Description of The Kraft Heinz Company

The Kraft Heinz Company - Common Stock

Statistics of The Kraft Heinz Company (YTD)

What do these metrics mean? [Read More] [Hide]

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.'

Using this definition on our asset we see for example:
  • Compared with the benchmark SPY (68.1%) in the period of the last 5 years, the total return of % of The Kraft Heinz Company is smaller, thus worse.
  • Compared with SPY (47.1%) in the period of the last 3 years, the total return, or increase in value of -54.4% 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.'

Using this definition on our asset we see for example:
  • The compounded annual growth rate (CAGR) over 5 years of The Kraft Heinz Company is %, which is smaller, thus worse compared to the benchmark SPY (11%) in the same period.
  • Looking at compounded annual growth rate (CAGR) in of -23.1% in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (13.8%).

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.'

Which means for our asset as example:
  • The 30 days standard deviation over 5 years of The Kraft Heinz Company is %, which is smaller, thus better compared to the benchmark SPY (13.2%) in the same period.
  • Looking at historical 30 days volatility in of 26.4% in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to SPY (12.4%).

DownVol:

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

Using this definition on our asset we see for example:
  • Looking at the downside volatility of % in the last 5 years of The Kraft Heinz Company, we see it is relatively lower, thus better in comparison to the benchmark SPY (14.6%)
  • Looking at downside volatility in of 29.8% in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (14%).

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.'

Applying this definition to our asset in some examples:
  • Compared with the benchmark SPY (0.64) in the period of the last 5 years, the ratio of return and volatility (Sharpe) of of The Kraft Heinz Company is smaller, thus worse.
  • Looking at ratio of return and volatility (Sharpe) in of -0.97 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (0.91).

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.'

Applying this definition to our asset in some examples:
  • Looking at the excess return divided by the downside deviation of in the last 5 years of The Kraft Heinz Company, we see it is relatively lower, thus worse in comparison to the benchmark SPY (0.58)
  • Looking at excess return divided by the downside deviation in of -0.86 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (0.8).

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.'

Which means for our asset as example:
  • The Ulcer Index over 5 years of The Kraft Heinz Company is , which is lower, thus worse compared to the benchmark SPY (3.95 ) in the same period.
  • Compared with SPY (4 ) in the period of the last 3 years, the Ulcer Ratio of 26 is greater, thus better.

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.'

Which means for our asset as example:
  • Compared with the benchmark SPY (-19.3 days) in the period of the last 5 years, the maximum drop from peak to valley of days of The Kraft Heinz Company is larger, thus better.
  • Looking at maximum DrawDown in of -64.2 days in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (-19.3 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). Many assume Max DD Duration is the length of time between new highs during which the Max DD (magnitude) occurred. But that isn’t always the case. The Max DD duration is the longest time between peaks, period. So it could be the time when the program also had its biggest peak to valley loss (and usually is, because the program needs a long time to recover from the largest loss), but it doesn’t have to be'

Which means for our asset as example:
  • The maximum days below previous high over 5 years of The Kraft Heinz Company is days, which is lower, thus better compared to the benchmark SPY (187 days) in the same period.
  • During the last 3 years, the maximum days under water is 521 days, which is higher, thus worse than the value of 131 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.'

Which means for our asset as example:
  • Looking at the average days below previous high of days in the last 5 years of The Kraft Heinz Company, we see it is relatively lower, thus better in comparison to the benchmark SPY (39 days)
  • Looking at average days below previous high in of 196 days in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to SPY (33 days).

Performance of The Kraft Heinz Company (YTD)

Historical returns have been extended using synthetic data.

Allocations of The Kraft Heinz Company
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Allocations

Returns of The Kraft Heinz Company (%)

  • "Year" returns in the table above are not equal to the sum of monthly returns due to compounding.
  • Performance results of The Kraft Heinz Company are hypothetical, do not account for slippage, fees or taxes, and are based on backtesting, which has many inherent limitations, some of which are described in our Terms of Use.