Description

Fastenal Company - Common Stock

Statistics (YTD)

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

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.'

Applying this definition to our asset in some examples:
  • Looking at the total return, or increase in value of 140.3% in the last 5 years of Fastenal, we see it is relatively higher, thus better in comparison to the benchmark SPY (66.2%)
  • During the last 3 years, the total return is 119.8%, which is greater, thus better than the value of 36.8% from the benchmark.

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.'

Applying this definition to our asset in some examples:
  • Compared with the benchmark SPY (10.7%) in the period of the last 5 years, the annual performance (CAGR) of 19.2% of Fastenal is larger, thus better.
  • During the last 3 years, the annual return (CAGR) is 30%, which is larger, thus better than the value of 11% from the benchmark.

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.'

Using this definition on our asset we see for example:
  • The 30 days standard deviation over 5 years of Fastenal is 29.3%, which is larger, thus worse compared to the benchmark SPY (19%) in the same period.
  • Compared with SPY (22%) in the period of the last 3 years, the volatility of 32% is higher, thus worse.

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.'

Which means for our asset as example:
  • Looking at the downside volatility of 19.2% in the last 5 years of Fastenal, we see it is relatively higher, thus worse in comparison to the benchmark SPY (13.9%)
  • Compared with SPY (16.1%) in the period of the last 3 years, the downside risk of 20.4% is higher, thus worse.

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.'

Applying this definition to our asset in some examples:
  • The risk / return profile (Sharpe) over 5 years of Fastenal is 0.57, which is higher, thus better compared to the benchmark SPY (0.43) in the same period.
  • Compared with SPY (0.39) in the period of the last 3 years, the ratio of return and volatility (Sharpe) of 0.86 is higher, thus better.

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.'

Applying this definition to our asset in some examples:
  • Compared with the benchmark SPY (0.59) in the period of the last 5 years, the excess return divided by the downside deviation of 0.87 of Fastenal is larger, thus better.
  • Looking at downside risk / excess return profile in of 1.35 in the period of the last 3 years, we see it is relatively greater, thus better in comparison to SPY (0.53).

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.'

Which means for our asset as example:
  • Compared with the benchmark SPY (5.9 ) in the period of the last 5 years, the Ulcer Ratio of 9.78 of Fastenal is larger, thus worse.
  • Looking at Ulcer Ratio in of 8.21 in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to SPY (6.98 ).

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.'

Using this definition on our asset we see for example:
  • The maximum reduction from previous high over 5 years of Fastenal is -27.8 days, which is higher, thus better compared to the benchmark SPY (-33.7 days) in the same period.
  • Looking at maximum reduction from previous high in of -27.8 days in the period of the last 3 years, we see it is relatively greater, thus better in comparison to SPY (-33.7 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.'

Applying this definition to our asset in some examples:
  • The maximum days below previous high over 5 years of Fastenal is 186 days, which is lower, thus better compared to the benchmark SPY (187 days) in the same period.
  • Looking at maximum days below previous high in of 118 days in the period of the last 3 years, we see it is relatively smaller, thus better in comparison to SPY (139 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.'

Using this definition on our asset we see for example:
  • Compared with the benchmark SPY (44 days) in the period of the last 5 years, the average days under water of 56 days of Fastenal is larger, thus worse.
  • During the last 3 years, the average time in days below previous high water mark is 33 days, which is lower, thus better than the value of 41 days from the benchmark.

Performance (YTD)

Historical returns have been extended using synthetic data.

Allocations
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Allocations

Returns (%)

  • Note that yearly returns do not equal the sum of monthly returns due to compounding.
  • Performance results of Fastenal 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.