Fastenal (FAST)

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.'

• Compared with the benchmark SPY (68.1%) in the period of the last 5 years, the total return of 139.9% of Fastenal is larger, thus better.
• Compared with SPY (47%) in the period of the last 3 years, the total return of 50.2% is larger, thus better.

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 (11%) in the period of the last 5 years, the annual return (CAGR) of 19.1% of Fastenal is greater, thus better.
• Looking at annual return (CAGR) in of 14.5% in the period of the last 3 years, we see it is relatively greater, thus better in comparison to SPY (13.7%).

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.'

• The volatility over 5 years of Fastenal is 29.5%, which is greater, thus worse compared to the benchmark SPY (21.4%) in the same period.
• Looking at 30 days standard deviation in of 24.9% in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to SPY (18.7%).

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.'

• Compared with the benchmark SPY (15.4%) in the period of the last 5 years, the downside risk of 19.6% of Fastenal is greater, thus worse.
• During the last 3 years, the downside risk is 17.8%, which is greater, thus worse than the value of 13.3% from the benchmark.

Sharpe:

'The Sharpe ratio (also known as the Sharpe index, the Sharpe measure, and the reward-to-variability ratio) is a way to examine the performance of an investment by adjusting for its risk. The ratio measures the excess return (or risk premium) per unit of deviation in an investment asset or a trading strategy, typically referred to as risk, named after William F. Sharpe.'

• Looking at the ratio of return and volatility (Sharpe) of 0.56 in the last 5 years of Fastenal, we see it is relatively greater, thus better in comparison to the benchmark SPY (0.4)
• During the last 3 years, the Sharpe Ratio is 0.48, which is lower, thus worse than the value of 0.6 from the benchmark.

Sortino:

'The Sortino ratio measures the risk-adjusted return of an investment asset, portfolio, or strategy. It is a modification of the Sharpe ratio but penalizes only those returns falling below a user-specified target or required rate of return, while the Sharpe ratio penalizes both upside and downside volatility equally. Though both ratios measure an investment's risk-adjusted return, they do so in significantly different ways that will frequently lead to differing conclusions as to the true nature of the investment's return-generating efficiency. The Sortino ratio is used as a way to compare the risk-adjusted performance of programs with differing risk and return profiles. In general, risk-adjusted returns seek to normalize the risk across programs and then see which has the higher return unit per risk.'

• Looking at the downside risk / excess return profile of 0.85 in the last 5 years of Fastenal, we see it is relatively larger, thus better in comparison to the benchmark SPY (0.55)
• Looking at excess return divided by the downside deviation in of 0.67 in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (0.84).

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 Index over 5 years of Fastenal is 12 , which is greater, thus worse compared to the benchmark SPY (9.45 ) in the same period.
• During the last 3 years, the Ulcer Index is 13 , which is larger, thus worse than the value of 10 from the benchmark.

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.'

• Compared with the benchmark SPY (-33.7 days) in the period of the last 5 years, the maximum DrawDown of -30.7 days of Fastenal is greater, thus better.
• Compared with SPY (-24.5 days) in the period of the last 3 years, the maximum DrawDown of -30.7 days is lower, 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.'

• Looking at the maximum time in days below previous high water mark of 354 days in the last 5 years of Fastenal, we see it is relatively larger, thus worse in comparison to the benchmark SPY (351 days)
• Looking at maximum days under water in of 354 days in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to SPY (351 days).

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.'

• The average time in days below previous high water mark over 5 years of Fastenal is 74 days, which is smaller, thus better compared to the benchmark SPY (78 days) in the same period.
• Compared with SPY (101 days) in the period of the last 3 years, the average days below previous high of 99 days is smaller, thus better.