J.B. Hunt Transport Services (JBHT)

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 (105.5%) in the period of the last 5 years, the total return, or increase in value of 43.7% of J.B. Hunt Transport Services is lower, thus worse.
• Compared with SPY (84%) in the period of the last 3 years, the total return, or performance of -0.6% is lower, thus worse.

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.'

• Looking at the annual return (CAGR) of 7.5% 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 (15.6%)
• Looking at compounded annual growth rate (CAGR) in of -0.2% in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (22.6%).

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.'

• Compared with the benchmark SPY (17.1%) in the period of the last 5 years, the historical 30 days volatility of 31.3% of J.B. Hunt Transport Services is larger, thus worse.
• Looking at historical 30 days volatility in of 32.5% in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to SPY (16%).

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.'

• The downside risk over 5 years of J.B. Hunt Transport Services is 20.9%, which is greater, thus worse compared to the benchmark SPY (11.7%) in the same period.
• Looking at downside volatility in of 21.4% in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to SPY (10.5%).

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 ratio of return and volatility (Sharpe) of 0.16 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 (0.76)
• During the last 3 years, the Sharpe Ratio is -0.08, which is lower, thus worse than the value of 1.26 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 0.24 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 (1.11)
• Compared with SPY (1.93) in the period of the last 3 years, the downside risk / excess return profile of -0.13 is lower, thus worse.

Ulcer:

'The ulcer index is a stock market risk measure or technical analysis indicator devised by Peter Martin in 1987, and published by him and Byron McCann in their 1989 book The Investors Guide to Fidelity Funds. It's designed as a measure of volatility, but only volatility in the downward direction, i.e. the amount of drawdown or retracement occurring over a period. Other volatility measures like standard deviation treat up and down movement equally, but a trader doesn't mind upward movement, it's the downside that causes stress and stomach ulcers that the index's name suggests.'

• The Ulcer Index over 5 years of J.B. Hunt Transport Services is 19 , which is larger, thus worse compared to the benchmark SPY (8.41 ) in the same period.
• During the last 3 years, the Ulcer Index is 21 , which is larger, thus worse than the value of 3.61 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 (-24.5 days) in the period of the last 5 years, the maximum DrawDown of -42.4 days of J.B. Hunt Transport Services is lower, thus worse.
• Looking at maximum drop from peak to valley in of -42.4 days in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (-18.8 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.'

• The maximum time in days below previous high water mark over 5 years of J.B. Hunt Transport Services is 477 days, which is smaller, thus better compared to the benchmark SPY (488 days) in the same period.
• During the last 3 years, the maximum time in days below previous high water mark is 434 days, which is higher, thus worse than the value of 87 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 days under water over 5 years of J.B. Hunt Transport Services is 178 days, which is greater, thus worse compared to the benchmark SPY (120 days) in the same period.
• Looking at average days below previous high in of 150 days in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (21 days).