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.'

• Looking at the total return, or performance of 78.6% in the last 5 years of Mondelez International, we see it is relatively greater, thus better in comparison to the benchmark SPY (77.6%)
• Looking at total return, or increase in value in of 41.1% in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (53.5%).

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 12.3% in the last 5 years of Mondelez International, we see it is relatively greater, thus better in comparison to the benchmark SPY (12.2%)
• Compared with SPY (15.4%) in the period of the last 3 years, the annual return (CAGR) of 12.2% is lower, thus worse.

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.'

• The 30 days standard deviation over 5 years of Mondelez International is 20.4%, which is higher, thus worse compared to the benchmark SPY (13.3%) in the same period.
• Compared with SPY (13%) in the period of the last 3 years, the historical 30 days volatility of 17.6% is larger, thus worse.

DownVol:

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

• The downside volatility over 5 years of Mondelez International is 13.8%, which is greater, thus worse compared to the benchmark SPY (9.6%) in the same period.
• During the last 3 years, the downside risk is 11.6%, which is larger, thus worse than the value of 9.4% from the benchmark.

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 ratio of return and volatility (Sharpe) over 5 years of Mondelez International is 0.48, which is smaller, thus worse compared to the benchmark SPY (0.73) in the same period.
• Looking at Sharpe Ratio in of 0.55 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (0.99).

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.'

• The downside risk / excess return profile over 5 years of Mondelez International is 0.71, which is lower, thus worse compared to the benchmark SPY (1.01) in the same period.
• Compared with SPY (1.37) in the period of the last 3 years, the ratio of annual return and downside deviation of 0.83 is lower, 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.'

• Looking at the Downside risk index of 7.14 in the last 5 years of Mondelez International, we see it is relatively higher, thus worse in comparison to the benchmark SPY (3.97 )
• Compared with SPY (4.1 ) in the period of the last 3 years, the Downside risk index of 7.19 is greater, 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 (-19.3 days) in the period of the last 5 years, the maximum reduction from previous high of -22.3 days of Mondelez International is lower, thus worse.
• During the last 3 years, the maximum DrawDown is -18.8 days, which is higher, thus better than the value of -19.3 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) in days.'

• Compared with the benchmark SPY (187 days) in the period of the last 5 years, the maximum days below previous high of 417 days of Mondelez International is larger, thus worse.
• Compared with SPY (139 days) in the period of the last 3 years, the maximum time in days below previous high water mark of 417 days is greater, 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 145 days in the last 5 years of Mondelez International, we see it is relatively higher, thus worse in comparison to the benchmark SPY (42 days)
• Looking at average days under water in of 133 days in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to SPY (37 days).