Description

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Statistics (YTD)

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

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.'

Which means for our asset as example:
  • The total return, or increase in value over 5 years of Green Mountain Coffee Roasters is 127.2%, which is larger, thus better compared to the benchmark SPY (46.1%) in the same period.
  • Looking at total return in of 87.4% in the period of the last 3 years, we see it is relatively higher, thus better in comparison to SPY (23.5%).

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.'

Applying this definition to our asset in some examples:
  • Compared with the benchmark SPY (7.9%) in the period of the last 5 years, the annual return (CAGR) of 17.9% of Green Mountain Coffee Roasters is higher, thus better.
  • Looking at annual return (CAGR) in of 23.3% in the period of the last 3 years, we see it is relatively higher, thus better in comparison to SPY (7.3%).

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:
  • Looking at the volatility of 73.6% in the last 5 years of Green Mountain Coffee Roasters, we see it is relatively greater, thus worse in comparison to the benchmark SPY (18.3%)
  • Looking at historical 30 days volatility in of 63.6% in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to SPY (20.8%).

DownVol:

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

Applying this definition to our asset in some examples:
  • Looking at the downside volatility of 44.7% in the last 5 years of Green Mountain Coffee Roasters, we see it is relatively higher, thus worse in comparison to the benchmark SPY (13.4%)
  • Compared with SPY (15.4%) in the period of the last 3 years, the downside risk of 31.3% is higher, thus worse.

Sharpe:

'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.'

Applying this definition to our asset in some examples:
  • Looking at the Sharpe Ratio of 0.21 in the last 5 years of Green Mountain Coffee Roasters, we see it is relatively smaller, thus worse in comparison to the benchmark SPY (0.29)
  • Looking at Sharpe Ratio in of 0.33 in the period of the last 3 years, we see it is relatively larger, thus better in comparison to SPY (0.23).

Sortino:

'The Sortino ratio improves upon the Sharpe ratio by isolating downside volatility from total volatility by dividing excess return by the downside deviation. The Sortino ratio is a variation of the Sharpe ratio that differentiates harmful volatility from total overall volatility by using the asset's standard deviation of negative asset returns, called downside deviation. The Sortino ratio takes the asset's return and subtracts the risk-free rate, and then divides that amount by the asset's downside deviation. The ratio was named after Frank A. Sortino.'

Which means for our asset as example:
  • Looking at the downside risk / excess return profile of 0.34 in the last 5 years of Green Mountain Coffee Roasters, we see it is relatively smaller, thus worse in comparison to the benchmark SPY (0.4)
  • Compared with SPY (0.31) in the period of the last 3 years, the ratio of annual return and downside deviation of 0.66 is larger, thus better.

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.'

Which means for our asset as example:
  • Compared with the benchmark SPY (5.27 ) in the period of the last 5 years, the Downside risk index of 45 of Green Mountain Coffee Roasters is higher, thus worse.
  • During the last 3 years, the Ulcer Ratio is 31 , which is greater, thus worse than the value of 6.08 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.'

Applying this definition to our asset in some examples:
  • Looking at the maximum drop from peak to valley of -84.3 days in the last 5 years of Green Mountain Coffee Roasters, we see it is relatively lower, thus worse in comparison to the benchmark SPY (-33.7 days)
  • Compared with SPY (-33.7 days) in the period of the last 3 years, the maximum reduction from previous high of -74.5 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.'

Using this definition on our asset we see for example:
  • Looking at the maximum time in days below previous high water mark of 601 days in the last 5 years of Green Mountain Coffee Roasters, we see it is relatively higher, thus worse in comparison to the benchmark SPY (187 days)
  • Looking at maximum days under water in of 322 days in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (139 days).

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.'

Applying this definition to our asset in some examples:
  • Compared with the benchmark SPY (42 days) in the period of the last 5 years, the average time in days below previous high water mark of 199 days of Green Mountain Coffee Roasters is greater, thus worse.
  • Looking at average time in days below previous high water mark in of 91 days in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to SPY (36 days).

Performance (YTD)

Historical returns have been extended using synthetic data.

Allocations
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Allocations

Returns (%)

  • Note that yearly returns do not equal the sum of monthly returns due to compounding.
  • Performance results of Green Mountain Coffee Roasters 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.