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 (145.1%) in the period of the last 5 years, the total return, or increase in value of 194.6% of PACCAR is greater, thus better.
• Looking at total return in of 96.6% in the period of the last 3 years, we see it is relatively larger, thus better in comparison to SPY (29.4%).

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 performance (CAGR) of 24.2% in the last 5 years of PACCAR, we see it is relatively higher, thus better in comparison to the benchmark SPY (19.7%)
• Compared with SPY (9%) in the period of the last 3 years, the compounded annual growth rate (CAGR) of 25.5% is larger, thus better.

Volatility:

'In finance, volatility (symbol σ) is the degree of variation of a trading price series over time as measured by the standard deviation of logarithmic returns. Historic volatility measures a time series of past market prices. Implied volatility looks forward in time, being derived from the market price of a market-traded derivative (in particular, an option). Commonly, the higher the volatility, the riskier the security.'

• The historical 30 days volatility over 5 years of PACCAR is 25.3%, which is greater, thus worse compared to the benchmark SPY (17.4%) in the same period.
• Looking at 30 days standard deviation in of 25% in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (17%).

DownVol:

'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 volatility of 17.2% is greater, thus worse.

Sharpe:

'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.'

• Compared with the benchmark SPY (0.99) in the period of the last 5 years, the risk / return profile (Sharpe) of 0.86 of PACCAR is lower, thus worse.
• Compared with SPY (0.38) in the period of the last 3 years, the risk / return profile (Sharpe) of 0.92 is larger, thus better.

Sortino:

'The Sortino ratio, a variation of the Sharpe ratio only factors in the downside, or negative volatility, rather than the total volatility used in calculating the Sharpe ratio. The theory behind the Sortino variation is that upside volatility is a plus for the investment, and it, therefore, should not be included in the risk calculation. Therefore, the Sortino ratio takes upside volatility out of the equation and uses only the downside standard deviation in its calculation instead of the total standard deviation that is used in calculating the Sharpe ratio.'

• Looking at the downside risk / excess return profile of 1.28 in the last 5 years of PACCAR, we see it is relatively lower, thus worse in comparison to the benchmark SPY (1.44)
• During the last 3 years, the downside risk / excess return profile is 1.33, which is larger, thus better than the value of 0.54 from the benchmark.

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.'

• Looking at the Ulcer Index of 9.62 in the last 5 years of PACCAR, we see it is relatively larger, thus worse in comparison to the benchmark SPY (8.31 )
• During the last 3 years, the Ulcer Index is 9.48 , which is higher, thus worse than the value of 8.15 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 reduction from previous high of -26.2 days of PACCAR is lower, thus worse.
• Compared with SPY (-21.3 days) in the period of the last 3 years, the maximum drop from peak to valley of -26.2 days is lower, 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.'

• Compared with the benchmark SPY (488 days) in the period of the last 5 years, the maximum days below previous high of 432 days of PACCAR is lower, thus better.
• During the last 3 years, the maximum days below previous high is 253 days, which is lower, thus better than the value of 318 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 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.
• Looking at average days under water in of 63 days in the period of the last 3 years, we see it is relatively smaller, thus better in comparison to SPY (86 days).