C.H. Robinson Worldwide (CHRW)

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.'

• Looking at the total return of -1.7% in the last 5 years of C.H. Robinson Worldwide, we see it is relatively lower, thus worse in comparison to the benchmark SPY (57.1%)
• Looking at total return in of -9.1% in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (32%).

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.'

• Compared with the benchmark SPY (9.5%) in the period of the last 5 years, the annual performance (CAGR) of -0.3% of C.H. Robinson Worldwide is smaller, thus worse.
• During the last 3 years, the compounded annual growth rate (CAGR) is -3.1%, which is smaller, thus worse than the value of 9.7% 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 volatility of 28.7% in the last 5 years of C.H. Robinson Worldwide, we see it is relatively higher, thus worse in comparison to the benchmark SPY (21.5%)
• During the last 3 years, the volatility is 28.6%, which is larger, thus worse than the value of 17.9% from the benchmark.

DownVol:

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

• Looking at the downside deviation of 21.2% in the last 5 years of C.H. Robinson Worldwide, we see it is relatively greater, thus worse in comparison to the benchmark SPY (15.5%)
• Compared with SPY (12.5%) in the period of the last 3 years, the downside deviation of 21.1% is higher, thus worse.

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 risk / return profile (Sharpe) of -0.1 in the last 5 years of C.H. Robinson Worldwide, we see it is relatively lower, thus worse in comparison to the benchmark SPY (0.32)
• During the last 3 years, the risk / return profile (Sharpe) is -0.2, which is lower, thus worse than the value of 0.41 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 -0.13 in the last 5 years of C.H. Robinson Worldwide, we see it is relatively lower, thus worse in comparison to the benchmark SPY (0.45)
• Looking at excess return divided by the downside deviation in of -0.27 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (0.58).

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.'

• Looking at the Downside risk index of 14 in the last 5 years of C.H. Robinson Worldwide, we see it is relatively larger, thus worse in comparison to the benchmark SPY (9.57 )
• Compared with SPY (10 ) in the period of the last 3 years, the Downside risk index of 14 is greater, thus worse.

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 -36.3 days in the last 5 years of C.H. Robinson Worldwide, we see it is relatively smaller, thus worse in comparison to the benchmark SPY (-33.7 days)
• Looking at maximum reduction from previous high in of -26.8 days in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (-24.5 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.'

• Looking at the maximum time in days below previous high water mark of 456 days in the last 5 years of C.H. Robinson Worldwide, we see it is relatively greater, thus worse in comparison to the benchmark SPY (439 days)
• Looking at maximum days under water in of 296 days in the period of the last 3 years, we see it is relatively lower, thus better in comparison to SPY (439 days).

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 days below previous high over 5 years of C.H. Robinson Worldwide is 157 days, which is higher, thus worse compared to the benchmark SPY (106 days) in the same period.
• Looking at average days under water in of 119 days in the period of the last 3 years, we see it is relatively lower, thus better in comparison to SPY (149 days).