C.H. Robinson Worldwide (CHRW)

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 increase in value of 14.9% in the last 5 years of C.H. Robinson Worldwide, we see it is relatively lower, thus worse in comparison to the benchmark SPY (46.1%)
• Looking at total return, or performance in of 3.2% in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (23.5%).

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.'

• The compounded annual growth rate (CAGR) over 5 years of C.H. Robinson Worldwide is 2.8%, which is lower, thus worse compared to the benchmark SPY (7.9%) in the same period.
• During the last 3 years, the annual performance (CAGR) is 1.1%, which is smaller, thus worse than the value of 7.3% from the benchmark.

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.'

• Looking at the 30 days standard deviation of 23.6% in the last 5 years of C.H. Robinson Worldwide, we see it is relatively higher, thus worse in comparison to the benchmark SPY (18.3%)
• Looking at volatility in of 25.7% in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (20.8%).

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.'

• Looking at the downside deviation of 17.8% in the last 5 years of C.H. Robinson Worldwide, we see it is relatively greater, thus worse in comparison to the benchmark SPY (13.4%)
• During the last 3 years, the downside deviation is 19.8%, which is greater, thus worse than the value of 15.4% from the benchmark.

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.'

• Looking at the risk / return profile (Sharpe) of 0.01 in the last 5 years of C.H. Robinson Worldwide, we see it is relatively smaller, thus worse in comparison to the benchmark SPY (0.29)
• During the last 3 years, the Sharpe Ratio is -0.06, which is smaller, thus worse than the value of 0.23 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.'

• Looking at the ratio of annual return and downside deviation of 0.02 in the last 5 years of C.H. Robinson Worldwide, we see it is relatively smaller, thus worse in comparison to the benchmark SPY (0.4)
• During the last 3 years, the excess return divided by the downside deviation is -0.07, which is smaller, thus worse than the value of 0.31 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.'

• Compared with the benchmark SPY (5.27 ) in the period of the last 5 years, the Ulcer Index of 12 of C.H. Robinson Worldwide is higher, thus worse.
• During the last 3 years, the Ulcer Index is 14 , which is higher, thus worse than the value of 6.08 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.'

• Looking at the maximum drop from peak to valley of -37.7 days in the last 5 years of C.H. Robinson Worldwide, we see it is relatively lower, thus worse in comparison to the benchmark SPY (-33.7 days)
• Compared with SPY (-33.7 days) in the period of the last 3 years, the maximum drop from peak to valley of -37.7 days is smaller, thus worse.

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.'

• The maximum days under water over 5 years of C.H. Robinson Worldwide is 397 days, which is greater, thus worse compared to the benchmark SPY (187 days) in the same period.
• During the last 3 years, the maximum time in days below previous high water mark is 397 days, which is greater, thus worse than the value of 139 days from the benchmark.

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.'

• The average time in days below previous high water mark over 5 years of C.H. Robinson Worldwide is 102 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 under water is 127 days, which is larger, thus worse than the value of 36 days from the benchmark.