O'Reilly Automotive (ORLY)

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.'

• Compared with the benchmark SPY (60.6%) in the period of the last 5 years, the total return of 168.9% of O'Reilly Automotive is higher, thus better.
• During the last 3 years, the total return, or performance is 104.1%, which is higher, thus better than the value of 38% 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.'

• The annual performance (CAGR) over 5 years of O'Reilly Automotive is 22%, which is larger, thus better compared to the benchmark SPY (10%) in the same period.
• During the last 3 years, the annual performance (CAGR) is 27%, which is higher, thus better than the value of 11.3% from the benchmark.

Volatility:

'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.'

• Looking at the historical 30 days volatility of 28.3% in the last 5 years of O'Reilly Automotive, we see it is relatively greater, thus worse in comparison to the benchmark SPY (21.5%)
• Compared with SPY (17.9%) in the period of the last 3 years, the historical 30 days volatility of 23.6% is larger, thus worse.

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 volatility over 5 years of O'Reilly Automotive is 20.2%, which is larger, thus worse compared to the benchmark SPY (15.5%) in the same period.
• Looking at downside risk in of 17.1% in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to SPY (12.5%).

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 0.69 in the last 5 years of O'Reilly Automotive, we see it is relatively greater, thus better in comparison to the benchmark SPY (0.35)
• Looking at risk / return profile (Sharpe) in of 1.04 in the period of the last 3 years, we see it is relatively greater, thus better in comparison to SPY (0.49).

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.'

• Compared with the benchmark SPY (0.48) in the period of the last 5 years, the ratio of annual return and downside deviation of 0.96 of O'Reilly Automotive is higher, thus better.
• Compared with SPY (0.71) in the period of the last 3 years, the ratio of annual return and downside deviation of 1.43 is greater, thus better.

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.'

• Compared with the benchmark SPY (9.55 ) in the period of the last 5 years, the Ulcer Index of 7.69 of O'Reilly Automotive is smaller, thus better.
• Compared with SPY (10 ) in the period of the last 3 years, the Downside risk index of 6.12 is smaller, thus better.

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.'

• Compared with the benchmark SPY (-33.7 days) in the period of the last 5 years, the maximum DrawDown of -42 days of O'Reilly Automotive is lower, thus worse.
• During the last 3 years, the maximum drop from peak to valley is -23 days, which is greater, thus better than the value of -24.5 days from the benchmark.

MaxDuration:

'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.'

• Compared with the benchmark SPY (431 days) in the period of the last 5 years, the maximum days under water of 168 days of O'Reilly Automotive is smaller, thus better.
• During the last 3 years, the maximum days under water is 127 days, which is lower, thus better than the value of 431 days from the benchmark.

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 days below previous high over 5 years of O'Reilly Automotive is 41 days, which is smaller, thus better compared to the benchmark SPY (105 days) in the same period.
• Looking at average days under water in of 29 days in the period of the last 3 years, we see it is relatively smaller, thus better in comparison to SPY (144 days).