Description

TripAdvisor, Inc. operates as an online travel company. It operates in two segments, Hotels, Media & Platform; and Experiences & Dining. The company operates TripAdvisor-branded Websites, including tripadvisor.com in the United States; and localized versions of the Website in 48 markets and 28 languages. It also manages and operates other travel media brands that provide users the comprehensive travel-planning and trip-taking resources in the travel industry, such as bokun.io, bookingbuddy.com, cruisecritic.com, familyvacationcritic.com, flipkey.com, thefork.com, holidaylettings.co.uk, holidaywatchdog.com, housetrip.com, jetsetter.com, niumba.com, onetime.com, oyster.com, seatguru.com, singleplatform.com, smartertravel.com, vacationhomerentals.com, and viator.com. In addition, the company provides information and services for consumers to research and book restaurants in travel destinations; and vacation and short-term rental properties, including full home rentals, condominiums, villas, beach rentals, cabins, and cottages. Its Websites feature 859 million reviews and opinions on 8.6 million places comprising 1.4 million hotels, inns, B&Bs, and specialty lodging; 842,000 rental properties; 5.2 million restaurants; and 1.2 million travel activities and experiences worldwide. TripAdvisor, Inc. was founded in 2000 and is headquartered in Needham, Massachusetts.

Statistics (YTD)

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TotalReturn:

'Total return, when measuring performance, is the actual rate of return of an investment or a pool of investments over a given evaluation period. Total return includes interest, capital gains, dividends and distributions realized over a given period of time. Total return accounts for two categories of return: income including interest paid by fixed-income investments, distributions or dividends and capital appreciation, representing the change in the market price of an asset.'

Using this definition on our asset we see for example:
  • Compared with the benchmark SPY (74.4%) in the period of the last 5 years, the total return of -74.3% of TripAdvisor is lower, thus worse.
  • During the last 3 years, the total return, or increase in value is -43.2%, which is smaller, thus worse than the value of 34.2% from the benchmark.

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.'

Which means for our asset as example:
  • Looking at the annual return (CAGR) of -23.8% in the last 5 years of TripAdvisor, we see it is relatively smaller, thus worse in comparison to the benchmark SPY (11.8%)
  • During the last 3 years, the annual return (CAGR) is -17.2%, which is lower, thus worse than the value of 10.3% from the benchmark.

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.'

Using this definition on our asset we see for example:
  • The historical 30 days volatility over 5 years of TripAdvisor is 49.1%, which is higher, thus worse compared to the benchmark SPY (18.9%) in the same period.
  • Compared with SPY (22.6%) in the period of the last 3 years, the historical 30 days volatility of 55.7% is greater, thus worse.

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.'

Using this definition on our asset we see for example:
  • The downside risk over 5 years of TripAdvisor is 35.2%, which is higher, thus worse compared to the benchmark SPY (13.8%) in the same period.
  • Looking at downside risk in of 39% in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (16.7%).

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.'

Using this definition on our asset we see for example:
  • Looking at the ratio of return and volatility (Sharpe) of -0.54 in the last 5 years of TripAdvisor, we see it is relatively lower, thus worse in comparison to the benchmark SPY (0.49)
  • During the last 3 years, the risk / return profile (Sharpe) is -0.35, which is lower, thus worse than the value of 0.35 from the benchmark.

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.'

Which means for our asset as example:
  • The excess return divided by the downside deviation over 5 years of TripAdvisor is -0.75, which is smaller, thus worse compared to the benchmark SPY (0.67) in the same period.
  • Compared with SPY (0.47) in the period of the last 3 years, the ratio of annual return and downside deviation of -0.51 is lower, thus worse.

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.'

Using this definition on our asset we see for example:
  • Compared with the benchmark SPY (5.82 ) in the period of the last 5 years, the Ulcer Ratio of 50 of TripAdvisor is higher, thus worse.
  • During the last 3 years, the Ulcer Index is 40 , which is higher, thus worse than the value of 7.13 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.'

Which means for our asset as example:
  • Looking at the maximum drop from peak to valley of -81.3 days in the last 5 years of TripAdvisor, we see it is relatively lower, thus worse in comparison to the benchmark SPY (-33.7 days)
  • Looking at maximum drop from peak to valley in of -75.7 days in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (-33.7 days).

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.'

Which means for our asset as example:
  • Looking at the maximum days below previous high of 1225 days in the last 5 years of TripAdvisor, we see it is relatively higher, thus worse in comparison to the benchmark SPY (139 days)
  • During the last 3 years, the maximum days under water is 495 days, which is larger, thus worse than the value of 139 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.'

Which means for our asset as example:
  • Looking at the average days under water of 599 days in the last 5 years of TripAdvisor, we see it is relatively higher, thus worse in comparison to the benchmark SPY (37 days)
  • Compared with SPY (45 days) in the period of the last 3 years, the average time in days below previous high water mark of 178 days is larger, thus worse.

Performance (YTD)

Historical returns have been extended using synthetic data.

Allocations
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Allocations

Returns (%)

  • Note that yearly returns do not equal the sum of monthly returns due to compounding.
  • Performance results of TripAdvisor are hypothetical, do not account for slippage, fees or taxes, and are based on backtesting, which has many inherent limitations, some of which are described in our Terms of Use.