Description of PACCAR

PACCAR Inc. - Common Stock

Statistics of PACCAR (YTD)

What do these metrics mean? [Read More] [Hide]

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.'

Applying this definition to our asset in some examples:
  • The total return, or increase in value over 5 years of PACCAR is 34.3%, which is lower, thus worse compared to the benchmark SPY (66.2%) in the same period.
  • Looking at total return in of 45.1% in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (47.5%).

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.'

Using this definition on our asset we see for example:
  • The annual performance (CAGR) over 5 years of PACCAR is 6.1%, which is lower, thus worse compared to the benchmark SPY (10.7%) in the same period.
  • During the last 3 years, the compounded annual growth rate (CAGR) is 13.2%, which is lower, thus worse than the value of 13.9% from the benchmark.

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.'

Applying this definition to our asset in some examples:
  • Compared with the benchmark SPY (13.3%) in the period of the last 5 years, the volatility of 23.2% of PACCAR is larger, thus worse.
  • During the last 3 years, the 30 days standard deviation is 22.9%, which is greater, thus worse than the value of 12.5% from the benchmark.

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.'

Applying this definition to our asset in some examples:
  • The downside deviation over 5 years of PACCAR is 23.9%, which is greater, thus worse compared to the benchmark SPY (14.6%) in the same period.
  • Compared with SPY (14.2%) in the period of the last 3 years, the downside deviation of 24.6% 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.'

Which means for our asset as example:
  • The ratio of return and volatility (Sharpe) over 5 years of PACCAR is 0.15, which is smaller, thus worse compared to the benchmark SPY (0.62) in the same period.
  • During the last 3 years, the ratio of return and volatility (Sharpe) is 0.47, which is lower, thus worse than the value of 0.91 from the benchmark.

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.'

Which means for our asset as example:
  • Looking at the downside risk / excess return profile of 0.15 in the last 5 years of PACCAR, we see it is relatively smaller, thus worse in comparison to the benchmark SPY (0.56)
  • Looking at downside risk / excess return profile in of 0.44 in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (0.8).

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.'

Applying this definition to our asset in some examples:
  • Compared with the benchmark SPY (3.96 ) in the period of the last 5 years, the Downside risk index of 14 of PACCAR is larger, thus better.
  • Compared with SPY (4.01 ) in the period of the last 3 years, the Downside risk index of 12 is higher, 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.'

Using this definition on our asset we see for example:
  • Looking at the maximum reduction from previous high of -33.6 days in the last 5 years of PACCAR, we see it is relatively lower, thus worse in comparison to the benchmark SPY (-19.3 days)
  • Compared with SPY (-19.3 days) in the period of the last 3 years, the maximum reduction from previous high of -29.6 days is lower, thus worse.

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.'

Applying this definition to our asset in some examples:
  • The maximum days below previous high over 5 years of PACCAR is 506 days, which is higher, thus worse compared to the benchmark SPY (187 days) in the same period.
  • Looking at maximum time in days below previous high water mark in of 328 days in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to SPY (139 days).

AveDuration:

'The Average 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. 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 164 days in the last 5 years of PACCAR, we see it is relatively larger, thus worse in comparison to the benchmark SPY (41 days)
  • Compared with SPY (36 days) in the period of the last 3 years, the average time in days below previous high water mark of 98 days is higher, thus worse.

Performance of PACCAR (YTD)

Historical returns have been extended using synthetic data.

Allocations of PACCAR
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Allocations

Returns of PACCAR (%)

  • "Year" returns in the table above are not equal to 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.