PepsiCo (PEP)

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.'

• Looking at the total return, or increase in value of 105.4% in the last 5 years of PepsiCo, we see it is relatively greater, thus better in comparison to the benchmark SPY (67.5%)
• Compared with SPY (39.8%) in the period of the last 3 years, the total return of 47.8% is larger, 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.'

• The annual performance (CAGR) over 5 years of PepsiCo is 15.5%, which is larger, thus better compared to the benchmark SPY (10.9%) in the same period.
• During the last 3 years, the annual performance (CAGR) is 13.9%, which is larger, thus better than the value of 11.8% from the benchmark.

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.'

• Compared with the benchmark SPY (21.4%) in the period of the last 5 years, the historical 30 days volatility of 22% of PepsiCo is larger, thus worse.
• Looking at volatility in of 16.8% in the period of the last 3 years, we see it is relatively lower, thus better in comparison to SPY (18.7%).

DownVol:

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

• Compared with the benchmark SPY (15.4%) in the period of the last 5 years, the downside risk of 15.3% of PepsiCo is smaller, thus better.
• Compared with SPY (13.3%) in the period of the last 3 years, the downside deviation of 11.9% is smaller, thus better.

Sharpe:

'The Sharpe ratio (also known as the Sharpe index, the Sharpe measure, and the reward-to-variability ratio) is a way to examine the performance of an investment by adjusting for its risk. The ratio measures the excess return (or risk premium) per unit of deviation in an investment asset or a trading strategy, typically referred to as risk, named after William F. Sharpe.'

• Compared with the benchmark SPY (0.39) in the period of the last 5 years, the Sharpe Ratio of 0.59 of PepsiCo is larger, thus better.
• Looking at Sharpe Ratio in of 0.68 in the period of the last 3 years, we see it is relatively greater, thus better in comparison to SPY (0.5).

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.'

• The downside risk / excess return profile over 5 years of PepsiCo is 0.85, which is higher, thus better compared to the benchmark SPY (0.54) in the same period.
• During the last 3 years, the excess return divided by the downside deviation is 0.96, which is higher, thus better than the value of 0.7 from the benchmark.

Ulcer:

'The ulcer index is a stock market risk measure or technical analysis indicator devised by Peter Martin in 1987, and published by him and Byron McCann in their 1989 book The Investors Guide to Fidelity Funds. It's designed as a measure of volatility, but only volatility in the downward direction, i.e. the amount of drawdown or retracement occurring over a period. Other volatility measures like standard deviation treat up and down movement equally, but a trader doesn't mind upward movement, it's the downside that causes stress and stomach ulcers that the index's name suggests.'

• Compared with the benchmark SPY (9.48 ) in the period of the last 5 years, the Ulcer Index of 5.2 of PepsiCo is smaller, thus better.
• Compared with SPY (10 ) in the period of the last 3 years, the Ulcer Index of 4.22 is smaller, thus better.

MaxDD:

'Maximum drawdown measures the loss in any losing period during a fund’s investment record. It is defined as the percent retrenchment from a fund’s peak value to the fund’s valley value. The drawdown is in effect from the time the fund’s retrenchment begins until a new fund high is reached. The maximum drawdown encompasses both the period from the fund’s peak to the fund’s valley (length), and the time from the fund’s valley to a new fund high (recovery). It measures the largest percentage drawdown that has occurred in any fund’s data record.'

• Looking at the maximum drop from peak to valley of -28.8 days in the last 5 years of PepsiCo, we see it is relatively higher, thus better in comparison to the benchmark SPY (-33.7 days)
• Compared with SPY (-24.5 days) in the period of the last 3 years, the maximum drop from peak to valley of -12.9 days is greater, 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). 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'

• Looking at the maximum days below previous high of 187 days in the last 5 years of PepsiCo, we see it is relatively lower, thus better in comparison to the benchmark SPY (358 days)
• During the last 3 years, the maximum days below previous high is 95 days, which is smaller, thus better than the value of 358 days from the benchmark.

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 below previous high of 38 days in the last 5 years of PepsiCo, we see it is relatively smaller, thus better in comparison to the benchmark SPY (80 days)
• Looking at average time in days below previous high water mark in of 25 days in the period of the last 3 years, we see it is relatively smaller, thus better in comparison to SPY (104 days).