Green Mountain Coffee Roasters (GMCR)

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.'

• Looking at the total return, or performance of 127.2% in the last 5 years of Green Mountain Coffee Roasters, we see it is relatively higher, thus better in comparison to the benchmark SPY (66.2%)
• Compared with SPY (36.8%) in the period of the last 3 years, the total return, or performance of 87.4% is greater, thus better.

CAGR:

'The compound annual growth rate (CAGR) is a useful measure of growth over multiple time periods. It can be thought of as the growth rate that gets you from the initial investment value to the ending investment value if you assume that the investment has been compounding over the time period.'

• Compared with the benchmark SPY (10.7%) in the period of the last 5 years, the annual performance (CAGR) of 17.9% of Green Mountain Coffee Roasters is larger, 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 (11%).

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.'

• Compared with the benchmark SPY (19%) in the period of the last 5 years, the volatility of 73.6% of Green Mountain Coffee Roasters is higher, thus worse.
• Compared with SPY (22%) in the period of the last 3 years, the volatility of 63.6% is higher, thus worse.

DownVol:

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

• Looking at the downside deviation of 44.7% in the last 5 years of Green Mountain Coffee Roasters, we see it is relatively greater, thus worse in comparison to the benchmark SPY (13.9%)
• 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 (16.1%).

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.'

• The ratio of return and volatility (Sharpe) over 5 years of Green Mountain Coffee Roasters is 0.21, which is lower, thus worse compared to the benchmark SPY (0.43) in the same period.
• During the last 3 years, the risk / return profile (Sharpe) is 0.33, which is lower, thus worse than the value of 0.39 from the benchmark.

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.'

• The excess return divided by the downside deviation over 5 years of Green Mountain Coffee Roasters is 0.34, which is smaller, thus worse compared to the benchmark SPY (0.59) in the same period.
• Compared with SPY (0.53) in the period of the last 3 years, the excess return divided by the downside deviation of 0.66 is higher, thus better.

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.'

• Compared with the benchmark SPY (5.9 ) in the period of the last 5 years, the Downside risk index of 45 of Green Mountain Coffee Roasters is larger, thus worse.
• Looking at Ulcer Index in of 31 in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to SPY (6.98 ).

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.'

• Compared with the benchmark SPY (-33.7 days) in the period of the last 5 years, the maximum drop from peak to valley of -84.3 days of Green Mountain Coffee Roasters is lower, thus worse.
• Compared with SPY (-33.7 days) in the period of the last 3 years, the maximum DrawDown of -74.5 days is smaller, 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.'

• 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)
• During the last 3 years, the maximum days under water is 322 days, which is larger, thus worse than the value of 139 days from the benchmark.

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.'

• The average days under water over 5 years of Green Mountain Coffee Roasters is 199 days, which is greater, thus worse compared to the benchmark SPY (44 days) in the same period.
• During the last 3 years, the average time in days below previous high water mark is 91 days, which is higher, thus worse than the value of 41 days from the benchmark.