Description

McDonald's Corporation operates and franchises McDonald's restaurants in the United States and internationally. Its restaurants offer various food products and beverages, as well as breakfast menu. As of December 31, 2019, the company operated 38,695 restaurants. McDonald's Corporation was founded in 1940 and is based in Chicago, Illinois.

Statistics (YTD)

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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 (62.6%) in the period of the last 5 years, the total return of 77.7% of McDonald's is greater, thus better.
  • Compared with SPY (32.1%) in the period of the last 3 years, the total return, or performance of 50% is greater, thus better.

CAGR:

'Compound annual growth rate (CAGR) is a business and investing specific term for the geometric progression ratio that provides a constant rate of return over the time period. CAGR is not an accounting term, but it is often used to describe some element of the business, for example revenue, units delivered, registered users, etc. CAGR dampens the effect of volatility of periodic returns that can render arithmetic means irrelevant. It is particularly useful to compare growth rates from various data sets of common domain such as revenue growth of companies in the same industry.'

Using this definition on our asset we see for example:
  • Compared with the benchmark SPY (10.2%) in the period of the last 5 years, the annual performance (CAGR) of 12.2% of McDonald's is higher, thus better.
  • Looking at annual return (CAGR) in of 14.5% in the period of the last 3 years, we see it is relatively greater, thus better in comparison to SPY (9.7%).

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.'

Which means for our asset as example:
  • The historical 30 days volatility over 5 years of McDonald's is 24%, which is larger, thus worse compared to the benchmark SPY (21.5%) in the same period.
  • During the last 3 years, the historical 30 days volatility is 27.2%, which is higher, thus worse than the value of 24.8% from the benchmark.

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:
  • Compared with the benchmark SPY (15.6%) in the period of the last 5 years, the downside deviation of 16.4% of McDonald's is greater, thus worse.
  • Compared with SPY (17.9%) in the period of the last 3 years, the downside risk of 18.5% is higher, thus worse.

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.'

Using this definition on our asset we see for example:
  • The risk / return profile (Sharpe) over 5 years of McDonald's is 0.4, which is larger, thus better compared to the benchmark SPY (0.36) in the same period.
  • During the last 3 years, the risk / return profile (Sharpe) is 0.44, which is larger, thus better than the value of 0.29 from the benchmark.

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.'

Which means for our asset as example:
  • Compared with the benchmark SPY (0.5) in the period of the last 5 years, the downside risk / excess return profile of 0.59 of McDonald's is larger, thus better.
  • Looking at ratio of annual return and downside deviation in of 0.65 in the period of the last 3 years, we see it is relatively greater, thus better in comparison to SPY (0.4).

Ulcer:

'Ulcer Index is a method for measuring investment risk that addresses the real concerns of investors, unlike the widely used standard deviation of return. UI is a measure of the depth and duration of drawdowns in prices from earlier highs. Using Ulcer Index instead of standard deviation can lead to very different conclusions about investment risk and risk-adjusted return, especially when evaluating strategies that seek to avoid major declines in portfolio value (market timing, dynamic asset allocation, hedge funds, etc.). The Ulcer Index was originally developed in 1987. Since then, it has been widely recognized and adopted by the investment community. According to Nelson Freeburg, editor of Formula Research, Ulcer Index is “perhaps the most fully realized statistical portrait of risk there is.'

Which means for our asset as example:
  • Compared with the benchmark SPY (8.52 ) in the period of the last 5 years, the Ulcer Ratio of 7.58 of McDonald's is lower, thus better.
  • Compared with SPY (10 ) in the period of the last 3 years, the Downside risk index of 7.88 is lower, 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:
  • The maximum DrawDown over 5 years of McDonald's is -36.9 days, which is smaller, thus worse compared to the benchmark SPY (-33.7 days) in the same period.
  • During the last 3 years, the maximum DrawDown is -36.6 days, which is lower, thus worse than the value of -33.7 days from the benchmark.

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:
  • Compared with the benchmark SPY (235 days) in the period of the last 5 years, the maximum days below previous high of 249 days of McDonald's is larger, thus worse.
  • During the last 3 years, the maximum days below previous high is 152 days, which is lower, thus better than the value of 235 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.'

Applying this definition to our asset in some examples:
  • Looking at the average days below previous high of 63 days in the last 5 years of McDonald's, we see it is relatively higher, thus worse in comparison to the benchmark SPY (55 days)
  • During the last 3 years, the average time in days below previous high water mark is 45 days, which is smaller, thus better than the value of 59 days from the benchmark.

Performance (YTD)

Historical returns have been extended using synthetic data.

Allocations ()

Allocations

Returns (%)

  • Note that yearly returns do not equal the sum of monthly returns due to compounding.
  • Performance results of McDonald's 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.