index over 5 years of Synopsys is 10 , which is greater, thus worse compared to the benchmark SPY (7.52 ) in the same period.
  • During the last 3 years, the Ulcer Index is 12 , which is higher, thus worse than the value of 8.81 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:
  • Compared with the benchmark SPY (-33.7 days) in the period of the last 5 years, the maximum drop from peak to valley of -34.3 days of Synopsys is smaller, thus worse.
  • During the last 3 years, the maximum drop from peak to valley 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). 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'

Which means for our asset as example:
  • Compared with the benchmark SPY (182 days) in the period of the last 5 years, the maximum days below previous high of 155 days of Synopsys is lower, thus better.
  • During the last 3 years, the maximum time in days below previous high water mark is 155 days, which is lower, thus better than the value of 182 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.'

Which means for our asset as example:
  • The average days below previous high over 5 years of Synopsys is 40 days, which is lower, thus better compared to the benchmark SPY (45 days) in the same period.
  • Compared with SPY (43 days) in the period of the last 3 years, the average days below previous high of 38 days is lower, thus better.

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 Synopsys 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.