Mondelez International (MDLZ)

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.'

• The total return, or increase in value over 5 years of Mondelez International is 52.9%, which is smaller, thus worse compared to the benchmark SPY (133.2%) in the same period.
• Looking at total return, or performance in of 60.8% in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (80.4%).

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.'

• Looking at the annual performance (CAGR) of 8.9% in the last 5 years of Mondelez International, we see it is relatively lower, thus worse in comparison to the benchmark SPY (18.5%)
• Compared with SPY (21.8%) in the period of the last 3 years, the annual performance (CAGR) of 17.2% is lower, 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.'

• The 30 days standard deviation over 5 years of Mondelez International is 21.9%, which is higher, thus worse compared to the benchmark SPY (18.7%) in the same period.
• During the last 3 years, the volatility is 23.5%, which is higher, thus worse than the value of 22.4% from the benchmark.

DownVol:

'Downside risk is the financial risk associated with losses. That is, it is the risk of the actual return being below the expected return, or the uncertainty about the magnitude of that difference. 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 Mondelez International is 14.8%, which is greater, thus worse compared to the benchmark SPY (13.6%) in the same period.
• Looking at downside volatility in of 15.8% in the period of the last 3 years, we see it is relatively lower, thus better in comparison to SPY (16.2%).

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.'

• The Sharpe Ratio over 5 years of Mondelez International is 0.29, which is lower, thus worse compared to the benchmark SPY (0.85) in the same period.
• Compared with SPY (0.86) in the period of the last 3 years, the Sharpe Ratio of 0.62 is lower, thus worse.

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.'

• Compared with the benchmark SPY (1.18) in the period of the last 5 years, the excess return divided by the downside deviation of 0.43 of Mondelez International is lower, thus worse.
• During the last 3 years, the excess return divided by the downside deviation is 0.93, which is lower, thus worse than the value of 1.19 from the benchmark.

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.'

• Looking at the Ulcer Ratio of 7.37 in the last 5 years of Mondelez International, we see it is relatively greater, thus worse in comparison to the benchmark SPY (5.59 )
• Compared with SPY (6.36 ) in the period of the last 3 years, the Downside risk index of 6.43 is higher, thus worse.

MaxDD:

'A maximum drawdown is the maximum loss from a peak to a trough of a portfolio, before a new peak is attained. Maximum Drawdown is an indicator of downside risk over a specified time period. It can be used both as a stand-alone measure or as an input into other metrics such as 'Return over Maximum Drawdown' and the Calmar Ratio. Maximum Drawdown is expressed in percentage terms.'

• Compared with the benchmark SPY (-33.7 days) in the period of the last 5 years, the maximum drop from peak to valley of -29.7 days of Mondelez International is larger, thus better.
• Compared with SPY (-33.7 days) in the period of the last 3 years, the maximum DrawDown of -29.7 days is larger, thus better.

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.'

• Compared with the benchmark SPY (139 days) in the period of the last 5 years, the maximum time in days below previous high water mark of 417 days of Mondelez International is greater, thus worse.
• Looking at maximum time in days below previous high water mark in of 138 days in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to SPY (119 days).

AveDuration:

'The Average 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. 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.'

• The average days under water over 5 years of Mondelez International is 99 days, which is larger, thus worse compared to the benchmark SPY (32 days) in the same period.
• During the last 3 years, the average days under water is 34 days, which is larger, thus worse than the value of 25 days from the benchmark.