Description of Ctrip.com International

Ctrip.com International, Ltd. - American Depositary Shares

Statistics of Ctrip.com International (YTD)

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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.'

Using this definition on our asset we see for example:
  • Looking at the total return, or performance of 70.4% in the last 5 years of Ctrip.com International, we see it is relatively higher, thus better in comparison to the benchmark SPY (68.1%)
  • During the last 3 years, the total return, or performance is 0.2%, which is lower, thus worse than the value of 47.1% from the benchmark.

CAGR:

'Compound annual growth rate (CAGR) is a business and investing specific term for the geometric progression ratio that provides a constant rate of return over the time period. CAGR is not an accounting term, but it is often used to describe some element of the business, for example revenue, units delivered, registered users, etc. CAGR dampens the effect of volatility of periodic returns that can render arithmetic means irrelevant. It is particularly useful to compare growth rates from various data sets of common domain such as revenue growth of companies in the same industry.'

Using this definition on our asset we see for example:
  • The compounded annual growth rate (CAGR) over 5 years of Ctrip.com International is 11.3%, which is greater, thus better compared to the benchmark SPY (11%) in the same period.
  • Compared with SPY (13.8%) in the period of the last 3 years, the compounded annual growth rate (CAGR) of 0.1% is smaller, thus worse.

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 (13.2%) in the period of the last 5 years, the historical 30 days volatility of 41.4% of Ctrip.com International is larger, thus worse.
  • During the last 3 years, the 30 days standard deviation is 34.3%, which is higher, thus worse than the value of 12.4% from the benchmark.

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.'

Which means for our asset as example:
  • Looking at the downside volatility of 37.2% in the last 5 years of Ctrip.com International, we see it is relatively larger, thus worse in comparison to the benchmark SPY (14.6%)
  • During the last 3 years, the downside risk is 34.1%, which is higher, thus worse than the value of 14% 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.'

Which means for our asset as example:
  • Compared with the benchmark SPY (0.64) in the period of the last 5 years, the ratio of return and volatility (Sharpe) of 0.21 of Ctrip.com International is smaller, thus worse.
  • Compared with SPY (0.91) in the period of the last 3 years, the risk / return profile (Sharpe) of -0.07 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.'

Applying this definition to our asset in some examples:
  • Looking at the excess return divided by the downside deviation of 0.24 in the last 5 years of Ctrip.com International, we see it is relatively lower, thus worse in comparison to the benchmark SPY (0.58)
  • Looking at downside risk / excess return profile in of -0.07 in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (0.8).

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.'

Which means for our asset as example:
  • Looking at the Ulcer Ratio of 24 in the last 5 years of Ctrip.com International, we see it is relatively larger, thus better in comparison to the benchmark SPY (3.95 )
  • During the last 3 years, the Downside risk index is 24 , which is greater, thus better than the value of 4 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.'

Using this definition on our asset we see for example:
  • The maximum DrawDown over 5 years of Ctrip.com International is -57.7 days, which is lower, thus worse compared to the benchmark SPY (-19.3 days) in the same period.
  • Looking at maximum DrawDown in of -57.7 days in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (-19.3 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) in days.'

Using this definition on our asset we see for example:
  • Looking at the maximum days under water of 409 days in the last 5 years of Ctrip.com International, we see it is relatively higher, thus worse in comparison to the benchmark SPY (187 days)
  • Looking at maximum time in days below previous high water mark in of 409 days in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to SPY (131 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.'

Applying this definition to our asset in some examples:
  • The average time in days below previous high water mark over 5 years of Ctrip.com International is 143 days, which is higher, thus worse compared to the benchmark SPY (39 days) in the same period.
  • During the last 3 years, the average days under water is 135 days, which is higher, thus worse than the value of 33 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.