Kraft Heinz (KHC)

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.'

• Compared with the benchmark SPY (91.7%) in the period of the last 5 years, the total return, or increase in value of -45.5% of Kraft Heinz is lower, thus worse.
• Compared with SPY (47.9%) in the period of the last 3 years, the total return, or performance of -52.2% is lower, thus worse.

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 -11.4% in the last 5 years of Kraft Heinz, we see it is relatively lower, thus worse in comparison to the benchmark SPY (13.9%)
• During the last 3 years, the annual performance (CAGR) is -21.8%, which is lower, thus worse than the value of 13.9% from the benchmark.

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.'

• The historical 30 days volatility over 5 years of Kraft Heinz is 31%, which is larger, thus worse compared to the benchmark SPY (19%) in the same period.
• Looking at historical 30 days volatility in of 36.8% in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (22.8%).

DownVol:

'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.'

• The downside volatility over 5 years of Kraft Heinz is 23%, which is higher, thus worse compared to the benchmark SPY (13.8%) in the same period.
• During the last 3 years, the downside deviation is 27.9%, which is greater, thus worse than the value of 16.7% from the benchmark.

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 Sharpe Ratio over 5 years of Kraft Heinz is -0.45, which is smaller, thus worse compared to the benchmark SPY (0.6) in the same period.
• During the last 3 years, the ratio of return and volatility (Sharpe) is -0.66, which is smaller, thus worse than the value of 0.5 from the benchmark.

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.'

• Looking at the downside risk / excess return profile of -0.6 in the last 5 years of Kraft Heinz, we see it is relatively smaller, thus worse in comparison to the benchmark SPY (0.82)
• During the last 3 years, the excess return divided by the downside deviation is -0.87, which is smaller, thus worse than the value of 0.68 from the benchmark.

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.'

• The Ulcer Ratio over 5 years of Kraft Heinz is 42 , which is greater, thus worse compared to the benchmark SPY (5.82 ) in the same period.
• Looking at Ulcer Ratio in of 49 in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to SPY (7.14 ).

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.'

• Looking at the maximum drop from peak to valley of -76.1 days in the last 5 years of Kraft Heinz, we see it is relatively lower, thus worse in comparison to the benchmark SPY (-33.7 days)
• Looking at maximum reduction from previous high in of -72.6 days in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (-33.7 days).

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.'

• Compared with the benchmark SPY (139 days) in the period of the last 5 years, the maximum days below previous high of 951 days of Kraft Heinz is greater, thus worse.
• During the last 3 years, the maximum days below previous high is 751 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.'

• Compared with the benchmark SPY (36 days) in the period of the last 5 years, the average time in days below previous high water mark of 375 days of Kraft Heinz is larger, thus worse.
• During the last 3 years, the average time in days below previous high water mark is 375 days, which is greater, thus worse than the value of 45 days from the benchmark.