Description of J.B. Hunt Transport Services

J.B. Hunt Transport Services, Inc. - Common Stock

Statistics of J.B. Hunt Transport Services (YTD)

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TotalReturn:

'Total return, when measuring performance, is the actual rate of return of an investment or a pool of investments over a given evaluation period. Total return includes interest, capital gains, dividends and distributions realized over a given period of time. Total return accounts for two categories of return: income including interest paid by fixed-income investments, distributions or dividends and capital appreciation, representing the change in the market price of an asset.'

Applying this definition to our asset in some examples:
  • Looking at the total return of 49.7% in the last 5 years of J.B. Hunt Transport Services, we see it is relatively lower, thus worse in comparison to the benchmark SPY (68.2%)
  • Looking at total return, or increase in value in of 18.7% in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (47.7%).

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.'

Which means for our asset as example:
  • Compared with the benchmark SPY (11%) in the period of the last 5 years, the annual return (CAGR) of 8.4% of J.B. Hunt Transport Services is smaller, thus worse.
  • Looking at compounded annual growth rate (CAGR) in of 5.9% in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (13.9%).

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:
  • Compared with the benchmark SPY (13.2%) in the period of the last 5 years, the historical 30 days volatility of 20.8% of J.B. Hunt Transport Services is greater, thus worse.
  • Compared with SPY (12.4%) in the period of the last 3 years, the historical 30 days volatility of 21.4% is higher, thus worse.

DownVol:

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

Using this definition on our asset we see for example:
  • Looking at the downside risk of 20.9% in the last 5 years of J.B. Hunt Transport Services, we see it is relatively greater, thus worse in comparison to the benchmark SPY (14.6%)
  • Looking at downside volatility in of 22.2% in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (14%).

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.'

Using this definition on our asset we see for example:
  • Looking at the Sharpe Ratio of 0.28 in the last 5 years of J.B. Hunt Transport Services, we see it is relatively smaller, thus worse in comparison to the benchmark SPY (0.64)
  • During the last 3 years, the ratio of return and volatility (Sharpe) is 0.16, which is smaller, thus worse than the value of 0.92 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.'

Applying this definition to our asset in some examples:
  • The downside risk / excess return profile over 5 years of J.B. Hunt Transport Services is 0.28, which is smaller, thus worse compared to the benchmark SPY (0.58) in the same period.
  • Compared with SPY (0.81) in the period of the last 3 years, the downside risk / excess return profile of 0.15 is smaller, thus worse.

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.'

Using this definition on our asset we see for example:
  • Compared with the benchmark SPY (3.95 ) in the period of the last 5 years, the Ulcer Index of 11 of J.B. Hunt Transport Services is higher, thus better.
  • Looking at Downside risk index in of 10 in the period of the last 3 years, we see it is relatively greater, thus better in comparison to SPY (4 ).

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.'

Applying this definition to our asset in some examples:
  • Compared with the benchmark SPY (-19.3 days) in the period of the last 5 years, the maximum DrawDown of -31.9 days of J.B. Hunt Transport Services is lower, thus worse.
  • During the last 3 years, the maximum DrawDown is -31.9 days, which is lower, thus worse than the value of -19.3 days from the benchmark.

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.'

Which means for our asset as example:
  • The maximum days under water over 5 years of J.B. Hunt Transport Services is 396 days, which is higher, thus worse compared to the benchmark SPY (187 days) in the same period.
  • Looking at maximum days below previous high in of 194 days in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to SPY (131 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.'

Using this definition on our asset we see for example:
  • The average days below previous high over 5 years of J.B. Hunt Transport Services is 99 days, which is higher, thus worse compared to the benchmark SPY (39 days) in the same period.
  • Looking at average days below previous high in of 63 days in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to SPY (33 days).

Performance of J.B. Hunt Transport Services (YTD)

Historical returns have been extended using synthetic data.

Allocations of J.B. Hunt Transport Services
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Allocations

Returns of J.B. Hunt Transport Services (%)

  • "Year" returns in the table above are not equal to the sum of monthly returns due to compounding.
  • Performance results of J.B. Hunt Transport Services 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.