Description of Ctrip.com International

Ctrip.com International, Ltd. - American Depositary Shares

Statistics of Ctrip.com International (YTD)

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

TotalReturn:

'Total return, when measuring performance, is the actual rate of return of an investment or a pool of investments over a given evaluation period. Total return includes interest, capital gains, dividends and distributions realized over a given period of time. Total return accounts for two categories of return: income including interest paid by fixed-income investments, distributions or dividends and capital appreciation, representing the change in the market price of an asset.'

Applying this definition to our asset in some examples:
  • Looking at the total return of 41% in the last 5 years of Ctrip.com International, we see it is relatively smaller, thus worse in comparison to the benchmark SPY (67.9%)
  • Looking at total return in of -17.1% in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (46.6%).

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.'

Using this definition on our asset we see for example:
  • Looking at the compounded annual growth rate (CAGR) of 7.1% in the last 5 years of Ctrip.com International, we see it is relatively lower, thus worse in comparison to the benchmark SPY (10.9%)
  • Compared with SPY (13.6%) in the period of the last 3 years, the annual return (CAGR) of -6.1% is lower, 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.'

Which means for our asset as example:
  • Looking at the 30 days standard deviation of 40.7% in the last 5 years of Ctrip.com International, we see it is relatively greater, thus worse in comparison to the benchmark SPY (13.3%)
  • During the last 3 years, the historical 30 days volatility is 34.5%, which is greater, thus worse than the value of 12.5% 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.'

Applying this definition to our asset in some examples:
  • Compared with the benchmark SPY (14.6%) in the period of the last 5 years, the downside deviation of 36.4% of Ctrip.com International is larger, thus worse.
  • Looking at downside deviation in of 34.5% in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (14.2%).

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.'

Which means for our asset as example:
  • Looking at the Sharpe Ratio of 0.11 in the last 5 years of Ctrip.com International, we see it is relatively lower, thus worse in comparison to the benchmark SPY (0.64)
  • Looking at Sharpe Ratio in of -0.25 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (0.89).

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.'

Which means for our asset as example:
  • Looking at the ratio of annual return and downside deviation of 0.13 in the last 5 years of Ctrip.com International, we see it is relatively smaller, thus worse in comparison to the benchmark SPY (0.58)
  • Compared with SPY (0.78) in the period of the last 3 years, the ratio of annual return and downside deviation of -0.25 is lower, thus worse.

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.'

Applying this definition to our asset in some examples:
  • The Downside risk index over 5 years of Ctrip.com International is 24 , which is larger, thus better compared to the benchmark SPY (3.96 ) in the same period.
  • Looking at Ulcer Ratio in of 25 in the period of the last 3 years, we see it is relatively greater, thus better in comparison to SPY (4.01 ).

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.'

Using this definition on our asset we see for example:
  • Looking at the maximum drop from peak to valley of -57.7 days in the last 5 years of Ctrip.com International, we see it is relatively smaller, thus worse in comparison to the benchmark SPY (-19.3 days)
  • Looking at maximum reduction from previous high in of -57.7 days in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (-19.3 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:
  • Looking at the maximum days under water of 452 days in the last 5 years of Ctrip.com International, we see it is relatively larger, thus worse in comparison to the benchmark SPY (187 days)
  • Looking at maximum days below previous high in of 452 days in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (139 days).

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.'

Using this definition on our asset we see for example:
  • The average days under water over 5 years of Ctrip.com International is 158 days, which is larger, thus worse compared to the benchmark SPY (41 days) in the same period.
  • During the last 3 years, the average time in days below previous high water mark is 155 days, which is greater, thus worse than the value of 36 days from the benchmark.

Performance of Ctrip.com International (YTD)

Historical returns have been extended using synthetic data.

Allocations of Ctrip.com International
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Allocations

Returns of Ctrip.com International (%)

  • "Year" returns in the table above are not equal to the sum of monthly returns due to compounding.
  • Performance results of Ctrip.com International 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.