Mondelez International (MDLZ)

TotalReturn:

'Total return is the amount of value an investor earns from a security over a specific period, typically one year, when all distributions are reinvested. Total return is expressed as a percentage of the amount invested. For example, a total return of 20% means the security increased by 20% of its original value due to a price increase, distribution of dividends (if a stock), coupons (if a bond) or capital gains (if a fund). Total return is a strong measure of an investment’s overall performance.'

• The total return, or increase in value over 5 years of Mondelez International is 108%, which is larger, thus better compared to the benchmark SPY (67.9%) in the same period.
• Compared with SPY (44.5%) in the period of the last 3 years, the total return of 50.7% is greater, thus better.

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 compounded annual growth rate (CAGR) of 15.8% in the last 5 years of Mondelez International, we see it is relatively larger, thus better in comparison to the benchmark SPY (10.9%)
• During the last 3 years, the annual performance (CAGR) is 14.6%, which is higher, thus better than the value of 13.1% from the benchmark.

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.'

• The 30 days standard deviation over 5 years of Mondelez International is 21.8%, which is larger, thus worse compared to the benchmark SPY (21.4%) in the same period.
• During the last 3 years, the volatility is 18.2%, which is lower, thus better than the value of 18.7% from the benchmark.

DownVol:

'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 deviation over 5 years of Mondelez International is 14.8%, which is lower, thus better compared to the benchmark SPY (15.4%) in the same period.
• During the last 3 years, the downside volatility is 13%, which is lower, thus better than the value of 13.3% from the benchmark.

Sharpe:

'The Sharpe ratio is the measure of risk-adjusted return of a financial portfolio. Sharpe ratio is a measure of excess portfolio return over the risk-free rate relative to its standard deviation. Normally, the 90-day Treasury bill rate is taken as the proxy for risk-free rate. A portfolio with a higher Sharpe ratio is considered superior relative to its peers. The measure was named after William F Sharpe, a Nobel laureate and professor of finance, emeritus at Stanford University.'

• Compared with the benchmark SPY (0.39) in the period of the last 5 years, the Sharpe Ratio of 0.61 of Mondelez International is greater, thus better.
• Looking at Sharpe Ratio in of 0.67 in the period of the last 3 years, we see it is relatively larger, thus better in comparison to SPY (0.56).

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 0.9 in the last 5 years of Mondelez International, we see it is relatively larger, thus better in comparison to the benchmark SPY (0.55)
• During the last 3 years, the excess return divided by the downside deviation is 0.94, which is larger, thus better than the value of 0.79 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.'

• Compared with the benchmark SPY (9.47 ) in the period of the last 5 years, the Ulcer Ratio of 6.28 of Mondelez International is smaller, thus better.
• During the last 3 years, the Ulcer Index is 5.56 , which is smaller, thus better than the value of 10 from the benchmark.

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.'

• The maximum reduction from previous high over 5 years of Mondelez International is -29.7 days, which is greater, thus better compared to the benchmark SPY (-33.7 days) in the same period.
• Compared with SPY (-24.5 days) in the period of the last 3 years, the maximum reduction from previous high of -18.3 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 (354 days) in the period of the last 5 years, the maximum days under water of 215 days of Mondelez International is lower, thus better.
• Compared with SPY (354 days) in the period of the last 3 years, the maximum days under water of 215 days is lower, thus better.

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.'

• The average time in days below previous high water mark over 5 years of Mondelez International is 45 days, which is lower, thus better compared to the benchmark SPY (79 days) in the same period.
• Looking at average days under water in of 50 days in the period of the last 3 years, we see it is relatively smaller, thus better in comparison to SPY (102 days).