Keurig Dr Pepper (KDP)

TotalReturn:

'The total return on a portfolio of investments takes into account not only the capital appreciation on the portfolio, but also the income received on the portfolio. The income typically consists of interest, dividends, and securities lending fees. This contrasts with the price return, which takes into account only the capital gain on an investment.'

• Looking at the total return of -60.5% in the last 5 years of Keurig Dr Pepper, we see it is relatively smaller, thus worse in comparison to the benchmark SPY (122.7%)
• During the last 3 years, the total return, or increase in value is 54.4%, which is smaller, thus worse than the value of 65.3% 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.'

• Compared with the benchmark SPY (17.4%) in the period of the last 5 years, the annual return (CAGR) of -17% of Keurig Dr Pepper is smaller, thus worse.
• Compared with SPY (18.2%) in the period of the last 3 years, the annual return (CAGR) of 15.6% is lower, thus worse.

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.'

• Looking at the volatility of 44.9% in the last 5 years of Keurig Dr Pepper, we see it is relatively higher, thus worse in comparison to the benchmark SPY (18.7%)
• Compared with SPY (22.5%) in the period of the last 3 years, the 30 days standard deviation of 28% is greater, 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 risk of 40% in the last 5 years of Keurig Dr Pepper, we see it is relatively greater, thus worse in comparison to the benchmark SPY (13.6%)
• During the last 3 years, the downside deviation is 18.5%, which is greater, thus worse than the value of 16.3% from the benchmark.

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.'

• Compared with the benchmark SPY (0.8) in the period of the last 5 years, the ratio of return and volatility (Sharpe) of -0.43 of Keurig Dr Pepper is lower, thus worse.
• During the last 3 years, the Sharpe Ratio is 0.47, which is lower, thus worse than the value of 0.7 from the benchmark.

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.'

• The ratio of annual return and downside deviation over 5 years of Keurig Dr Pepper is -0.49, which is lower, thus worse compared to the benchmark SPY (1.1) in the same period.
• Compared with SPY (0.96) in the period of the last 3 years, the excess return divided by the downside deviation of 0.71 is smaller, thus worse.

Ulcer:

'The ulcer index is a stock market risk measure or technical analysis indicator devised by Peter Martin in 1987, and published by him and Byron McCann in their 1989 book The Investors Guide to Fidelity Funds. It's designed as a measure of volatility, but only volatility in the downward direction, i.e. the amount of drawdown or retracement occurring over a period. Other volatility measures like standard deviation treat up and down movement equally, but a trader doesn't mind upward movement, it's the downside that causes stress and stomach ulcers that the index's name suggests.'

• Looking at the Ulcer Index of 60 in the last 5 years of Keurig Dr Pepper, we see it is relatively larger, thus worse in comparison to the benchmark SPY (5.58 )
• Looking at Downside risk index in of 7.94 in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (6.83 ).

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 DrawDown over 5 years of Keurig Dr Pepper is -83.6 days, which is lower, thus worse compared to the benchmark SPY (-33.7 days) in the same period.
• During the last 3 years, the maximum drop from peak to valley is -36.9 days, which is lower, thus worse than the value of -33.7 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.'

• The maximum days under water over 5 years of Keurig Dr Pepper is 772 days, which is larger, thus worse compared to the benchmark SPY (139 days) in the same period.
• Compared with SPY (139 days) in the period of the last 3 years, the maximum days below previous high of 164 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.'

• The average time in days below previous high water mark over 5 years of Keurig Dr Pepper is 267 days, which is higher, thus worse compared to the benchmark SPY (33 days) in the same period.
• Compared with SPY (35 days) in the period of the last 3 years, the average days below previous high of 43 days is larger, thus worse.