Description

DELISTED - Green Mountain Coffee Roasters, Inc. (GMCR) is a specialty coffee and coffee maker. It sells Keurig Single Cup Brewers and Arabica bean coffees, including Fair Trade Certified, certified organic, flavored, limited edition and blends offered in K-Cup and Vue packs (single serve packs) for use with its Keurig Single Cup Brewers. The Company's brewing technology, Keurig Single Cup Brewing System combined with an array of beverage brands, offers a variety of options to consumer from the kitchen countertop, to small offices and dorm rooms, to hotels. It also offers traditional whole bean and ground coffee in other package types including bags, fractional packages and cans. In addition, it produces and sells other specialty beverages in single serve packs including hot and iced teas, iced coffees, hot and iced fruit brews, hot cocoa and other dairy-based beverages. It sources, produces, and sells more than 30 brands and 250 varieties of coffee, cocoa, teas, and other specialty beverages.

Statistics (YTD)

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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:
  • Compared with the benchmark SPY (110.9%) in the period of the last 5 years, the total return, or increase in value of 131.9% of Green Mountain Coffee Roasters is larger, thus better.
  • Compared with SPY (69.3%) in the period of the last 3 years, the total return, or increase in value of 92.5% is larger, thus better.

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:
  • The compounded annual growth rate (CAGR) over 5 years of Green Mountain Coffee Roasters is 18.4%, which is larger, thus better compared to the benchmark SPY (16.1%) in the same period.
  • Compared with SPY (19.3%) in the period of the last 3 years, the compounded annual growth rate (CAGR) of 24.4% is higher, thus better.

Volatility:

'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 73.6% in the last 5 years of Green Mountain Coffee Roasters, we see it is relatively higher, thus worse in comparison to the benchmark SPY (17.5%)
  • During the last 3 years, the 30 days standard deviation is 63.6%, which is greater, thus worse than the value of 17.5% from the benchmark.

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.'

Which means for our asset as example:
  • The downside volatility over 5 years of Green Mountain Coffee Roasters is 44.8%, which is larger, thus worse compared to the benchmark SPY (12.1%) in the same period.
  • Compared with SPY (11.5%) in the period of the last 3 years, the downside volatility of 31.3% is higher, 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.'

Using this definition on our asset we see for example:
  • Compared with the benchmark SPY (0.78) in the period of the last 5 years, the Sharpe Ratio of 0.22 of Green Mountain Coffee Roasters is lower, thus worse.
  • Looking at risk / return profile (Sharpe) in of 0.34 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (0.96).

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.'

Applying this definition to our asset in some examples:
  • Compared with the benchmark SPY (1.13) in the period of the last 5 years, the ratio of annual return and downside deviation of 0.35 of Green Mountain Coffee Roasters is lower, thus worse.
  • Looking at ratio of annual return and downside deviation in of 0.7 in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (1.46).

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.'

Which means for our asset as example:
  • The Downside risk index over 5 years of Green Mountain Coffee Roasters is 45 , which is greater, thus worse compared to the benchmark SPY (8.48 ) in the same period.
  • During the last 3 years, the Downside risk index is 31 , which is larger, thus worse than the value of 5.3 from the benchmark.

MaxDD:

'Maximum drawdown measures the loss in any losing period during a fund’s investment record. It is defined as the percent retrenchment from a fund’s peak value to the fund’s valley value. The drawdown is in effect from the time the fund’s retrenchment begins until a new fund high is reached. The maximum drawdown encompasses both the period from the fund’s peak to the fund’s valley (length), and the time from the fund’s valley to a new fund high (recovery). It measures the largest percentage drawdown that has occurred in any fund’s data record.'

Using this definition on our asset we see for example:
  • Compared with the benchmark SPY (-24.5 days) in the period of the last 5 years, the maximum reduction from previous high of -84.3 days of Green Mountain Coffee Roasters is lower, thus worse.
  • Compared with SPY (-18.8 days) in the period of the last 3 years, the maximum reduction from previous high of -74.1 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.'

Applying this definition to our asset in some examples:
  • The maximum days below previous high over 5 years of Green Mountain Coffee Roasters is 601 days, which is larger, thus worse compared to the benchmark SPY (488 days) in the same period.
  • Looking at maximum time in days below previous high water mark in of 322 days in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to SPY (199 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:
  • Looking at the average time in days below previous high water mark of 199 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 (120 days)
  • Compared with SPY (47 days) in the period of the last 3 years, the average time in days below previous high water mark of 91 days is greater, thus worse.

Performance (YTD)

Historical returns have been extended using synthetic data.

Allocations ()

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 and do not account for slippage, fees or taxes.