Apple (AAPL)

Nasdaq Stock Exchange
USD
US0378331005
12 December 1980  –  16 August 2022

Performance

Annualized Return
19.57%
Sharpe Ratio
0.63
Maximum Drawdown
-81.8%

Metrics

Metric Apple
Initial Balance $10,000
Final Balance $17,253,310
Returns   [View more details]
Month-To-Date 6.62%
Year-To-Date -2.15%
3M 17.78%
6M 2.9%
Annual Return (3Y) 50.86%
Annual Return (5Y) 35.28%
Annual Return (All) 19.57%
Risk   [View more details]
Annual Volatility 44.91%
Max Drawdown -81.8%
Sharpe Ratio 0.63
Sortino Ratio 0.91
Adjusted Sortino (S/√2) 0.65

  • Initial balance: The amount of starting capital used to invest in the asset or portfolio. In this case, we're starting with a $10,000 investment on December 1980.
  • Final balance: The amount of capital we've accrued over time as of August 2022.
  • Annual return: Also known as annualized return, or CAGR (Compound Annual Growth Rate), measures how much an investment has increased on average each year, during a specific time period. The time period in this case is approximately 42 year(s). Even a small difference in return can have a big impact on the final balance over a long period of time.
  • Annual volatility: Basically indicates how much, in percentage points, the investment can deviate from its annual return, under most circumstances. An investment with an annual return of 5% and an annual volatility of 10% would indicate returns from approximately -5% to 15% most of the time. A lower volatility is usually preferred to ensure more steady returns over time.
  • Best year: The best performance attained over its lifetime in a given year.
  • Worst year: The worst performance undergone over its lifetime in a given year.
  • Max drawdown: The largest percentage drop from a peak to a trough of an asset or portfolio, before a new peak is attained. Maximum drawdown is an indicator of downside risk over a specified time period.
  • Sharpe Ratio: The Sharpe ratio measures the performance of an investment compared to a risk-free asset, after adjusting for its risk. A Sharpe Ratio above 1 is considered good.
  • Sortino Ratio: The Sortino Ratio is a variation of the Sharpe ratio that only penalizes the investment for negative volatility/outcomes, and not for positive volatility. A Sortino Ratio above 1 is considered good.
  • Adjusted Sortino Ratio: Sortino Ratio/√2. To allow for comparing the Sortino ratio to the Sharpe ratio, we multiply the risk measure of the Sortino ratio by the square root of 2 (which is the same as dividing the Sortino ratio by the square root of 2).
  • Ulcer Index: The Ulcer Index (UI) is a technical indicator that measures downside risk in terms of both the depth and duration of price declines.
  • Gain to Pain Ratio: The sum of all returns divided by the absolute value of the sum of all negative returns. In essence, the GPR shows the ratio of net returns to the losses incurred in getting those returns.

Annualized Returns

Annual Return 1y Annual Return 3y Annual Return 5y Annual Return 10y Annual Return 20y Annual Return
Apple 16.7% 50.86% 35.28% 24.19% 38.89% 19.57%

Annual Returns

Year Apple
1980 18.71%
1981 -35.16%
1982 34.97%
1983 -18.38%
1984 19.44%
1985 -24.45%
1986 84.09%
1987 107.88%
1988 -3.34%
1989 -11.57%
1990 23.51%
1991 32.36%
1992 6.91%
1993 -50.44%
1994 35.18%
1995 -17.35%
1996 -34.52%
1997 -37.09%
1998 211.8%
1999 151.12%
2000 -71.05%
2001 47.18%
2002 -34.57%
2003 49.13%
2004 201.36%
2005 123.26%
2006 18.01%
2007 133.47%
2008 -56.91%
2009 146.9%
2010 53.07%
2011 25.56%
2012 32.59%
2013 8.06%
2014 40.62%
2015 -3.02%
2016 12.48%
2017 48.48%
2018 -5.39%
2019 88.97%
2020 82.31%
2021 34.65%
2022 -2.15%

Apple had 28 positive years and 15 negative years. That's a positive ratio of 65%.

Monthly Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec YTD
1980 0% 0% 0% 0% 0% 0% 0% 0% 0% 0% 0% 18.7% 18.6%
1981 -17.2% -6.2% -7.5% 15.8% 16.7% -21.5% -3.8% -19.5% -24.2% 31.1% -6.9% 18.8% -29.2%
1982 -7.9% -10.5% -7.5% -12.6% -5.1% -8.9% 5.9% 33.3% 1.4% 39% 25.7% -6.3% 43.7%
1983 36.8% 11.6% -7.4% 19.5% 14.4% -15.4% -28.6% 6.8% -37.9% -2.2% -9.9% 19.6% 1.2%
1984 1.5% 6.1% -5.7% 26.8% -6.4% -9.8% -3.8% 3.9% -5.2% -1% -0.5% 17.7% 29.1%
1985 -0.4% -14.7% -10.6% -3.9% -18.3% 3.6% -11.8% -5.5% 5% 18.2% 8.1% 9.3% -18.2%
1986 5.1% 8.1% 13% 7.1% 22.3% -3% -12.9% 18.4% -9.5% 3.4% 15.5% 1.2% 68.9%
1987 37% 26.1% -7.9% 22.9% -0.3% 2.5% 1.9% 30.9% 4.6% -31.6% -14.4% 27.3% 95.1%
1988 -1.2% 3.8% -7% 2.5% 1.4% 11.4% -4% -10% 8.5% -10.7% -2.3% 7% 2.2%
1989 -6.2% -3.7% -1.7% 9.5% 22.7% -13.6% -3.6% 12.2% -0% 4.5% -4.6% -20.3% -6.6%
1990 -3.5% 0.3% 18.4% -2.2% 5% 8.5% -6.1% -11.6% -21.6% 6% 19.9% 17% 30.7%
1991 29.1% 3.4% 18.8% -19.1% -14.3% -11.7% 11.4% 14.9% -6.6% 4% -1.2% 11.1% 39%
1992 14.8% 4.4% -13.7% 3.2% -0.6% -19.5% -2.6% -1.3% -1.9% 16.3% 9.8% 3.9% 13%
1993 -0.4% -10.7% -2.8% -0.5% 10.7% -30.2% -29.7% -4.1% -11.8% 31.6% 2.8% -7.1% -57.2%
1994 12% 11.8% -8.9% -9.8% -2.1% -9.4% 27.1% 7.8% -6.9% 28.2% -13.5% 4.7% 39.5%
1995 3.5% -1.9% -10.8% 8.5% 9% 11.7% -3.1% -4.2% -13.4% -2.5% 5.3% -16.4% -10.4%
1996 -13.3% -0.4% -10.7% -0.8% 7.2% -19.6% 4.8% 10.2% -8.5% 3.7% 4.9% -13.5% -29.7%
1997 -20.4% -2.2% 12.3% -6.8% -2.2% -14.3% 22.8% 24.3% -0.3% -21.5% 4.2% -26% -26.5%
1998 39.5% 29% 16.4% -0.5% -2.7% 7.8% 20.7% -9.9% 22.3% -2.6% -14% 28.2% 132.6%
1999 0.6% -15.5% 3.2% 28% -4.2% 5.1% 20.3% 17.2% -3% 26.6% 22.2% 5% 109.4%
2000 0.9% 10.5% 18.5% -8.7% -32.3% 24.7% -3% 19.9% -57.7% -24% -15.6% -9.8% -77.8%
2001 45.3% -15.6% 20.9% 15.5% -21.7% 16.5% -19.2% -1.3% -16.4% 13.2% 21.3% 2.8% 57.7%
2002 12.9% -12.2% 9.1% 2.5% -4% -23.9% -13.9% -3.3% -1.7% 10.8% -3.5% -7.5% -30.5%
2003 0.2% 4.5% -5.8% 0.6% 26.2% 6.2% 10.6% 7.3% -8.4% 10.5% -8.6% 2.2% 46.7%
2004 5.6% 6% 13% -4.7% 8.8% 16% -0.6% 6.6% 12.4% 35.2% 28% -4% 118.5%
2005 19.4% 16.7% -7.1% -13.5% 10.3% -7.4% 15.9% 9.9% 14.3% 7.4% 17.8% 6% 87.9%
2006 5% -9.3% -8.4% 12.2% -15.1% -4.2% 18.7% -0.2% 13.5% 5.3% 13% -7.4% 23.8%
2007 1% -1.3% 9.8% 7.4% 21.4% 0.7% 8% 5.1% 10.8% 23.8% -4.1% 8.7% 92%
2008 -31.7% -7.6% 14.8% 21.2% 8.5% -11.3% -5.1% 6.7% -33% -5.3% -13.9% -7.9% -66.9%
2009 5.6% -0.9% 17.7% 19.7% 7.9% 4.9% 14.7% 3% 10.2% 1.7% 6.1% 5.4% 96.2%
2010 -8.9% 6.5% 14.8% 11.1% -1.6% -2.1% 2.3% -5.5% 16.7% 6.1% 3.4% 3.7% 46.2%
2011 5.2% 4.1% -1.3% 0.5% -0.7% -3.5% 16.3% -1.4% -0.9% 6.2% -5.6% 6% 26.2%
2012 12.7% 18.8% 10.5% -2.6% -1.1% 1.1% 4.6% 9.4% 0.3% -10.8% -1.2% -9.1% 32.5%
2013 -14.4% -2.5% 0.3% 0% 2.2% -11.8% 14.1% 8.4% -2.1% 9.6% 7% 0.9% 11.9%
2014 -10.8% 5.7% 2% 9.9% 7.9% 2.8% 2.9% 7.8% -1.7% 7.2% 10.6% -7.2% 36.4%
2015 6.1% 10.1% -3.1% 0.6% 4.5% -3.7% -3.3% -6.6% -2.5% 8.7% -0.6% -11% 0.5%
2016 -7.5% -0.1% 12.7% -14% 7.2% -4.3% 9% 2.4% 6.6% 0.4% -2.2% 4.8% 14.5%
2017 4.8% 13.4% 4.9% -0% 6.8% -5.7% 3.3% 10.7% -6% 9.7% 2% -1.5% 41.1%
2018 -1.1% 6.8% -5.8% -1.5% 13.5% -0.9% 2.8% 20% -0.8% -3% -18.1% -11.7% -1.4%
2019 5.5% 4.5% 9.7% 5.6% -12.4% 13.1% 7.6% -1.6% 7.3% 11.1% 7.8% 9.9% 67.2%
2020 5.4% -11.5% -7% 15.5% 8.5% 14.7% 16.5% 21.7% -10.3% -6% 9.5% 11.5% 71%
2021 -0.6% -8% 0.7% 7.6% -5.1% 9.9% 6.5% 4.2% -6.8% 5.9% 10.5% 7.4% 32.9%
2022 -1.6% -5.4% 5.7% -9.7% -5.5% -8.1% 18.9% 6.6% 0% 0% 0% 0% 1.4%
Pos 59.5% 52.4% 52.4% 59.5% 52.4% 42.9% 59.5% 64.3% 34.1% 70.7% 53.7% 61.9% 74.4%
Avg 4% 1.7% 2.5% 3.9% 2.1% -2.4% 3.1% 5.8% -4% 6.4% 2.8% 2.2% 27.3%

Other Return Metrics

Metric Apple
Cumulative Return 172433.1%
Enh Ann Return 32.34%
Best Year 211.8%
Worst Year -71.05%
Best Month 45.3%
Worst Month -57.75%
Best Day 33.22%
Worst Day -51.87%
Win Ratio (Yearly) 65.12%
Win Ratio (Quarterly) 62.5%
Win Ratio (Monthly) 55.29%
Win Ratio (Daily) 51.48%

Annual Volatility

Annual Volatility 1y Annual Volatility 3y Annual Volatility 5y Annual Volatility 10y Annual Volatility 20y Annual Volatility
Apple 30.41% 35.07% 32.12% 28.77% 33.68% 44.91%

Sharpe Ratio

Sharpe Ratio 1y Sharpe Ratio 3y Sharpe Ratio 5y Sharpe Ratio 10y Sharpe Ratio 20y Sharpe Ratio
Apple 0.66 1.35 1.1 0.9 1.15 0.63

3-Year Rolling Sharpe Ratio

The rolling Sharpe Ratio gives a clue about the continued consistency or stability of the risk-adjusted returns.

Drawdown Periods

Simply said, a drawdown is the "pain" period experienced by an investor between a peak (new highs) and subsequent valley (a low point before moving higher). In the table below are the fifth largest drawdowns encountered for the portfolio/asset in question.

Apple

start valley end Drawdown days
2000-03-23 2003-04-17 2005-01-26 -81.8% 1770
1991-04-03 1997-12-23 1999-09-02 -81.24% 3074
1983-06-07 1985-08-15 1987-02-17 -76.89% 1351
1980-12-30 1982-07-08 1983-01-20 -69.44% 751
2007-12-31 2009-01-20 2009-10-21 -60.87% 660

The Apple took approximately 51 months on average to recover from a major drawdown. The longest drawdown lasted 102 months.

Underwater plot

The underwater plot shows you the drawdown periods on a chart. Whereas the performance chart usually gives you a positive viewpoint, the underwater plot gives you a pessimistic viewpoint. It helps you to visualize downtrends that occurred and how long it took for the portfolio's value to rebound to hit a new high after suffering a loss.

Other Risk Metrics

Metric Apple
Sharpe Ratio 0.63
Sortino Ratio 0.91
Adjusted Sortino (S/√2) 0.65
Calmar Ratio 0.24
Omega Ratio 0.24
Gain to Pain Ratio 0.12
Winckel Ratio 58.14
Ulcer Index 0.4
Kelly Criterion 5.58%
Skew -0.37
Kurtosis 17.98
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