Coca-Cola (KO)

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 64% in the last 5 years of Coca-Cola, we see it is relatively lower, thus worse in comparison to the benchmark SPY (75.6%)
• During the last 3 years, the total return, or increase in value is 35.3%, which is smaller, thus worse than the value of 40% 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 (11.9%) in the period of the last 5 years, the annual performance (CAGR) of 10.4% of Coca-Cola is lower, thus worse.
• Looking at compounded annual growth rate (CAGR) in of 10.6% in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (11.9%).

Volatility:

'Volatility is a rate at which the price of a security increases or decreases for a given set of returns. Volatility is measured by calculating the standard deviation of the annualized returns over a given period of time. It shows the range to which the price of a security may increase or decrease. Volatility measures the risk of a security. It is used in option pricing formula to gauge the fluctuations in the returns of the underlying assets. Volatility indicates the pricing behavior of the security and helps estimate the fluctuations that may happen in a short period of time.'

• Looking at the volatility of 21% in the last 5 years of Coca-Cola, we see it is relatively higher, thus worse in comparison to the benchmark SPY (20.3%)
• During the last 3 years, the historical 30 days volatility is 24.4%, which is larger, thus worse than the value of 23.6% from the benchmark.

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 15.4% in the last 5 years of Coca-Cola, we see it is relatively higher, thus worse in comparison to the benchmark SPY (14.9%)
• Compared with SPY (17.3%) in the period of the last 3 years, the downside deviation of 17.7% is larger, thus worse.

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 (0.46) in the period of the last 5 years, the risk / return profile (Sharpe) of 0.38 of Coca-Cola is smaller, thus worse.
• During the last 3 years, the ratio of return and volatility (Sharpe) is 0.33, which is lower, thus worse than the value of 0.4 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 excess return divided by the downside deviation over 5 years of Coca-Cola is 0.52, which is lower, thus worse compared to the benchmark SPY (0.63) in the same period.
• During the last 3 years, the ratio of annual return and downside deviation is 0.46, which is lower, thus worse than the value of 0.54 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.'

• Looking at the Downside risk index of 9.35 in the last 5 years of Coca-Cola, we see it is relatively greater, thus worse in comparison to the benchmark SPY (6.62 )
• Compared with SPY (7.55 ) in the period of the last 3 years, the Downside risk index of 11 is larger, 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 drop from peak to valley of -37 days in the last 5 years of Coca-Cola, we see it is relatively smaller, thus worse in comparison to the benchmark SPY (-33.7 days)
• Looking at maximum DrawDown in of -37 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 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)
• Compared with SPY (120 days) in the period of the last 3 years, the maximum days under water of 359 days is larger, 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.'

• Looking at the average days under water of 87 days in the last 5 years of Coca-Cola, we see it is relatively larger, thus worse in comparison to the benchmark SPY (37 days)
• Compared with SPY (31 days) in the period of the last 3 years, the average time in days below previous high water mark of 105 days is greater, thus worse.