Marriott International (MAR)

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.'

• Compared with the benchmark SPY (67.5%) in the period of the last 5 years, the total return, or performance of 31.9% of Marriott International is lower, thus worse.
• During the last 3 years, the total return, or performance is 66.1%, which is higher, thus better than the value of 39.8% 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.'

• The annual performance (CAGR) over 5 years of Marriott International is 5.7%, which is lower, thus worse compared to the benchmark SPY (10.9%) in the same period.
• Compared with SPY (11.8%) in the period of the last 3 years, the compounded annual growth rate (CAGR) of 18.4% is higher, thus better.

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.'

• Looking at the historical 30 days volatility of 40.1% in the last 5 years of Marriott International, we see it is relatively larger, thus worse in comparison to the benchmark SPY (21.4%)
• Looking at historical 30 days volatility in of 36.2% in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to SPY (18.7%).

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.'

• Compared with the benchmark SPY (15.4%) in the period of the last 5 years, the downside deviation of 27.3% of Marriott International is greater, thus worse.
• Looking at downside deviation in of 24.5% in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (13.3%).

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.'

• Looking at the ratio of return and volatility (Sharpe) of 0.08 in the last 5 years of Marriott International, we see it is relatively lower, thus worse in comparison to the benchmark SPY (0.39)
• Looking at Sharpe Ratio in of 0.44 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (0.5).

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 0.12 in the last 5 years of Marriott International, we see it is relatively smaller, thus worse in comparison to the benchmark SPY (0.54)
• Looking at excess return divided by the downside deviation in of 0.65 in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (0.7).

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.'

• The Ulcer Ratio over 5 years of Marriott International is 19 , which is higher, thus worse compared to the benchmark SPY (9.48 ) in the same period.
• Compared with SPY (10 ) in the period of the last 3 years, the Downside risk index of 13 is greater, thus worse.

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 DrawDown of -61.3 days of Marriott International is lower, thus worse.
• During the last 3 years, the maximum reduction from previous high is -30 days, which is lower, thus worse than the value of -24.5 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) in days.'

• Compared with the benchmark SPY (358 days) in the period of the last 5 years, the maximum days below previous high of 291 days of Marriott International is smaller, thus better.
• Looking at maximum days under water in of 284 days in the period of the last 3 years, we see it is relatively lower, thus better in comparison to SPY (358 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 days under water of 105 days in the last 5 years of Marriott International, we see it is relatively greater, thus worse in comparison to the benchmark SPY (80 days)
• Compared with SPY (104 days) in the period of the last 3 years, the average days under water of 86 days is lower, thus better.