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 206.1% in the last 5 years of Synopsys, we see it is relatively greater, thus better in comparison to the benchmark SPY (109.1%)
• Looking at total return, or performance in of 82.5% in the period of the last 3 years, we see it is relatively greater, thus better in comparison to SPY (69.1%).

CAGR:

'The compound annual growth rate isn't a true return rate, but rather a representational figure. It is essentially a number that describes the rate at which an investment would have grown if it had grown the same rate every year and the profits were reinvested at the end of each year. In reality, this sort of performance is unlikely. However, CAGR can be used to smooth returns so that they may be more easily understood when compared to alternative investments.'

• Compared with the benchmark SPY (16%) in the period of the last 5 years, the annual return (CAGR) of 25.2% of Synopsys is greater, thus better.
• Looking at compounded annual growth rate (CAGR) in of 22.4% in the period of the last 3 years, we see it is relatively larger, thus better in comparison to SPY (19.3%).

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.'

• Compared with the benchmark SPY (17.4%) in the period of the last 5 years, the 30 days standard deviation of 35.2% of Synopsys is higher, thus worse.
• Looking at historical 30 days volatility in of 34.8% in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to SPY (17%).

DownVol:

'Downside risk is the financial risk associated with losses. That is, it is the risk of the actual return being below the expected return, or the uncertainty about the magnitude of that difference. 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 23.8% in the last 5 years of Synopsys, we see it is relatively greater, thus worse in comparison to the benchmark SPY (11.9%)
• Looking at downside deviation in of 23.5% in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to SPY (11.2%).

Sharpe:

'The Sharpe ratio was developed by Nobel laureate William F. Sharpe, and is used to help investors understand the return of an investment compared to its risk. The ratio is the average return earned in excess of the risk-free rate per unit of volatility or total risk. Subtracting the risk-free rate from the mean return allows an investor to better isolate the profits associated with risk-taking activities. One intuition of this calculation is that a portfolio engaging in 'zero risk' investments, such as the purchase of U.S. Treasury bills (for which the expected return is the risk-free rate), has a Sharpe ratio of exactly zero. Generally, the greater the value of the Sharpe ratio, the more attractive the risk-adjusted return.'

• Looking at the Sharpe Ratio of 0.64 in the last 5 years of Synopsys, we see it is relatively lower, thus worse in comparison to the benchmark SPY (0.77)
• During the last 3 years, the Sharpe Ratio is 0.57, which is smaller, thus worse than the value of 0.99 from the benchmark.

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.'

• The downside risk / excess return profile over 5 years of Synopsys is 0.95, which is lower, thus worse compared to the benchmark SPY (1.13) in the same period.
• During the last 3 years, the excess return divided by the downside deviation is 0.84, which is smaller, thus worse than the value of 1.49 from the benchmark.

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 Synopsys is 14 , which is higher, thus worse compared to the benchmark SPY (8.43 ) in the same period.
• Looking at Downside risk index in of 13 in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to SPY (4.22 ).

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.'

• Compared with the benchmark SPY (-24.5 days) in the period of the last 5 years, the maximum reduction from previous high of -38.7 days of Synopsys is smaller, thus worse.
• Looking at maximum DrawDown in of -38.7 days in the period of the last 3 years, we see it is relatively lower, 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.'

• Compared with the benchmark SPY (488 days) in the period of the last 5 years, the maximum days below previous high of 265 days of Synopsys is lower, thus better.
• Compared with SPY (97 days) in the period of the last 3 years, the maximum time in days below previous high water mark of 265 days is larger, thus worse.

AveDuration:

'The Average 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. 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 (119 days) in the period of the last 5 years, the average time in days below previous high water mark of 68 days of Synopsys is lower, thus better.
• Looking at average time in days below previous high water mark in of 63 days in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (27 days).