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)

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.'

Which means for our asset as example:
  • Looking at the total return, or increase in value of 131.9% in the last 5 years of Green Mountain Coffee Roasters, we see it is relatively higher, thus better in comparison to the benchmark SPY (105.9%)
  • During the last 3 years, the total return is 92.5%, which is higher, thus better than the value of 51.7% from the benchmark.

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.'

Which means for our asset as example:
  • The annual return (CAGR) over 5 years of Green Mountain Coffee Roasters is 18.4%, which is larger, thus better compared to the benchmark SPY (15.6%) in the same period.
  • Compared with SPY (15%) in the period of the last 3 years, the annual performance (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.'

Applying this definition to our asset in some examples:
  • The historical 30 days volatility over 5 years of Green Mountain Coffee Roasters is 73.6%, which is higher, thus worse compared to the benchmark SPY (17.9%) in the same period.
  • Compared with SPY (18.1%) in the period of the last 3 years, the historical 30 days volatility of 63.6% is larger, thus worse.

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.'

Which means for our asset as example:
  • The downside deviation over 5 years of Green Mountain Coffee Roasters is 44.8%, which is larger, thus worse compared to the benchmark SPY (12.4%) in the same period.
  • Looking at downside volatility in of 31.3% in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to SPY (12.2%).

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.'

Which means for our asset as example:
  • The Sharpe Ratio over 5 years of Green Mountain Coffee Roasters is 0.22, which is lower, thus worse compared to the benchmark SPY (0.73) in the same period.
  • Looking at Sharpe Ratio in of 0.34 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (0.69).

Sortino:

'The Sortino ratio measures the risk-adjusted return of an investment asset, portfolio, or strategy. It is a modification of the Sharpe ratio but penalizes only those returns falling below a user-specified target or required rate of return, while the Sharpe ratio penalizes both upside and downside volatility equally. Though both ratios measure an investment's risk-adjusted return, they do so in significantly different ways that will frequently lead to differing conclusions as to the true nature of the investment's return-generating efficiency. The Sortino ratio is used as a way to compare the risk-adjusted performance of programs with differing risk and return profiles. In general, risk-adjusted returns seek to normalize the risk across programs and then see which has the higher return unit per risk.'

Which means for our asset as example:
  • Compared with the benchmark SPY (1.05) in the period of the last 5 years, the downside risk / excess return profile 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 lower, thus worse in comparison to SPY (1.03).

Ulcer:

'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.'

Using this definition on our asset we see for example:
  • Compared with the benchmark SPY (8.49 ) in the period of the last 5 years, the Ulcer Ratio of 45 of Green Mountain Coffee Roasters is higher, thus worse.
  • Compared with SPY (5.53 ) in the period of the last 3 years, the Ulcer Index of 31 is greater, thus worse.

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:
  • The maximum reduction from previous high over 5 years of Green Mountain Coffee Roasters is -84.3 days, which is lower, thus worse compared to the benchmark SPY (-24.5 days) in the same period.
  • Compared with SPY (-18.8 days) in the period of the last 3 years, the maximum drop from peak to valley of -74.1 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.'

Which means for our asset as example:
  • The maximum time in days below previous high water mark over 5 years of Green Mountain Coffee Roasters is 601 days, which is higher, thus worse compared to the benchmark SPY (488 days) in the same period.
  • Compared with SPY (199 days) in the period of the last 3 years, the maximum days under water of 322 days is higher, thus worse.

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.'

Which means for our asset as example:
  • The average days under water over 5 years of Green Mountain Coffee Roasters is 199 days, which is larger, thus worse compared to the benchmark SPY (119 days) in the same period.
  • Compared with SPY (46 days) in the period of the last 3 years, the average days under water of 91 days is larger, 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.