Description

DELISTED - Whole Foods Market, Inc. (Whole Foods Market) is a natural and organic foods supermarkets. As of September 25, 2011, Whole Foods Market operated 311 stores in the United States, Canada, and the United Kingdom. The Company's stores average 38,000 square feet in size and 10 years in age, and are supported by its Austin headquarters, regional offices, distribution centers, bakehouse facilities, commissary kitchens, seafood-processing facilities, meat and produce procurement centers, and a specialty coffee, tea procurement and roasting operation. As of September 25, 2011, it operated 311 stores, of which 299 stores operated in 38 United States and the District of Columbia; seven stores in Canada; and five stores in the United Kingdom. It owns 12 stores, two distribution facilities and land for one store in development, including the adjacent property. It also owns a building on leased land, which is leased to third parties, and has one store in development on leased land.

Statistics (YTD)

What do these metrics mean? [Read More] [Hide]

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 of -13.2% in the last 5 years of Whole Foods Market, we see it is relatively lower, thus worse in comparison to the benchmark SPY (122.7%)
  • Compared with SPY (65.3%) in the period of the last 3 years, the total return, or increase in value of 7.2% is lower, thus worse.

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 compounded annual growth rate (CAGR) of -2.8% in the last 5 years of Whole Foods Market, we see it is relatively smaller, thus worse in comparison to the benchmark SPY (17.4%)
  • Looking at compounded annual growth rate (CAGR) in of 2.3% in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (18.2%).

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.'

Applying this definition to our asset in some examples:
  • Compared with the benchmark SPY (18.7%) in the period of the last 5 years, the 30 days standard deviation of 30.4% of Whole Foods Market is higher, thus worse.
  • Looking at historical 30 days volatility in of 31.8% in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to SPY (22.5%).

DownVol:

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

Using this definition on our asset we see for example:
  • The downside deviation over 5 years of Whole Foods Market is 20.3%, which is higher, thus worse compared to the benchmark SPY (13.6%) in the same period.
  • During the last 3 years, the downside deviation is 18.3%, which is greater, thus worse than the value of 16.3% 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.'

Applying this definition to our asset in some examples:
  • Compared with the benchmark SPY (0.8) in the period of the last 5 years, the Sharpe Ratio of -0.17 of Whole Foods Market is lower, thus worse.
  • Compared with SPY (0.7) in the period of the last 3 years, the risk / return profile (Sharpe) of -0.01 is lower, thus worse.

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.'

Using this definition on our asset we see for example:
  • Looking at the excess return divided by the downside deviation of -0.26 in the last 5 years of Whole Foods Market, we see it is relatively smaller, thus worse in comparison to the benchmark SPY (1.1)
  • Looking at downside risk / excess return profile in of -0.01 in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (0.96).

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 37 in the last 5 years of Whole Foods Market, we see it is relatively larger, thus worse in comparison to the benchmark SPY (5.58 )
  • During the last 3 years, the Ulcer Index is 37 , which is larger, thus worse than the value of 6.83 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.'

Which means for our asset as example:
  • The maximum DrawDown over 5 years of Whole Foods Market is -57.1 days, which is lower, thus worse compared to the benchmark SPY (-33.7 days) in the same period.
  • Looking at maximum reduction from previous high in of -51.1 days in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (-33.7 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.'

Which means for our asset as example:
  • The maximum days below previous high over 5 years of Whole Foods Market is 966 days, which is higher, thus worse compared to the benchmark SPY (139 days) in the same period.
  • Compared with SPY (139 days) in the period of the last 3 years, the maximum days under water of 637 days is larger, thus worse.

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:
  • Compared with the benchmark SPY (33 days) in the period of the last 5 years, the average days below previous high of 393 days of Whole Foods Market is higher, thus worse.
  • Compared with SPY (35 days) in the period of the last 3 years, the average time in days below previous high water mark of 279 days is higher, 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 Whole Foods Market 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.