'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.'

Using this definition on our asset we see for example:- Looking at the total return, or increase in value of 53% in the last 5 years of PACCAR, we see it is relatively lower, thus worse in comparison to the benchmark SPY (78.4%)
- Looking at total return in of 27.3% in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (44.1%).

'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.'

Which means for our asset as example:- Compared with the benchmark SPY (12.3%) in the period of the last 5 years, the annual performance (CAGR) of 8.9% of PACCAR is lower, thus worse.
- Compared with SPY (12.9%) in the period of the last 3 years, the annual return (CAGR) of 8.3% is smaller, thus worse.

'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.'

Which means for our asset as example:- Looking at the volatility of 26.8% in the last 5 years of PACCAR, we see it is relatively higher, thus worse in comparison to the benchmark SPY (19.9%)
- Looking at historical 30 days volatility in of 29.2% in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to SPY (23.1%).

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

Which means for our asset as example:- The downside volatility over 5 years of PACCAR is 18.3%, which is greater, thus worse compared to the benchmark SPY (14.6%) in the same period.
- Looking at downside volatility in of 19.3% in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (16.9%).

'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.'

Which means for our asset as example:- Compared with the benchmark SPY (0.49) in the period of the last 5 years, the Sharpe Ratio of 0.24 of PACCAR is lower, thus worse.
- Compared with SPY (0.45) in the period of the last 3 years, the ratio of return and volatility (Sharpe) of 0.2 is lower, thus worse.

'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.'

Which means for our asset as example:- The excess return divided by the downside deviation over 5 years of PACCAR is 0.35, which is smaller, thus worse compared to the benchmark SPY (0.67) in the same period.
- Looking at downside risk / excess return profile in of 0.3 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (0.62).

'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.'

Applying this definition to our asset in some examples:- Looking at the Ulcer Index of 12 in the last 5 years of PACCAR, we see it is relatively larger, thus worse in comparison to the benchmark SPY (6.16 )
- During the last 3 years, the Ulcer Ratio is 9.82 , which is higher, thus worse than the value of 6.87 from the benchmark.

'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.'

Using this definition on our asset we see for example:- The maximum DrawDown over 5 years of PACCAR is -37.9 days, which is lower, thus worse compared to the benchmark SPY (-33.7 days) in the same period.
- Compared with SPY (-33.7 days) in the period of the last 3 years, the maximum reduction from previous high of -37.9 days is lower, thus worse.

'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.'

Which means for our asset as example:- The maximum time in days below previous high water mark over 5 years of PACCAR is 435 days, which is greater, thus worse compared to the benchmark SPY (139 days) in the same period.
- Compared with SPY (119 days) in the period of the last 3 years, the maximum days below previous high of 322 days is larger, thus worse.

'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.'

Using this definition on our asset we see for example:- Looking at the average days under water of 137 days in the last 5 years of PACCAR, we see it is relatively greater, thus worse in comparison to the benchmark SPY (35 days)
- Looking at average days under water in of 94 days in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to SPY (27 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 PACCAR 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.