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.'

• Looking at the total return, or performance of 133.7% in the last 5 years of Marriott International, we see it is relatively higher, thus better in comparison to the benchmark SPY (75.1%)
• Compared with SPY (66.3%) in the period of the last 3 years, the total return, or performance of 106.9% is larger, thus better.

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.'

• Looking at the annual return (CAGR) of 18.6% in the last 5 years of Marriott International, we see it is relatively greater, thus better in comparison to the benchmark SPY (11.9%)
• During the last 3 years, the compounded annual growth rate (CAGR) is 27.6%, which is greater, thus better than the value of 18.6% from the benchmark.

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 volatility of 28.8% in the last 5 years of Marriott International, we see it is relatively greater, thus worse in comparison to the benchmark SPY (17.1%)
• During the last 3 years, the 30 days standard deviation is 25.4%, which is greater, thus worse than the value of 15.1% 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.'

• Compared with the benchmark SPY (11.8%) in the period of the last 5 years, the downside volatility of 19.5% of Marriott International is higher, thus worse.
• Looking at downside deviation in of 16.7% in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (10.2%).

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.'

• Compared with the benchmark SPY (0.55) in the period of the last 5 years, the ratio of return and volatility (Sharpe) of 0.56 of Marriott International is greater, thus better.
• Looking at risk / return profile (Sharpe) in of 0.99 in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (1.06).

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.'

• Compared with the benchmark SPY (0.8) in the period of the last 5 years, the ratio of annual return and downside deviation of 0.82 of Marriott International is greater, thus better.
• Looking at ratio of annual return and downside deviation in of 1.51 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (1.58).

Ulcer:

'The Ulcer Index is a technical indicator that measures downside risk, in terms of both the depth and duration of price declines. The index increases in value as the price moves farther away from a recent high and falls as the price rises to new highs. The indicator is usually calculated over a 14-day period, with the Ulcer Index showing the percentage drawdown a trader can expect from the high over that period. The greater the value of the Ulcer Index, the longer it takes for a stock to get back to the former high.'

• The Ulcer Index over 5 years of Marriott International is 11 , which is larger, thus worse compared to the benchmark SPY (8.44 ) in the same period.
• Looking at Ulcer Index in of 8.79 in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to SPY (3.49 ).

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.'

• The maximum drop from peak to valley over 5 years of Marriott International is -30.5 days, which is lower, thus worse compared to the benchmark SPY (-24.5 days) in the same period.
• During the last 3 years, the maximum reduction from previous high is -30.5 days, which is smaller, thus worse than the value of -18.8 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.'

• Looking at the maximum days below previous high of 304 days in the last 5 years of Marriott International, we see it is relatively lower, thus better in comparison to the benchmark SPY (488 days)
• During the last 3 years, the maximum days below previous high is 199 days, which is larger, thus worse than the value of 87 days from the benchmark.

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.'

• The average days under water over 5 years of Marriott International is 76 days, which is smaller, thus better compared to the benchmark SPY (119 days) in the same period.
• Looking at average days below previous high in of 49 days in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to SPY (20 days).