Expedia Group (EXPE)

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.'

• The total return, or performance over 5 years of Expedia Group is -9.1%, which is lower, thus worse compared to the benchmark SPY (78.4%) in the same period.
• Looking at total return, or performance in of 8.3% in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (44.1%).

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 (12.3%) in the period of the last 5 years, the compounded annual growth rate (CAGR) of -1.9% of Expedia Group is smaller, thus worse.
• Compared with SPY (12.9%) in the period of the last 3 years, the compounded annual growth rate (CAGR) of 2.7% is lower, 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.'

• The historical 30 days volatility over 5 years of Expedia Group is 45.6%, which is larger, thus worse compared to the benchmark SPY (19.9%) in the same period.
• Looking at historical 30 days volatility in of 53.8% in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to SPY (23.1%).

DownVol:

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

• Looking at the downside deviation of 32.9% in the last 5 years of Expedia Group, we see it is relatively greater, thus worse in comparison to the benchmark SPY (14.6%)
• Compared with SPY (16.9%) in the period of the last 3 years, the downside volatility of 38.2% is higher, thus worse.

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 risk / return profile (Sharpe) of -0.1 in the last 5 years of Expedia Group, we see it is relatively lower, thus worse in comparison to the benchmark SPY (0.49)
• Compared with SPY (0.45) in the period of the last 3 years, the Sharpe Ratio of 0 is smaller, thus worse.

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 downside risk / excess return profile of -0.13 in the last 5 years of Expedia Group, we see it is relatively lower, thus worse in comparison to the benchmark SPY (0.67)
• Looking at excess return divided by the downside deviation in of 0.01 in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (0.62).

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.'

• Compared with the benchmark SPY (6.16 ) in the period of the last 5 years, the Ulcer Ratio of 25 of Expedia Group is larger, thus worse.
• During the last 3 years, the Downside risk index is 23 , which is greater, thus worse than the value of 6.87 from the benchmark.

MaxDD:

'A maximum drawdown is the maximum loss from a peak to a trough of a portfolio, before a new peak is attained. Maximum Drawdown is an indicator of downside risk over a specified time period. It can be used both as a stand-alone measure or as an input into other metrics such as 'Return over Maximum Drawdown' and the Calmar Ratio. Maximum Drawdown is expressed in percentage terms.'

• Compared with the benchmark SPY (-33.7 days) in the period of the last 5 years, the maximum drop from peak to valley of -70.5 days of Expedia Group is smaller, thus worse.
• During the last 3 years, the maximum reduction from previous high is -66.9 days, which is lower, thus worse than the value of -33.7 days from the benchmark.

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.'

• The maximum days under water over 5 years of Expedia Group is 894 days, which is larger, thus worse compared to the benchmark SPY (139 days) in the same period.
• Looking at maximum time in days below previous high water mark in of 364 days in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to SPY (119 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.'

• Looking at the average time in days below previous high water mark of 340 days in the last 5 years of Expedia Group, we see it is relatively higher, thus worse in comparison to the benchmark SPY (35 days)
• During the last 3 years, the average days below previous high is 118 days, which is higher, thus worse than the value of 27 days from the benchmark.