Kraft Heinz (KHC)

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, or performance of -48.2% in the last 5 years of Kraft Heinz, we see it is relatively lower, thus worse in comparison to the benchmark SPY (129.1%)
• Looking at total return, or increase in value in of -21.1% in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (71.3%).

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.'

• Looking at the annual performance (CAGR) of -12.3% in the last 5 years of Kraft Heinz, we see it is relatively smaller, thus worse in comparison to the benchmark SPY (18.1%)
• Looking at annual performance (CAGR) in of -7.6% in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (19.7%).

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.'

• Looking at the historical 30 days volatility of 31% in the last 5 years of Kraft Heinz, 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 historical 30 days volatility of 36.5% 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 deviation of 23% in the last 5 years of Kraft Heinz, we see it is relatively greater, thus worse in comparison to the benchmark SPY (13.6%)
• Compared with SPY (16.3%) in the period of the last 3 years, the downside deviation of 27.4% is larger, thus worse.

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.'

• Compared with the benchmark SPY (0.83) in the period of the last 5 years, the Sharpe Ratio of -0.48 of Kraft Heinz is lower, thus worse.
• Looking at ratio of return and volatility (Sharpe) in of -0.28 in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (0.76).

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.'

• Looking at the downside risk / excess return profile of -0.64 in the last 5 years of Kraft Heinz, we see it is relatively smaller, thus worse in comparison to the benchmark SPY (1.15)
• During the last 3 years, the ratio of annual return and downside deviation is -0.37, which is smaller, thus worse than the value of 1.05 from the benchmark.

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.'

• Compared with the benchmark SPY (5.59 ) in the period of the last 5 years, the Ulcer Ratio of 48 of Kraft Heinz is larger, thus worse.
• Looking at Ulcer Index in of 37 in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to SPY (6.38 ).

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 Kraft Heinz is -76.1 days, which is lower, thus worse compared to the benchmark SPY (-33.7 days) in the same period.
• Looking at maximum drop from peak to valley in of -62.1 days in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (-33.7 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.'

• Looking at the maximum days under water of 1173 days in the last 5 years of Kraft Heinz, we see it is relatively larger, thus worse in comparison to the benchmark SPY (139 days)
• During the last 3 years, the maximum days under water is 752 days, which is larger, thus worse than the value of 119 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.'

• Compared with the benchmark SPY (32 days) in the period of the last 5 years, the average days below previous high of 554 days of Kraft Heinz is larger, thus worse.
• During the last 3 years, the average days under water is 376 days, which is higher, thus worse than the value of 25 days from the benchmark.