Coca-Cola (KO)

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 (106.8%) in the period of the last 5 years, the total return of 67.2% of Coca-Cola is lower, thus worse.
• Compared with SPY (71.9%) in the period of the last 3 years, the total return, or increase in value of 39% 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 10.8% in the last 5 years of Coca-Cola, we see it is relatively lower, thus worse in comparison to the benchmark SPY (15.7%)
• Compared with SPY (19.8%) in the period of the last 3 years, the compounded annual growth rate (CAGR) of 11.6% is smaller, thus worse.

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 volatility of 20.1% in the last 5 years of Coca-Cola, we see it is relatively higher, thus worse in comparison to the benchmark SPY (18.9%)
• Compared with SPY (21.9%) in the period of the last 3 years, the volatility of 23.8% is higher, 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 volatility of 14.6% in the last 5 years of Coca-Cola, we see it is relatively higher, thus worse in comparison to the benchmark SPY (13.8%)
• During the last 3 years, the downside volatility is 17.3%, which is larger, thus worse than the value of 15.9% 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 ratio of return and volatility (Sharpe) over 5 years of Coca-Cola is 0.41, which is smaller, thus worse compared to the benchmark SPY (0.69) in the same period.
• During the last 3 years, the ratio of return and volatility (Sharpe) is 0.38, which is lower, thus worse than the value of 0.79 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.'

• Looking at the excess return divided by the downside deviation of 0.57 in the last 5 years of Coca-Cola, we see it is relatively smaller, thus worse in comparison to the benchmark SPY (0.95)
• Compared with SPY (1.09) in the period of the last 3 years, the excess return divided by the downside deviation of 0.53 is smaller, thus worse.

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 (5.61 ) in the period of the last 5 years, the Ulcer Index of 9.29 of Coca-Cola is larger, thus worse.
• Compared with SPY (6.08 ) in the period of the last 3 years, the Downside risk index of 11 is greater, thus worse.

MaxDD:

'Maximum drawdown is defined as the peak-to-trough decline of an investment during a specific period. It is usually quoted as a percentage of the peak value. The maximum drawdown can be calculated based on absolute returns, in order to identify strategies that suffer less during market downturns, such as low-volatility strategies. However, the maximum drawdown can also be calculated based on returns relative to a benchmark index, for identifying strategies that show steady outperformance over time.'

• Looking at the maximum DrawDown of -37 days in the last 5 years of Coca-Cola, we see it is relatively lower, thus worse in comparison to the benchmark SPY (-33.7 days)
• During the last 3 years, the maximum reduction from previous high is -37 days, which is lower, thus worse than the value of -33.7 days from the benchmark.

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.'

• Looking at the maximum days below previous high of 359 days in the last 5 years of Coca-Cola, 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 359 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.'

• Looking at the average days below previous high of 87 days in the last 5 years of Coca-Cola, we see it is relatively higher, thus worse in comparison to the benchmark SPY (32 days)
• Compared with SPY (22 days) in the period of the last 3 years, the average days below previous high of 107 days is greater, thus worse.