Werner Enterprises, Inc. (WERN)

Nasdaq Stock Exchange
USD
US9507551086
26 March 1990  –  30 January 2023

Performance

Annualized Return
10.95%
Sharpe Ratio
0.45
Maximum Drawdown
-52.61%

Metrics

Metric Werner Enterprises, Inc.
Initial Balance $10,000
Final Balance $304,526
Returns   [View more details]
Month-To-Date 14.46%
Year-To-Date 14.46%
3M 19.33%
6M 5.52%
Annual Return (3Y) 7.74%
Annual Return (5Y) 6.1%
Annual Return (All) 10.95%
Risk   [View more details]
Annual Volatility 41.88%
Max Drawdown -52.61%
Sharpe Ratio 0.45
Sortino Ratio 0.7
Adjusted Sortino (S/√2) 0.49

  • Initial balance: The amount of starting capital used to invest in the asset or portfolio. In this case, we're starting with a $10,000 investment on March 1990.
  • Final balance: The amount of capital we've accrued over time as of January 2023.
  • Annual return: Also known as annualized return, or CAGR (Compound Annual Growth Rate), measures how much an investment has increased on average each year, during a specific time period. The time period in this case is approximately 33 year(s). Even a small difference in return can have a big impact on the final balance over a long period of time.
  • Annual volatility: Basically indicates how much, in percentage points, the investment can deviate from its annual return, under most circumstances. An investment with an annual return of 5% and an annual volatility of 10% would indicate returns from approximately -5% to 15% most of the time. A lower volatility is usually preferred to ensure more steady returns over time.
  • Best year: The best performance attained over its lifetime in a given year.
  • Worst year: The worst performance undergone over its lifetime in a given year.
  • Max drawdown: The largest percentage drop from a peak to a trough of an asset or portfolio, before a new peak is attained. Maximum drawdown is an indicator of downside risk over a specified time period.
  • Sharpe Ratio: The Sharpe ratio measures the performance of an investment compared to a risk-free asset, after adjusting for its risk. A Sharpe Ratio above 1 is considered good.
  • Sortino Ratio: The Sortino Ratio is a variation of the Sharpe ratio that only penalizes the investment for negative volatility/outcomes, and not for positive volatility. A Sortino Ratio above 1 is considered good.
  • Adjusted Sortino Ratio: Sortino Ratio/√2. To allow for comparing the Sortino ratio to the Sharpe ratio, we multiply the risk measure of the Sortino ratio by the square root of 2 (which is the same as dividing the Sortino ratio by the square root of 2).
  • Ulcer Index: The Ulcer Index (UI) is a technical indicator that measures downside risk in terms of both the depth and duration of price declines.
  • Gain to Pain Ratio: The sum of all returns divided by the absolute value of the sum of all negative returns. In essence, the GPR shows the ratio of net returns to the losses incurred in getting those returns.

Annualized Returns

Annual Return 1y Annual Return 3y Annual Return 5y Annual Return 10y Annual Return 20y Annual Return
Werner Enterprises, Inc. 6.75% 7.74% 6.1% 9.23% 9.46% 10.95%

Annual Returns

Year Werner Enterprises, Inc.
1990 -12.32%
1991 70.85%
1992 58.4%
1993 34.55%
1994 -21.83%
1995 -14.27%
1996 34.97%
1997 13.71%
1998 8.4%
1999 -20.08%
2000 21.83%
2001 43.76%
2002 18.62%
2003 13.67%
2004 16.87%
2005 -12.3%
2006 -10.49%
2007 -1.59%
2008 16.55%
2009 23.18%
2010 24.29%
2011 9.95%
2012 -3.1%
2013 15.1%
2014 27.17%
2015 -24.27%
2016 16.32%
2017 44.64%
2018 -22.81%
2019 39.95%
2020 9%
2021 22.74%
2022 -14.4%
2023 14.46%

Werner Enterprises, Inc. had 23 positive years and 11 negative years. That's a positive ratio of 68%.

Monthly Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec YTD
1990 0% 0% -6.4% 0.2% 2.7% 0.2% -10% -15.6% -17.5% 0.3% 4.3% 38.8% -7.4%
1991 13.4% -2.6% 13.3% 3.7% 4% -2.8% 6.9% 4.2% 8.1% -3.1% -8.2% 21.6% 62.5%
1992 12.7% -4.6% 4.8% -1.8% 2% -8.5% 16.1% 0.7% 12.3% -5.1% 8.1% 13.8% 52.2%
1993 -7.6% -6% 12.7% -11.7% 9.5% 1.2% 0.1% 6.9% 5.9% 10.7% -3.7% 16.2% 37.9%
1994 -3.2% -1.7% -2.2% -6.6% 4.8% -0% -6.2% -2.9% 1% 0.1% -11.8% 5.6% -17.3%
1995 5.4% 0.8% -20.6% 6.4% -9.4% 3.9% -1.1% 2.5% 2.6% -9.6% 13.3% -4.7% -9.7%
1996 6.3% 7% 4.3% 1.2% 1% -6.6% 11.1% 47.1% -29.6% 0.1% -0.7% 4.3% 103.9%
1997 -0.5% -2.8% 7.1% 2.2% 1.9% -0.6% 11.1% 1.8% 10.8% 0.1% -11.8% -4.1% 18.9%
1998 12.3% 8.2% 2.5% -5.3% -1.6% 0.3% -15.3% -8.6% 6.8% 14.5% -8.7% 7.6% 21.8%
1999 17.5% -13.8% -11.9% 22.4% 0.3% 7.5% -4.7% 7.1% -16.6% -9.6% -5.9% -6.3% -11.3%
2000 -9.2% 4.9% 27.1% 10.5% -35.3% -4.5% 25.4% -6.9% -12.8% 19.1% 0.9% 20.3% 35%
2001 12.3% -12.4% 2.6% 16.3% -0.2% 22.3% -7.4% -0.2% -25.2% 29.5% 10.6% 1.5% 52.1%
2002 19.9% -18.7% 18% -15.2% 4.3% 15.2% -9.7% -7.1% 2.8% 11.4% 7.9% -2.4% 26.5%
2003 -15% 2.5% 2.7% 17.4% 1.3% -7.4% 13.2% 3.4% -7.3% -1.2% -0.1% 7.6% 17.6%
2004 -5.7% 3.9% -0.6% 5.6% -4.5% 10.5% -5.4% -11.1% 9.2% 9.8% 6.1% 0.6% 19.1%
2005 -5.7% 0.4% -9.2% -4.3% 1.3% 4.5% -3.3% -5.9% -2.9% 3.6% 14.3% -3.9% -9.7%
2006 9.6% -9.8% -5.5% 4.6% 1.5% 4.3% -11.2% 2.9% 1.2% -1.9% 1.6% -6.2% -7%
2007 9% 1.4% -5.8% 4.3% 2.2% 4.5% -3.5% -4.3% -7.6% 10.9% -7.7% -3% 2.4%
2008 20% -12.7% 4.3% 5.1% -2.6% -1.9% 28.5% -4.2% -4.8% -9.4% 0.3% -0.2% 30.6%
2009 -13.2% -9.2% 11% 8.5% 10% 0.7% -0.1% -3.2% 6.6% 0.9% 6.2% 6.1% 29.8%
2010 0.1% 12.8% 3.9% -3% 0.5% -2.9% 5.4% -13.4% 3% 4.1% 9.2% 4.7% 25.7%
2011 9.3% -4.5% 12.4% -1% -4.2% 0.1% -6% -1.1% -10.3% 13.8% 1.1% 2.8% 15.2%
2012 8.6% -7.3% 2.6% -4.8% 3% -1.6% -3.4% -3.6% -3.8% 8.4% 0.1% -0.1% -0.4%
2013 9.2% -2.5% 4.9% -4.7% 9% -3.2% -0.5% -4.2% 1.3% -0.5% 3.9% 2.7% 15.8%
2014 5.6% -0.8% -1.3% 0.6% 3.1% 0.4% -7.1% 1.3% 1.2% 9.5% 12.6% 0.6% 25.6%
2015 -8.4% 12.4% -2.1% -14.3% 2.4% -4.6% 7.8% -6.2% -5.2% 5.7% 1.9% -13% -23.4%
2016 3.2% 9.9% 2.3% -6.5% -1.8% -7.7% 9.6% -8.1% 1.1% 3.4% 12.5% -0.2% 20%
2017 4.3% -0.4% -6.4% 4.4% -0.2% 8% 1% 11.6% 10.6% -2.5% 7.2% 1.4% 40.2%
2018 5.3% -8.5% -2% -5.8% 14.3% -4% -0.8% -0.5% -4.3% -8.9% 5.2% -12.5% -20.6%
2019 11.4% 4.9% -1.1% -1.7% -6.2% 11.8% 6.7% -1.4% 8% 3.7% 0.7% -1% 36.8%
2020 1.5% -8.8% 7.9% 10.9% 15.2% -5.8% 1.3% 4.6% -8.7% -9.3% 5.2% -1.7% 16.1%
2021 0.1% 9.4% 9.9% -1.8% 3.8% -7.2% 2.9% 3.2% -6.1% 2.7% -0.5% 5.9% 23.4%
2022 -6.4% -2.5% -5.7% -3% 2.4% -5% 14.4% -9.5% -5.2% 4.3% 12.2% -8.2% -11.1%
2023 14.5% 0% 0% 0% 0% 0% 0% 0% 0% 0% 0% 0% 13.8%
Pos 69.7% 40.6% 57.6% 51.5% 69.7% 48.5% 48.5% 39.4% 51.5% 66.7% 69.7% 54.5% 70.6%
Avg 4.1% -1.6% 2.2% 1% 1.1% 0.6% 2% -0.6% -2.3% 3.2% 2.6% 2.9% 18.4%

Other Return Metrics

Metric Werner Enterprises, Inc.
Cumulative Return 2945.26%
Enh Ann Return 12.34%
Best Year 70.85%
Worst Year -24.27%
Best Month 47.07%
Worst Month -35.31%
Best Day 47.14%
Worst Day -35.7%
Win Ratio (Yearly) 67.65%
Win Ratio (Quarterly) 57.14%
Win Ratio (Monthly) 55.7%
Win Ratio (Daily) 50.6%

Annual Volatility

Annual Volatility 1y Annual Volatility 3y Annual Volatility 5y Annual Volatility 10y Annual Volatility 20y Annual Volatility
Werner Enterprises, Inc. 30.15% 31.84% 30.64% 28.03% 30.94% 41.88%

Sharpe Ratio

Sharpe Ratio 1y Sharpe Ratio 3y Sharpe Ratio 5y Sharpe Ratio 10y Sharpe Ratio 20y Sharpe Ratio
Werner Enterprises, Inc. 0.37 0.39 0.35 0.46 0.45 0.45

3-Year Rolling Sharpe Ratio

The rolling Sharpe Ratio gives a clue about the continued consistency or stability of the risk-adjusted returns.

Drawdown Periods

Simply said, a drawdown is the "pain" period experienced by an investor between a peak (new highs) and subsequent valley (a low point before moving higher). In the table below are the fifth largest drawdowns encountered for the portfolio/asset in question.

Werner Enterprises, Inc.

start valley end Drawdown days
1998-04-16 2000-10-18 2001-06-29 -52.61% 1170
2008-09-22 2009-03-09 2010-01-13 -45.62% 478
1994-03-24 1995-06-08 1996-08-12 -45.57% 872
1990-03-28 1990-10-12 1991-02-01 -44.55% 310
1996-09-10 1996-12-16 1998-04-02 -40.76% 569

The Werner Enterprises, Inc. took approximately 23 months on average to recover from a major drawdown. The longest drawdown lasted 43 months.

Underwater plot

The underwater plot shows you the drawdown periods on a chart. Whereas the performance chart usually gives you a positive viewpoint, the underwater plot gives you a pessimistic viewpoint. It helps you to visualize downtrends that occurred and how long it took for the portfolio's value to rebound to hit a new high after suffering a loss.

Other Risk Metrics

Metric Werner Enterprises, Inc.
Sharpe Ratio 0.45
Sortino Ratio 0.7
Adjusted Sortino (S/√2) 0.49
Calmar Ratio 0.21
Omega Ratio 0.21
Gain to Pain Ratio 0.09
Winckel Ratio 64.71
Ulcer Index 0.18
Kelly Criterion 4.35%
Skew 1.74
Kurtosis 47.12
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