Whole Foods Market (WFM)

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.'

• The total return over 5 years of Whole Foods Market is -3.4%, which is lower, thus worse compared to the benchmark SPY (107.8%) in the same period.
• During the last 3 years, the total return is 14.3%, which is lower, thus worse than the value of 43.5% from the benchmark.

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.'

• Compared with the benchmark SPY (15.8%) in the period of the last 5 years, the annual return (CAGR) of -0.7% of Whole Foods Market is lower, thus worse.
• Compared with SPY (12.9%) in the period of the last 3 years, the compounded annual growth rate (CAGR) of 4.6% is smaller, thus worse.

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 (17.9%) in the period of the last 5 years, the volatility of 30.4% of Whole Foods Market is higher, thus worse.
• Compared with SPY (18.4%) in the period of the last 3 years, the historical 30 days volatility of 31.8% is greater, thus worse.

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.'

• Looking at the downside risk of 20.2% in the last 5 years of Whole Foods Market, we see it is relatively larger, thus worse in comparison to the benchmark SPY (12.5%)
• During the last 3 years, the downside volatility is 18.2%, which is higher, thus worse than the value of 12.6% from the benchmark.

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.'

• Looking at the Sharpe Ratio of -0.11 in the last 5 years of Whole Foods Market, we see it is relatively smaller, thus worse in comparison to the benchmark SPY (0.74)
• Looking at Sharpe Ratio in of 0.06 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (0.56).

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.'

• Looking at the excess return divided by the downside deviation of -0.16 in the last 5 years of Whole Foods Market, we see it is relatively lower, thus worse in comparison to the benchmark SPY (1.07)
• Looking at downside risk / excess return profile in of 0.11 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (0.82).

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.'

• Looking at the Downside risk index of 36 in the last 5 years of Whole Foods Market, we see it is relatively larger, thus worse in comparison to the benchmark SPY (8.48 )
• Looking at Ulcer Ratio in of 36 in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (5.54 ).

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.'

• The maximum drop from peak to valley over 5 years of Whole Foods Market is -55.5 days, which is lower, thus worse compared to the benchmark SPY (-24.5 days) in the same period.
• Looking at maximum drop from peak to valley in of -49.9 days in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (-18.8 days).

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'

• Compared with the benchmark SPY (488 days) in the period of the last 5 years, the maximum days under water of 965 days of Whole Foods Market is higher, thus worse.
• Looking at maximum time in days below previous high water mark in of 636 days in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (199 days).

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 Whole Foods Market is 387 days, which is greater, thus worse compared to the benchmark SPY (119 days) in the same period.
• Looking at average days under water in of 278 days in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to SPY (44 days).