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 is the amount of value an investor earns from a security over a specific period, typically one year, when all distributions are reinvested. Total return is expressed as a percentage of the amount invested. For example, a total return of 20% means the security increased by 20% of its original value due to a price increase, distribution of dividends (if a stock), coupons (if a bond) or capital gains (if a fund). Total return is a strong measure of an investment’s overall performance.'

Which means for our asset as example:
  • Compared with the benchmark SPY (107.7%) in the period of the last 5 years, the total return of 131.9% of Green Mountain Coffee Roasters is higher, thus better.
  • Looking at total return in of 92.5% in the period of the last 3 years, we see it is relatively larger, thus better in comparison to SPY (33.8%).

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:
  • Looking at the annual performance (CAGR) of 18.4% in the last 5 years of Green Mountain Coffee Roasters, we see it is relatively greater, thus better in comparison to the benchmark SPY (15.8%)
  • During the last 3 years, the compounded annual growth rate (CAGR) is 24.4%, which is greater, thus better than the value of 10.2% from the benchmark.

Volatility:

'Volatility is a rate at which the price of a security increases or decreases for a given set of returns. Volatility is measured by calculating the standard deviation of the annualized returns over a given period of time. It shows the range to which the price of a security may increase or decrease. Volatility measures the risk of a security. It is used in option pricing formula to gauge the fluctuations in the returns of the underlying assets. Volatility indicates the pricing behavior of the security and helps estimate the fluctuations that may happen in a short period of time.'

Applying this definition to our asset in some examples:
  • Compared with the benchmark SPY (20.9%) in the period of the last 5 years, the historical 30 days volatility of 73.6% of Green Mountain Coffee Roasters is greater, thus worse.
  • Looking at volatility in of 63.6% in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (17.5%).

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 risk over 5 years of Green Mountain Coffee Roasters is 44.8%, which is greater, thus worse compared to the benchmark SPY (14.9%) in the same period.
  • Looking at downside risk 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 (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:
  • Compared with the benchmark SPY (0.63) in the period of the last 5 years, the risk / return profile (Sharpe) of 0.22 of Green Mountain Coffee Roasters is smaller, thus worse.
  • Compared with SPY (0.44) in the period of the last 3 years, the risk / return profile (Sharpe) of 0.34 is lower, thus worse.

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.'

Applying this definition to our asset in some examples:
  • Compared with the benchmark SPY (0.89) in the period of the last 5 years, the excess return divided by the downside deviation of 0.35 of Green Mountain Coffee Roasters is lower, thus worse.
  • Compared with SPY (0.63) in the period of the last 3 years, the excess return divided by the downside deviation of 0.7 is higher, thus better.

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.'

Which means for our asset as example:
  • Compared with the benchmark SPY (9.32 ) 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 Index is 31 , which is higher, thus worse than the value of 10 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.'

Using this definition on our asset we see for example:
  • Looking at the maximum reduction from previous high 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)
  • Looking at maximum DrawDown in of -74.1 days in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (-24.5 days).

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:
  • The maximum days under water over 5 years of Green Mountain Coffee Roasters is 601 days, which is greater, 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 lower, thus better in comparison to SPY (488 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.'

Using this definition on our asset we see for example:
  • Compared with the benchmark SPY (123 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 larger, thus worse.
  • During the last 3 years, the average days under water is 91 days, which is lower, thus better than the value of 178 days from the benchmark.

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.