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 increase in value of 38.6% in the last 5 years of Trip.com, we see it is relatively lower, thus worse in comparison to the benchmark SPY (76.9%)
• Looking at total return, or increase in value in of 37.1% in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (72.7%).

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 (12.1%) in the period of the last 5 years, the annual return (CAGR) of 6.8% of Trip.com is lower, thus worse.
• Looking at annual return (CAGR) in of 11.1% in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (20.1%).

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 30 days standard deviation over 5 years of Trip.com is 49.4%, which is greater, thus worse compared to the benchmark SPY (17.1%) in the same period.
• Compared with SPY (15.2%) in the period of the last 3 years, the historical 30 days volatility of 40.7% is higher, thus worse.

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 33.8% of Trip.com is larger, thus worse.
• Looking at downside risk in of 28% in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to SPY (10.1%).

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.'

• The risk / return profile (Sharpe) over 5 years of Trip.com is 0.09, which is smaller, thus worse compared to the benchmark SPY (0.56) in the same period.
• Looking at Sharpe Ratio in of 0.21 in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (1.16).

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 ratio of annual return and downside deviation of 0.13 in the last 5 years of Trip.com, we see it is relatively smaller, thus worse in comparison to the benchmark SPY (0.82)
• During the last 3 years, the downside risk / excess return profile is 0.31, which is lower, thus worse than the value of 1.73 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.'

• Looking at the Ulcer Index of 24 in the last 5 years of Trip.com, we see it is relatively greater, thus worse in comparison to the benchmark SPY (8.45 )
• Compared with SPY (3.5 ) in the period of the last 3 years, the Downside risk index of 15 is higher, thus worse.

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 (-24.5 days) in the period of the last 5 years, the maximum DrawDown of -60 days of Trip.com is lower, thus worse.
• Compared with SPY (-18.8 days) in the period of the last 3 years, the maximum reduction from previous high of -38.6 days is lower, thus worse.

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.'

• Looking at the maximum days under water of 685 days in the last 5 years of Trip.com, we see it is relatively greater, thus worse in comparison to the benchmark SPY (488 days)
• Compared with SPY (87 days) in the period of the last 3 years, the maximum days under water of 178 days is greater, thus worse.

AveDuration:

'The Average 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. 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.'

• Compared with the benchmark SPY (119 days) in the period of the last 5 years, the average days below previous high of 214 days of Trip.com is higher, thus worse.
• During the last 3 years, the average time in days below previous high water mark is 51 days, which is larger, thus worse than the value of 20 days from the benchmark.