BancFirst Corporation (BANF)

Nasdaq Stock Exchange
USD
US05945F1030
26 March 1990  –  13 May 2022

Performance

Annualized Return
14.62%
Sharpe Ratio
0.57
Maximum Drawdown
-57.1%

Metrics

Metric BancFirst Corporation
Initial Balance $10,000
Final Balance $805,313
Returns   [View more details]
Month-To-Date 0.34%
Year-To-Date 16.76%
3M 5.92%
6M 21.69%
Annual Return (3Y) 17.53%
Annual Return (5Y) 14.06%
Annual Return (All) 14.62%
Risk   [View more details]
Annual Volatility 34.5%
Max Drawdown -57.1%
Sharpe Ratio 0.57
Sortino Ratio 0.86
Adjusted Sortino (S/√2) 0.61

  • 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 March 1990.
  • 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 32 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
BancFirst Corporation 17.86% 17.53% 14.06% 17.89% 13.03% 14.62%

Annual Returns

Year BancFirst Corporation
1990 -13.95%
1991 71.68%
1992 45.28%
1993 -4.73%
1994 3.46%
1995 27.93%
1996 49.01%
1997 25.07%
1998 8.05%
1999 -3.77%
2000 19.45%
2001 -10.86%
2002 37.84%
2003 25.14%
2004 39.04%
2005 1.56%
2006 38.71%
2007 -19.29%
2008 25.74%
2009 -28.3%
2010 13.86%
2011 -6.26%
2012 15.87%
2013 35.59%
2014 15.49%
2015 -5.45%
2016 62.24%
2017 11.7%
2018 -0.63%
2019 27.91%
2020 -2.96%
2021 22.77%
2022 16.76%

BancFirst Corporation had 23 positive years and 10 negative years. That's a positive ratio of 70%.

Monthly Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec YTD
1990 0% 0% 4.7% -6.7% -9.5% -2.6% 0% 4% -7.8% -1.4% 14.3% -7.5% -2.4%
1991 8.1% 10% 4.5% 13% 7.7% -4.5% 1.9% 10.1% -0.9% 2.6% -2.5% 6.8% 69.4%
1992 11.8% -1.4% 2.1% 11.2% 3.7% 1.8% 4.5% -3.4% -1.8% 5.4% 2.5% 2.5% 40.5%
1993 7.3% 12.1% 0% -8.1% -8.8% 1.9% 3.2% 1.5% -1.2% -3.1% -3.2% -4.5% 0.8%
1994 -0% -10.3% 5.8% 8.7% 2.5% 7.8% 0.7% -3% -4.3% 0% -1.6% -1.2% 10.6%
1995 -2.5% 9.5% -1.1% -1.6% -4.9% 5.7% 23% 6.7% -5.6% 18.3% -12.4% -4.5% 32.1%
1996 7.8% 4.4% -0% 1% 2.4% -2% 2.4% 4.7% 9.2% -0% 4.6% 6.8% 43.2%
1997 2.8% 3.6% 0.9% -2.2% 3.5% 13.9% -10.4% -0.8% 11.3% -3.8% 5.5% 0.8% 25.9%
1998 -0.4% 13.4% 4.9% 13.2% 5.6% -1.9% -3.2% -26.7% 11% 3.8% 7.6% -11.6% 12.4%
1999 -8.4% 1.2% 5.3% 1.8% -9.9% 7.5% 2.2% -1.3% -8.4% 2.4% 11.4% -5.1% 1.6%
2000 -16.8% -1.8% -3.9% 1.7% 13.2% 3.8% 4% -2.9% 0.7% 13.7% -1.9% 12.1% 26.1%
2001 1.4% -5% 3.4% 0.3% -1.9% 4.3% 5.6% -7.1% -13% 1.6% 0.3% 0% -7.1%
2002 1.2% 5.4% 6.2% 10% 1.6% 6.6% -0.8% -0.7% 8.2% -5.1% 2.4% -1.2% 34.7%
2003 -3.9% -1.9% 0% 13% 9.6% -4.6% 1.8% -0% 0.9% 1.8% 4.3% 3% 25.4%
2004 -3.3% 3.3% -3.5% -0.6% 3.4% 5.3% -0.6% 2.5% 5.7% 1.4% 9.1% 11.6% 34.3%
2005 -2.8% -8.1% -1.7% 2.1% 11.7% 10.8% -2% -0% 0.1% -2.3% -4.1% -0.5% 3.9%
2006 5.3% 1.7% 3.5% -0.2% 2.9% -0% 6.9% -0.6% -1% 6.5% 7.1% 1.7% 35.6%
2007 -9.9% -3.5% -0.9% -7.6% 0.8% -0.4% -5.6% 11.6% -0.1% 1.3% 2.9% -7.9% -15.3%
2008 5.1% -6.4% 9.1% -4.5% -0.7% -1% 10.4% 1.9% 0.8% 4.3% -13.5% 22% 36.4%
2009 -32.7% -2% 4.9% 17.3% -9.6% -9.8% 3.6% 2.1% 1.6% -2.2% 4% -0.8% -19.6%
2010 8.8% -1% 5.6% 5.3% -10.1% -7.5% 12.9% -9.7% 9.4% 1.6% -1.3% 2.1% 16.6%
2011 -1.5% 3.6% 2.1% -5.6% -0.7% -2.8% -1.2% -6.3% -6.4% 16.7% -4.1% 1.8% 0.8%
2012 7% 1.9% 6.4% -3.7% -9% 11.2% -3.1% 1.9% 4.5% 2.3% -3.7% 0.7% 17.1%
2013 -3.4% -2.1% 4.9% 0.3% 2.4% 9.3% 12.3% -2.3% 6.5% 2.8% 0.3% 1.1% 31.9%
2014 -3.6% 1.9% 3.5% 2.8% 2.1% 4.7% -1.6% 4.5% -1.2% 3.9% -1.5% -0.4% 16.2%
2015 -9% 3% 3.3% -5.3% 1% 12.8% -2.8% -4.9% 5% -2.3% 4.6% -8.5% -2.9%
2016 -4.6% 1% 1.6% 9.4% 0.6% -3.2% 8.7% 4.6% 6.3% -1.1% 14.3% 14% 51.5%
2017 1.4% 1.1% -5.3% 6.8% -1.7% 2.7% 10.5% -5.6% 13% -3.7% 3.9% -9.6% 14.3%
2018 9% -4.5% 0.1% 7.6% 4.5% -0.6% 4.9% 2.7% -5.6% -4.3% -2.7% -10.1% 2.1%
2019 7.6% 5% -7% 8.1% -7.4% 7.1% 4.8% -7.8% 3.7% 4.5% 2.1% 6.2% 26.8%
2020 -7.4% -11.2% -34.3% 15.4% -1% 7.3% 7.4% 1% -6.4% 8.8% 22% 8.9% 25.2%
2021 -1.8% 10.8% 11.2% -1.7% -0.8% -9% -11.1% 1.9% 6.9% 8.1% -2.1% 11.5% 24.8%
2022 6.2% 4.2% 7% -1.8% 0.3% 0% 0% 0% 0% 0% 0% 0% 16.2%
Pos 46.9% 59.4% 71.9% 60.6% 57.6% 56.3% 64.5% 46.9% 56.3% 64.5% 59.4% 56.3% 84.8%
Avg -0.7% 1.2% 1.4% 3% 0.1% 2.3% 2.9% -0.7% 1.3% 2.7% 2.1% 1.3% 19.1%

Other Return Metrics

Metric BancFirst Corporation
Cumulative Return 7953.13%
Enh Ann Return 16.15%
Best Year 71.68%
Worst Year -28.3%
Best Month 22.95%
Worst Month -34.33%
Best Day 26.32%
Worst Day -21.03%
Win Ratio (Yearly) 69.7%
Win Ratio (Quarterly) 63.08%
Win Ratio (Monthly) 58.33%
Win Ratio (Daily) 50.99%

Annual Volatility

Annual Volatility 1y Annual Volatility 3y Annual Volatility 5y Annual Volatility 10y Annual Volatility 20y Annual Volatility
BancFirst Corporation 23.45% 48.14% 40.17% 32.21% 32.96% 34.5%

Sharpe Ratio

Sharpe Ratio 1y Sharpe Ratio 3y Sharpe Ratio 5y Sharpe Ratio 10y Sharpe Ratio 20y Sharpe Ratio
BancFirst Corporation 0.81 0.57 0.53 0.67 0.54 0.57

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.

BancFirst Corporation

start valley end Drawdown days
2020-01-17 2020-03-18 2021-01-06 -57.1% 355
2008-09-22 2009-03-09 2013-07-24 -49.78% 1766
1998-06-22 2000-03-17 2002-06-25 -46.78% 1464
1993-03-22 1994-02-24 1995-07-26 -34.61% 856
1990-04-03 1990-10-10 1991-02-04 -31.11% 307

The BancFirst Corporation took approximately 32 months on average to recover from a major drawdown. The longest drawdown lasted 59 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 BancFirst Corporation
Sharpe Ratio 0.57
Sortino Ratio 0.86
Adjusted Sortino (S/√2) 0.61
Calmar Ratio 0.26
Omega Ratio 0.26
Gain to Pain Ratio 0.12
Winckel Ratio 60.61
Ulcer Index 0.18
Kelly Criterion 5.46%
Skew 0.67
Kurtosis 14.18
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