Expedia Group (EXPE)

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.'

• Looking at the total return, or performance of -28.9% in the last 5 years of Expedia Group, we see it is relatively lower, thus worse in comparison to the benchmark SPY (62.7%)
• Compared with SPY (34.7%) in the period of the last 3 years, the total return, or performance of -22.8% is lower, thus worse.

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.'

• The annual return (CAGR) over 5 years of Expedia Group is -6.6%, which is lower, thus worse compared to the benchmark SPY (10.2%) in the same period.
• Looking at annual return (CAGR) in of -8.3% in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (10.5%).

Volatility:

'Volatility is a rate at which the price of a security increases or decreases for a given set of returns. Volatility is measured by calculating the standard deviation of the annualized returns over a given period of time. It shows the range to which the price of a security may increase or decrease. Volatility measures the risk of a security. It is used in option pricing formula to gauge the fluctuations in the returns of the underlying assets. Volatility indicates the pricing behavior of the security and helps estimate the fluctuations that may happen in a short period of time.'

• Compared with the benchmark SPY (20.9%) in the period of the last 5 years, the volatility of 47.5% of Expedia Group is greater, thus worse.
• During the last 3 years, the historical 30 days volatility is 56.9%, which is larger, thus worse than the value of 24.1% 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.'

• Looking at the downside volatility of 34.2% in the last 5 years of Expedia Group, we see it is relatively larger, thus worse in comparison to the benchmark SPY (15.3%)
• Looking at downside deviation in of 40.3% in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (17.6%).

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.'

• The Sharpe Ratio over 5 years of Expedia Group is -0.19, which is lower, thus worse compared to the benchmark SPY (0.37) in the same period.
• During the last 3 years, the risk / return profile (Sharpe) is -0.19, which is lower, thus worse than the value of 0.33 from the benchmark.

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.'

• Compared with the benchmark SPY (0.51) in the period of the last 5 years, the downside risk / excess return profile of -0.27 of Expedia Group is smaller, thus worse.
• During the last 3 years, the ratio of annual return and downside deviation is -0.27, which is lower, thus worse than the value of 0.45 from the benchmark.

Ulcer:

'Ulcer Index is a method for measuring investment risk that addresses the real concerns of investors, unlike the widely used standard deviation of return. UI is a measure of the depth and duration of drawdowns in prices from earlier highs. Using Ulcer Index instead of standard deviation can lead to very different conclusions about investment risk and risk-adjusted return, especially when evaluating strategies that seek to avoid major declines in portfolio value (market timing, dynamic asset allocation, hedge funds, etc.). The Ulcer Index was originally developed in 1987. Since then, it has been widely recognized and adopted by the investment community. According to Nelson Freeburg, editor of Formula Research, Ulcer Index is “perhaps the most fully realized statistical portrait of risk there is.'

• Compared with the benchmark SPY (7.71 ) in the period of the last 5 years, the Ulcer Ratio of 27 of Expedia Group is larger, thus worse.
• Compared with SPY (9.08 ) in the period of the last 3 years, the Ulcer Index of 29 is higher, thus worse.

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.'

• Compared with the benchmark SPY (-33.7 days) in the period of the last 5 years, the maximum drop from peak to valley of -69.4 days of Expedia Group is smaller, thus worse.
• During the last 3 years, the maximum reduction from previous high is -66.8 days, which is lower, thus worse than the value of -33.7 days from the benchmark.

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 (189 days) in the period of the last 5 years, the maximum days under water of 832 days of Expedia Group is larger, thus worse.
• Looking at maximum days below previous high in of 306 days in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to SPY (189 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.'

• Looking at the average time in days below previous high water mark of 303 days in the last 5 years of Expedia Group, we see it is relatively greater, thus worse in comparison to the benchmark SPY (46 days)
• Looking at average time in days below previous high water mark in of 103 days in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to SPY (45 days).