Airbus SE (AIR.MC)

Bolsa De Madrid
EUR
NL0000235190
18 July 2000  –  20 May 2022

Performance

Annualized Return
11.11%
Sharpe Ratio
0.46
Maximum Drawdown
-74.87%

Metrics

Metric Airbus SE
Initial Balance $10,000
Final Balance $99,873
Returns   [View more details]
Month-To-Date 1.62%
Year-To-Date -3.8%
3M -8.24%
6M -5.74%
Annual Return (3Y) -2.21%
Annual Return (5Y) 9.33%
Annual Return (All) 11.11%
Risk   [View more details]
Annual Volatility 38.66%
Max Drawdown -74.87%
Sharpe Ratio 0.46
Sortino Ratio 0.68
Adjusted Sortino (S/√2) 0.48

  • 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 July 2000.
  • Final balance: The amount of capital we've accrued over time as of May 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 22 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
Airbus SE 13.08% -2.21% 9.33% 16.82% 11.78% 11.11%

Annual Returns

Year Airbus SE
2000 29.81%
2001 -40.89%
2002 -23.26%
2003 109.08%
2004 18.52%
2005 57.01%
2006 -19.37%
2007 -15.33%
2008 -46.13%
2009 19.16%
2010 31.95%
2011 36.8%
2012 26.68%
2013 94.75%
2014 -24.72%
2015 54.05%
2016 2.67%
2017 35.87%
2018 2.03%
2019 57.58%
2020 -28.27%
2021 24.47%
2022 -3.8%

Airbus SE had 15 positive years and 8 negative years. That's a positive ratio of 65%.

Monthly Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec YTD
2000 0% 0% 0% 0% 0% 0% 0.3% -1.7% 12.1% 19.6% 0.3% -2.1% 30.4%
2001 -1.3% -2.2% -6.6% -2.9% 15.6% -6.3% 3.7% -13.5% -41.8% 14.5% 4.6% -0.3% -40.8%
2002 -3.7% 12% 9.6% 8.6% 5.7% -11.3% 4.7% -14.3% -23.2% 4% 14% -22% -12.8%
2003 -0.8% -17.8% -9.7% 24% 15.3% 12% 33.4% 1.7% -8.1% 32% 3.7% 4% 85.4%
2004 -7.5% 6.1% -2.1% 19.1% -2.2% 12.7% 0.8% -7.6% 0.3% 4.4% 2% -5.7% 21.6%
2005 9% 1.4% -2.5% -5.4% 12.9% 9.3% 5.3% -1.5% 8.1% -2.5% 9.2% 4.7% 47.2%
2006 -2.2% -4.4% 12.6% -9.8% -10.2% -19.1% 1.3% 4.4% -3.5% -6.1% 4.3% 16.8% -11.6%
2007 -2.2% 1.3% -9.8% 2% -0.3% 2.7% -7.6% -1.9% -1.9% 9.2% -6.5% 0% -13.3%
2008 -21.9% 1.8% -13.5% 9.3% -8.4% -19.5% 1.8% 25.9% -20.3% 6.9% -4.9% -6.3% -43.1%
2009 17.4% -14.6% -25% 25.1% 4.8% 1.6% 16.3% 8.4% 4.7% -16.2% -6.2% 14.7% 26.2%
2010 3.4% 5.9% -0.2% -4.7% 13.9% 3.4% 8.3% -6.6% 7.6% 3.3% -8.6% 4.7% 32.6%
2011 16.9% -1.3% -1.3% 1.7% 9.5% 3.8% 4.6% -8.8% -4.1% 0.9% 4.3% 7.9% 38.6%
2012 6.7% 5.1% 13.9% -3.1% -8.2% 5.5% 5.4% 3.4% -18.1% 10.1% -5.8% 14% 29%
2013 17.1% 13.3% 1.4% 0.9% 12.2% -5.1% 8.5% -2.6% 7.6% 7.7% 4% 5.9% 70%
2014 -5.7% 1.5% -2.2% -5.1% 7.8% -6.8% -11.4% 7.4% 7% -1.9% -0.3% -15.3% -24.5%
2015 14.1% 17.1% 9.5% 2.6% 0% -3.5% 9.9% -10.5% -8.1% 18.9% 8.5% -8.7% 48.8%
2016 -8% 3.7% -2.2% -5.8% 5.2% -8.2% 1.7% -0.2% 2.4% 0.6% 11.7% 3.6% 7.1%
2017 1.1% 9.2% 3.1% 6.2% -0.4% -2.6% -1.7% -1.8% 14.9% 9.9% -0.6% -4.5% 32.8%
2018 11% 6.6% -4.6% 5% -0% 3.7% 5.2% 0.3% 2% -9.8% -3% -11.9% 6%
2019 19.6% 13.5% 3.8% 4.1% -5.8% 9% 3.3% -2.6% -4.8% 8.1% 2.9% -1.8% 48.5%
2020 2.6% -19.3% -44.4% -0.8% -1% 11.8% -2.7% 11.4% -10.2% 1.5% 40.7% 2.1% -8.8%
2021 -7.7% 14.1% 1.2% 3.4% 7.2% 1.3% 6.9% -0.4% -0.1% -4.5% -9.8% 13.3% 27.2%
2022 -0% 2.1% -3.8% -3.6% 1.6% 0% 0% 0% 0% 0% 0% 0% -1%
Pos 50% 72.7% 36.4% 59.1% 59.1% 57.1% 81.8% 36.4% 45.5% 72.7% 59.1% 54.5% 65.2%
Avg 2.6% 2.5% -3.3% 3.2% 3.4% -0.3% 4.5% -0.5% -3.5% 5% 2.9% 0.6% 17.2%

Other Return Metrics

Metric Airbus SE
Cumulative Return 898.73%
Enh Ann Return 15.99%
Best Year 109.08%
Worst Year -46.13%
Best Month 40.67%
Worst Month -44.38%
Best Day 18.74%
Worst Day -25.92%
Win Ratio (Yearly) 65.22%
Win Ratio (Quarterly) 62.5%
Win Ratio (Monthly) 57.03%
Win Ratio (Daily) 50.76%

Annual Volatility

Annual Volatility 1y Annual Volatility 3y Annual Volatility 5y Annual Volatility 10y Annual Volatility 20y Annual Volatility
Airbus SE 34.39% 47.39% 40.19% 35.07% 38.06% 38.66%

Sharpe Ratio

Sharpe Ratio 1y Sharpe Ratio 3y Sharpe Ratio 5y Sharpe Ratio 10y Sharpe Ratio 20y Sharpe Ratio
Airbus SE 0.52 0.19 0.42 0.61 0.48 0.46

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.

Airbus SE

start valley end Drawdown days
2006-03-27 2009-03-30 2013-01-09 -74.87% 2480
2001-06-08 2003-03-12 2004-04-26 -71.46% 1053
2020-01-27 2020-03-18 - -64.04% 844
2014-01-23 2014-12-12 2015-03-04 -28.15% 405
2015-12-01 2016-07-06 2017-02-21 -27.33% 448

The Airbus SE took approximately 35 months on average to recover from a major drawdown. The longest drawdown lasted 83 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 Airbus SE
Sharpe Ratio 0.46
Sortino Ratio 0.68
Adjusted Sortino (S/√2) 0.48
Calmar Ratio 0.15
Omega Ratio 0.15
Gain to Pain Ratio 0.09
Winckel Ratio 56.52
Ulcer Index 0.31
Kelly Criterion 4.11%
Skew -0.01
Kurtosis 8.28
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