PACCAR (PCAR)

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 (141.1%) in the period of the last 5 years, the total return, or performance of 193.3% of PACCAR is higher, thus better.
• Looking at total return, or performance in of 98.2% in the period of the last 3 years, we see it is relatively higher, thus better in comparison to SPY (30.2%).

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.'

• Compared with the benchmark SPY (19.3%) in the period of the last 5 years, the annual return (CAGR) of 24.1% of PACCAR is larger, thus better.
• Compared with SPY (9.3%) in the period of the last 3 years, the annual return (CAGR) of 25.8% is higher, thus better.

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.'

• The 30 days standard deviation over 5 years of PACCAR is 25.3%, which is higher, thus worse compared to the benchmark SPY (17.3%) in the same period.
• Compared with SPY (17%) in the period of the last 3 years, the historical 30 days volatility of 25% is greater, 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 deviation over 5 years of PACCAR is 16.9%, which is larger, thus worse compared to the benchmark SPY (12%) in the same period.
• Compared with SPY (12%) in the period of the last 3 years, the downside deviation of 17.2% is larger, 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.'

• The Sharpe Ratio over 5 years of PACCAR is 0.85, which is lower, thus worse compared to the benchmark SPY (0.97) in the same period.
• Looking at risk / return profile (Sharpe) in of 0.93 in the period of the last 3 years, we see it is relatively larger, thus better in comparison to SPY (0.4).

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.'

• The downside risk / excess return profile over 5 years of PACCAR is 1.28, which is smaller, thus worse compared to the benchmark SPY (1.4) in the same period.
• Compared with SPY (0.56) in the period of the last 3 years, the ratio of annual return and downside deviation of 1.35 is higher, thus better.

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.'

• Compared with the benchmark SPY (8.31 ) in the period of the last 5 years, the Downside risk index of 9.63 of PACCAR is higher, thus worse.
• During the last 3 years, the Ulcer Index is 9.49 , which is larger, thus worse than the value of 8.15 from the benchmark.

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.'

• Looking at the maximum DrawDown of -26.2 days in the last 5 years of PACCAR, we see it is relatively lower, thus worse in comparison to the benchmark SPY (-24.5 days)
• Compared with SPY (-21.3 days) in the period of the last 3 years, the maximum DrawDown of -26.2 days is smaller, thus worse.

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 days below previous high over 5 years of PACCAR is 432 days, which is lower, thus better compared to the benchmark SPY (488 days) in the same period.
• Compared with SPY (318 days) in the period of the last 3 years, the maximum days under water of 254 days is lower, thus better.

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 time in days below previous high water mark over 5 years of PACCAR is 119 days, which is greater, thus worse compared to the benchmark SPY (119 days) in the same period.
• Compared with SPY (86 days) in the period of the last 3 years, the average days below previous high of 63 days is lower, thus better.