Green Mountain Coffee Roasters (GMCR)

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.'

• Compared with the benchmark SPY (95.7%) 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.
• During the last 3 years, the total return is 92.5%, which is larger, thus better than the value of 81.1% from the benchmark.

CAGR:

'Compound annual growth rate (CAGR) is a business and investing specific term for the geometric progression ratio that provides a constant rate of return over the time period. CAGR is not an accounting term, but it is often used to describe some element of the business, for example revenue, units delivered, registered users, etc. CAGR dampens the effect of volatility of periodic returns that can render arithmetic means irrelevant. It is particularly useful to compare growth rates from various data sets of common domain such as revenue growth of companies in the same industry.'

• Looking at the compounded annual growth rate (CAGR) of 18.4% in the last 5 years of Green Mountain Coffee Roasters, we see it is relatively higher, thus better in comparison to the benchmark SPY (14.4%)
• Compared with SPY (22.1%) in the period of the last 3 years, the compounded annual growth rate (CAGR) of 24.4% is greater, thus better.

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.'

• Compared with the benchmark SPY (17.1%) in the period of the last 5 years, the 30 days standard deviation of 73.6% of Green Mountain Coffee Roasters is higher, thus worse.
• Looking at 30 days standard deviation in of 63.6% in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to SPY (15.3%).

DownVol:

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

• The downside risk over 5 years of Green Mountain Coffee Roasters is 44.8%, which is higher, thus worse compared to the benchmark SPY (11.8%) in the same period.
• During the last 3 years, the downside volatility is 31.3%, which is larger, thus worse than the value of 10.2% from the benchmark.

Sharpe:

'The Sharpe ratio is the measure of risk-adjusted return of a financial portfolio. Sharpe ratio is a measure of excess portfolio return over the risk-free rate relative to its standard deviation. Normally, the 90-day Treasury bill rate is taken as the proxy for risk-free rate. A portfolio with a higher Sharpe ratio is considered superior relative to its peers. The measure was named after William F Sharpe, a Nobel laureate and professor of finance, emeritus at Stanford University.'

• Looking at the risk / return profile (Sharpe) of 0.22 in the last 5 years of Green Mountain Coffee Roasters, we see it is relatively smaller, thus worse in comparison to the benchmark SPY (0.7)
• 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 (1.28).

Sortino:

'The Sortino ratio, a variation of the Sharpe ratio only factors in the downside, or negative volatility, rather than the total volatility used in calculating the Sharpe ratio. The theory behind the Sortino variation is that upside volatility is a plus for the investment, and it, therefore, should not be included in the risk calculation. Therefore, the Sortino ratio takes upside volatility out of the equation and uses only the downside standard deviation in its calculation instead of the total standard deviation that is used in calculating the Sharpe ratio.'

• Compared with the benchmark SPY (1.01) in the period of the last 5 years, the downside risk / excess return profile of 0.35 of Green Mountain Coffee Roasters is smaller, thus worse.
• Looking at excess return divided by the 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 (1.92).

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.'

• Looking at the Downside risk index of 45 in the last 5 years of Green Mountain Coffee Roasters, we see it is relatively greater, thus worse in comparison to the benchmark SPY (8.42 )
• During the last 3 years, the Downside risk index is 31 , which is larger, thus worse than the value of 3.52 from the benchmark.

MaxDD:

'A maximum drawdown is the maximum loss from a peak to a trough of a portfolio, before a new peak is attained. Maximum Drawdown is an indicator of downside risk over a specified time period. It can be used both as a stand-alone measure or as an input into other metrics such as 'Return over Maximum Drawdown' and the Calmar Ratio. Maximum Drawdown is expressed in percentage terms.'

• The maximum reduction from previous high over 5 years of Green Mountain Coffee Roasters is -84.3 days, which is smaller, thus worse compared to the benchmark SPY (-24.5 days) in the same period.
• During the last 3 years, the maximum reduction from previous high is -74.1 days, which is lower, thus worse than the value of -18.8 days from the benchmark.

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.'

• Looking at the maximum days under water 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 (488 days)
• 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 larger, thus worse in comparison to SPY (87 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.'

• Looking at the average days below previous high 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)
• During the last 3 years, the average days under water is 91 days, which is higher, thus worse than the value of 21 days from the benchmark.