Description

Monster Beverage Corporation, through its subsidiaries, develops, markets, sells, and distributes energy drink beverages and concentrates in the United States and internationally. It operates through three segments: Monster Energy Drinks, Strategic Brands, and Other. The company offers carbonated energy drinks, non-carbonated dairy based coffee and energy drinks, non-carbonated energy shakes, non-carbonated energy teas, non-carbonated energy drinks, and ready-to-drink packaged energy drinks primarily to bottlers and beverage distributors, as well as sells directly to retail grocery and specialty chains, wholesalers, club stores, drug stores, mass merchandisers, convenience chains, food service customers, and the military; and concentrates and/or beverage bases to bottling and canning operations. Monster Beverage Corporation sells its products under the Monster Energy, Monster Energy Ultra, Monster Rehab, Monster MAXX, Java Monster, Muscle Monster, Espresso Monster, Punch Monster, Juice Monster, Monster Hydro, Caffé Monster, Reign Total Body Fuel, Reign Inferno Thermogenic Fuel, Predator, Live+, NOS, Full Throttle, Burn, Mother, Nalu, Ultra Energy, Play and Power Play, Relentless, BPM, BU, Gladiator, Samurai, and Mutant brands. The company was formerly known as Hansen Natural Corporation and changed its name to Monster Beverage Corporation in January 2012. Monster Beverage Corporation was incorporated in 1990 and is headquartered in Corona, California.

Statistics (YTD)

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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.'

Applying this definition to our asset in some examples:
  • Looking at the total return, or performance of 110.5% in the last 5 years of Monster Beverage, we see it is relatively smaller, thus worse in comparison to the benchmark SPY (119%)
  • Compared with SPY (15.6%) in the period of the last 3 years, the total return, or performance of 38.2% is higher, thus better.

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.'

Which means for our asset as example:
  • Compared with the benchmark SPY (17%) in the period of the last 5 years, the annual return (CAGR) of 16.1% of Monster Beverage is lower, thus worse.
  • Looking at compounded annual growth rate (CAGR) in of 11.4% in the period of the last 3 years, we see it is relatively larger, thus better in comparison to SPY (5%).

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.'

Using this definition on our asset we see for example:
  • The historical 30 days volatility over 5 years of Monster Beverage is 24.7%, which is larger, thus worse compared to the benchmark SPY (17.7%) in the same period.
  • During the last 3 years, the 30 days standard deviation is 23.6%, which is higher, thus worse than the value of 17.6% from the benchmark.

DownVol:

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

Applying this definition to our asset in some examples:
  • Compared with the benchmark SPY (12.4%) in the period of the last 5 years, the downside volatility of 16.8% of Monster Beverage is higher, thus worse.
  • During the last 3 years, the downside risk is 16.5%, which is higher, thus worse than the value of 12.8% 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.'

Which means for our asset as example:
  • Compared with the benchmark SPY (0.82) in the period of the last 5 years, the Sharpe Ratio of 0.55 of Monster Beverage is lower, thus worse.
  • Looking at Sharpe Ratio in of 0.38 in the period of the last 3 years, we see it is relatively larger, thus better in comparison to SPY (0.14).

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.'

Applying this definition to our asset in some examples:
  • Looking at the excess return divided by the downside deviation of 0.81 in the last 5 years of Monster Beverage, we see it is relatively smaller, thus worse in comparison to the benchmark SPY (1.17)
  • Looking at excess return divided by the downside deviation in of 0.54 in the period of the last 3 years, we see it is relatively greater, thus better in comparison to SPY (0.19).

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.'

Applying this definition to our asset in some examples:
  • Looking at the Ulcer Index of 9.85 in the last 5 years of Monster Beverage, we see it is relatively greater, thus worse in comparison to the benchmark SPY (8.33 )
  • During the last 3 years, the Ulcer Index is 10 , which is higher, thus worse than the value of 8.18 from the benchmark.

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.'

Applying this definition to our asset in some examples:
  • The maximum reduction from previous high over 5 years of Monster Beverage is -26.6 days, which is smaller, thus worse compared to the benchmark SPY (-24.5 days) in the same period.
  • Looking at maximum drop from peak to valley in of -26 days in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (-21.3 days).

MaxDuration:

'The Maximum 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. It is the length of time the account was in the Max Drawdown. A Max Drawdown measures a retrenchment from when an equity curve reaches a new high. It’s the maximum an account lost during that retrenchment. This method is applied because a valley can’t be measured until a new high occurs. Once the new high is reached, the percentage change from the old high to the bottom of the largest trough is recorded.'

Using this definition on our asset we see for example:
  • The maximum time in days below previous high water mark over 5 years of Monster Beverage is 266 days, which is smaller, thus better compared to the benchmark SPY (488 days) in the same period.
  • Compared with SPY (318 days) in the period of the last 3 years, the maximum time in days below previous high water mark of 266 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.'

Using this definition on our asset we see for example:
  • Looking at the average days below previous high of 83 days in the last 5 years of Monster Beverage, we see it is relatively lower, thus better in comparison to the benchmark SPY (119 days)
  • During the last 3 years, the average time in days below previous high water mark is 86 days, which is greater, thus worse than the value of 86 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 Monster Beverage are hypothetical and do not account for slippage, fees or taxes.