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:

'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 (110.8%) in the period of the last 5 years, the total return of 101.1% of Monster Beverage is lower, thus worse.
  • During the last 3 years, the total return is 59.6%, which is greater, thus better than the value of 50.8% from the benchmark.

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.'

Applying this definition to our asset in some examples:
  • Looking at the annual performance (CAGR) of 15% in the last 5 years of Monster Beverage, we see it is relatively lower, thus worse in comparison to the benchmark SPY (16.1%)
  • During the last 3 years, the compounded annual growth rate (CAGR) is 16.8%, which is greater, thus better than the value of 14.7% from the benchmark.

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:
  • Compared with the benchmark SPY (18.7%) in the period of the last 5 years, the 30 days standard deviation of 28.3% of Monster Beverage is larger, thus worse.
  • During the last 3 years, the 30 days standard deviation is 30.1%, which is larger, thus worse than the value of 22.7% 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.'

Using this definition on our asset we see for example:
  • Compared with the benchmark SPY (13.6%) in the period of the last 5 years, the downside volatility of 19.2% of Monster Beverage is larger, thus worse.
  • Looking at downside deviation in of 20.5% in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (16.5%).

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.'

Applying this definition to our asset in some examples:
  • Compared with the benchmark SPY (0.73) in the period of the last 5 years, the risk / return profile (Sharpe) of 0.44 of Monster Beverage is lower, thus worse.
  • Compared with SPY (0.54) in the period of the last 3 years, the Sharpe Ratio of 0.48 is lower, thus worse.

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.'

Using this definition on our asset we see for example:
  • Compared with the benchmark SPY (1) in the period of the last 5 years, the ratio of annual return and downside deviation of 0.65 of Monster Beverage is lower, thus worse.
  • During the last 3 years, the excess return divided by the downside deviation is 0.7, which is lower, thus worse than the value of 0.74 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.'

Using this definition on our asset we see for example:
  • The Ulcer Ratio over 5 years of Monster Beverage is 13 , which is higher, thus worse compared to the benchmark SPY (5.58 ) in the same period.
  • Looking at Ulcer Ratio in of 9.23 in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to SPY (6.91 ).

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.'

Applying this definition to our asset in some examples:
  • The maximum DrawDown over 5 years of Monster Beverage is -30.4 days, which is greater, thus better compared to the benchmark SPY (-33.7 days) in the same period.
  • During the last 3 years, the maximum drop from peak to valley is -27.6 days, which is larger, thus better 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'

Using this definition on our asset we see for example:
  • Looking at the maximum days under water of 508 days in the last 5 years of Monster Beverage, we see it is relatively higher, thus worse in comparison to the benchmark SPY (139 days)
  • Compared with SPY (139 days) in the period of the last 3 years, the maximum days below previous high of 133 days is smaller, thus better.

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.'

Applying this definition to our asset in some examples:
  • The average time in days below previous high water mark over 5 years of Monster Beverage is 145 days, which is higher, thus worse compared to the benchmark SPY (33 days) in the same period.
  • Compared with SPY (36 days) in the period of the last 3 years, the average days below previous high of 42 days is larger, thus worse.

Performance (YTD)

Historical returns have been extended using synthetic data.

Allocations
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Allocations

Returns (%)

  • Note that yearly returns do not equal the sum of monthly returns due to compounding.
  • Performance results of Monster Beverage 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.