Trip.com (TCOM)

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.'

• Looking at the total return, or performance of -46.4% in the last 5 years of Trip.com, we see it is relatively lower, thus worse in comparison to the benchmark SPY (61.3%)
• During the last 3 years, the total return, or performance is -2.5%, which is smaller, thus worse than the value of 31.6% from the benchmark.

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 compounded annual growth rate (CAGR) of -11.8% in the last 5 years of Trip.com, we see it is relatively lower, thus worse in comparison to the benchmark SPY (10%)
• Compared with SPY (9.6%) in the period of the last 3 years, the annual performance (CAGR) of -0.8% is smaller, thus worse.

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.'

• The 30 days standard deviation over 5 years of Trip.com is 48.7%, which is higher, thus worse compared to the benchmark SPY (20.8%) in the same period.
• During the last 3 years, the volatility is 53.3%, which is higher, thus worse than the value of 24% 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.'

• The downside volatility over 5 years of Trip.com is 33.3%, which is greater, thus worse compared to the benchmark SPY (15.3%) in the same period.
• Compared with SPY (17.6%) in the period of the last 3 years, the downside volatility of 35.7% is higher, thus worse.

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 risk / return profile (Sharpe) of -0.29 in the last 5 years of Trip.com, we see it is relatively smaller, thus worse in comparison to the benchmark SPY (0.36)
• Compared with SPY (0.3) in the period of the last 3 years, the risk / return profile (Sharpe) of -0.06 is smaller, thus worse.

Sortino:

'The Sortino ratio measures the risk-adjusted return of an investment asset, portfolio, or strategy. It is a modification of the Sharpe ratio but penalizes only those returns falling below a user-specified target or required rate of return, while the Sharpe ratio penalizes both upside and downside volatility equally. Though both ratios measure an investment's risk-adjusted return, they do so in significantly different ways that will frequently lead to differing conclusions as to the true nature of the investment's return-generating efficiency. The Sortino ratio is used as a way to compare the risk-adjusted performance of programs with differing risk and return profiles. In general, risk-adjusted returns seek to normalize the risk across programs and then see which has the higher return unit per risk.'

• The downside risk / excess return profile over 5 years of Trip.com is -0.43, which is lower, thus worse compared to the benchmark SPY (0.49) in the same period.
• During the last 3 years, the ratio of annual return and downside deviation is -0.09, which is lower, thus worse than the value of 0.4 from the benchmark.

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 (7.61 ) in the period of the last 5 years, the Downside risk index of 42 of Trip.com is higher, thus worse.
• During the last 3 years, the Ulcer Ratio is 32 , which is greater, thus worse than the value of 8.93 from the benchmark.

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 -70.2 days of Trip.com is smaller, thus worse.
• During the last 3 years, the maximum DrawDown is -62.4 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) in days.'

• Compared with the benchmark SPY (185 days) in the period of the last 5 years, the maximum time in days below previous high water mark of 1253 days of Trip.com is greater, thus worse.
• Looking at maximum days under water in of 388 days in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to SPY (185 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.'

• The average days below previous high over 5 years of Trip.com is 627 days, which is greater, thus worse compared to the benchmark SPY (46 days) in the same period.
• Compared with SPY (44 days) in the period of the last 3 years, the average days under water of 155 days is larger, thus worse.