Marriott International (MAR)

TotalReturn:

'The total return on a portfolio of investments takes into account not only the capital appreciation on the portfolio, but also the income received on the portfolio. The income typically consists of interest, dividends, and securities lending fees. This contrasts with the price return, which takes into account only the capital gain on an investment.'

• The total return, or increase in value over 5 years of Marriott International is 81.5%, which is lower, thus worse compared to the benchmark SPY (87.1%) in the same period.
• Looking at total return, or performance in of 64.3% in the period of the last 3 years, we see it is relatively greater, thus better in comparison to SPY (26.8%).

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 (13.4%) in the period of the last 5 years, the annual return (CAGR) of 12.7% of Marriott International is lower, thus worse.
• Compared with SPY (8.3%) in the period of the last 3 years, the compounded annual growth rate (CAGR) of 18% 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.'

• The volatility over 5 years of Marriott International is 39.6%, which is higher, thus worse compared to the benchmark SPY (20.9%) in the same period.
• During the last 3 years, the 30 days standard deviation is 30%, which is greater, thus worse than the value of 17.3% from the benchmark.

DownVol:

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

• The downside risk over 5 years of Marriott International is 26.8%, which is greater, thus worse compared to the benchmark SPY (15%) in the same period.
• Compared with SPY (12.1%) in the period of the last 3 years, the downside risk of 20.7% is larger, thus worse.

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.'

• Looking at the Sharpe Ratio of 0.26 in the last 5 years of Marriott International, we see it is relatively lower, thus worse in comparison to the benchmark SPY (0.52)
• Compared with SPY (0.33) in the period of the last 3 years, the risk / return profile (Sharpe) of 0.52 is larger, thus better.

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.'

• The downside risk / excess return profile over 5 years of Marriott International is 0.38, which is lower, thus worse compared to the benchmark SPY (0.72) in the same period.
• Looking at excess return divided by the downside deviation in of 0.75 in the period of the last 3 years, we see it is relatively higher, thus better in comparison to SPY (0.48).

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 (9.33 ) in the period of the last 5 years, the Ulcer Ratio of 18 of Marriott International is greater, thus worse.
• During the last 3 years, the Ulcer Index is 11 , which is higher, thus worse than the value of 10 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 DrawDown of -61.3 days of Marriott International is smaller, thus worse.
• During the last 3 years, the maximum DrawDown is -29.9 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). 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'

• 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)
• Compared with SPY (488 days) in the period of the last 3 years, the maximum time in days below previous high water mark of 304 days is lower, thus better.

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 below previous high over 5 years of Marriott International is 95 days, which is smaller, thus better compared to the benchmark SPY (122 days) in the same period.
• Compared with SPY (179 days) in the period of the last 3 years, the average time in days below previous high water mark of 83 days is lower, thus better.