'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.'

Which means for our asset as example:- Compared with the benchmark SPY (63%) in the period of the last 5 years, the total return of 74.9% of J.B. Hunt Transport Services is larger, thus better.
- During the last 3 years, the total return is 83.8%, which is greater, thus better than the value of 33.5% from the benchmark.

'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:- The annual performance (CAGR) over 5 years of J.B. Hunt Transport Services is 11.8%, which is higher, thus better compared to the benchmark SPY (10.3%) in the same period.
- During the last 3 years, the annual performance (CAGR) is 22.5%, which is larger, thus better than the value of 10.1% from the benchmark.

'Volatility is a rate at which the price of a security increases or decreases for a given set of returns. Volatility is measured by calculating the standard deviation of the annualized returns over a given period of time. It shows the range to which the price of a security may increase or decrease. Volatility measures the risk of a security. It is used in option pricing formula to gauge the fluctuations in the returns of the underlying assets. Volatility indicates the pricing behavior of the security and helps estimate the fluctuations that may happen in a short period of time.'

Which means for our asset as example:- The historical 30 days volatility over 5 years of J.B. Hunt Transport Services is 31.2%, which is higher, thus worse compared to the benchmark SPY (21.6%) in the same period.
- During the last 3 years, the volatility is 34.6%, which is larger, thus worse than the value of 25.1% from the benchmark.

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

Applying this definition to our asset in some examples:- Compared with the benchmark SPY (15.6%) in the period of the last 5 years, the downside volatility of 21.5% of J.B. Hunt Transport Services is greater, thus worse.
- Looking at downside deviation in of 23.8% in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to SPY (18.1%).

'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.'

Which means for our asset as example:- Looking at the risk / return profile (Sharpe) of 0.3 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 (0.36)
- Looking at Sharpe Ratio in of 0.58 in the period of the last 3 years, we see it is relatively larger, thus better in comparison to SPY (0.3).

'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.'

Which means for our asset as example:- Looking at the excess return divided by the downside deviation of 0.43 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 (0.5)
- Compared with SPY (0.42) in the period of the last 3 years, the downside risk / excess return profile of 0.84 is greater, thus better.

'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.'

Using this definition on our asset we see for example:- The Downside risk index over 5 years of J.B. Hunt Transport Services is 15 , which is higher, thus worse compared to the benchmark SPY (8.88 ) in the same period.
- Compared with SPY (11 ) in the period of the last 3 years, the Ulcer Index of 13 is higher, thus worse.

'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.'

Applying this definition to our asset in some examples:- Looking at the maximum drop from peak to valley of -41.4 days 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 (-33.7 days)
- Compared with SPY (-33.7 days) in the period of the last 3 years, the maximum reduction from previous high of -34 days is smaller, thus worse.

'The Maximum 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. It is the length of time the account was in the Max Drawdown. A Max Drawdown measures a retrenchment from when an equity curve reaches a new high. It’s the maximum an account lost during that retrenchment. This method is applied because a valley can’t be measured until a new high occurs. Once the new high is reached, the percentage change from the old high to the bottom of the largest trough is recorded.'

Using this definition on our asset we see for example:- Compared with the benchmark SPY (273 days) in the period of the last 5 years, the maximum time in days below previous high water mark of 524 days of J.B. Hunt Transport Services is larger, thus worse.
- Looking at maximum days under water in of 223 days in the period of the last 3 years, we see it is relatively lower, thus better in comparison to SPY (273 days).

'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.'

Which means for our asset as example:- Looking at the average time in days below previous high water mark of 145 days 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 (57 days)
- Looking at average days under water in of 54 days in the period of the last 3 years, we see it is relatively smaller, thus better in comparison to SPY (73 days).

Historical returns have been extended using synthetic data.
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- Note that yearly returns do not equal 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.