Annualized Returns
|
Annual Return 1y
|
Annual Return 3y
|
Annual Return 5y
|
Annual Return 10y
|
Annual Return 20y
|
Annual Return
|
Banco Santander México, S.A., Institución de Banca Múltiple, Grupo Financiero Santander México |
16.41% |
20.08% |
0.82% |
-4.27% |
-2.6% |
-2.6% |
Annual Returns
Year
|
Banco Santander México, S.A., Institución de Banca Múltiple, Grupo Financiero Santander México
|
2012 |
25.33% |
2013 |
-1.99% |
2014 |
-22.84% |
2015 |
-13.74% |
2016 |
-10.77% |
2017 |
6.11% |
2018 |
-10.22% |
2019 |
16.31% |
2020 |
-24.04% |
2021 |
12.6% |
2022 |
20.35% |
2023 |
-9.45% |
Banco Santander México, S.A., Institución de Banca Múltiple, Grupo Financiero Santander México had 5 positive years and 7 negative years. That's a positive ratio of 42%.
Monthly Returns
|
Jan
|
Feb
|
Mar
|
Apr
|
May
|
Jun
|
Jul
|
Aug
|
Sep
|
Oct
|
Nov
|
Dec
|
YTD
|
2012 |
- |
- |
- |
- |
- |
- |
- |
- |
6.1% |
-0.2% |
6.9% |
10.8% |
25.3% |
2013 |
-3.9% |
-4.1% |
3.4% |
4.7% |
-2% |
-10.2% |
1.5% |
-4% |
1.3% |
2.2% |
-0.6% |
11.2% |
-2% |
2014 |
-18.9% |
-0.2% |
11.3% |
-3.2% |
12.6% |
-0.9% |
0% |
13.4% |
-10.2% |
-1.7% |
-14.1% |
-7.9% |
-22.8% |
2015 |
2.1% |
4.1% |
-0.8% |
-6.9% |
-5.5% |
-3.3% |
-2.2% |
-13.3% |
-5.4% |
24.7% |
5.9% |
-9.2% |
-13.7% |
2016 |
-11.5% |
4.2% |
13% |
1.2% |
0.2% |
0.7% |
0.4% |
4.8% |
-8.1% |
2.8% |
-22.5% |
8.8% |
-10.8% |
2017 |
-0.6% |
5.2% |
20.1% |
0.9% |
2.1% |
5.5% |
6.4% |
0.5% |
-2.1% |
-16.6% |
-3.4% |
-7.8% |
6.1% |
2018 |
7.9% |
-9.6% |
1.4% |
2.2% |
-11.7% |
6.1% |
25% |
-6.1% |
-1.2% |
-19.1% |
-2.9% |
4% |
-10.2% |
2019 |
20.9% |
-8.6% |
-0.6% |
24.5% |
-11% |
4.5% |
-7.2% |
-11.6% |
0.3% |
5.7% |
-5.3% |
10.8% |
16.3% |
2020 |
4.9% |
-9.3% |
-49.8% |
-14.5% |
17% |
11.4% |
-12.5% |
1.9% |
-0.6% |
14.4% |
42.9% |
-1.5% |
-24% |
2021 |
-3.3% |
-4.8% |
16% |
2.7% |
4.3% |
8.5% |
-6.7% |
-0.5% |
-1.7% |
12.6% |
-4.1% |
-7.8% |
12.6% |
2022 |
-0.2% |
-0.7% |
-6.3% |
3.1% |
0.1% |
-0.9% |
11.3% |
4.5% |
-7.9% |
14.3% |
3.1% |
0.3% |
20.4% |
2023 |
4.5% |
5.4% |
2% |
-12.7% |
-7.6% |
0% |
- |
- |
- |
- |
- |
- |
-9.5% |
Pos |
45.5% |
36.4% |
63.6% |
63.6% |
54.5% |
60% |
55.6% |
50% |
27.3% |
63.6% |
36.4% |
54.5% |
41.7% |
Avg |
0.2% |
-1.7% |
0.9% |
0.2% |
-0.1% |
2.1% |
1.8% |
-1% |
-2.7% |
3.6% |
0.5% |
1.1% |
-1% |
Other Return Metrics
Metric
|
Banco Santander México, S.A., Institución de Banca Múltiple, Grupo Financiero Santander México
|
Cumulative Return |
-24.64% |
Enh Ann Return |
-1.36% |
Best Year |
25.33% |
Worst Year |
-24.04% |
Best Month |
42.9% |
Worst Month |
-49.77% |
Best Day |
19.4% |
Worst Day |
-21.08% |
Win Ratio (Yearly) |
41.67% |
Win Ratio (Quarterly) |
54.55% |
Win Ratio (Monthly) |
51.16% |
Win Ratio (Daily) |
50.33% |
Annual Volatility
|
Annual Volatility 1y
|
Annual Volatility 3y
|
Annual Volatility 5y
|
Annual Volatility 10y
|
Annual Volatility 20y
|
Annual Volatility
|
Banco Santander México, S.A., Institución de Banca Múltiple, Grupo Financiero Santander México |
28.27% |
32.22% |
39.32% |
35.41% |
35.31% |
35.31% |
Sharpe Ratio
|
Sharpe Ratio 1y
|
Sharpe Ratio 3y
|
Sharpe Ratio 5y
|
Sharpe Ratio 10y
|
Sharpe Ratio 20y
|
Sharpe Ratio
|
Banco Santander México, S.A., Institución de Banca Múltiple, Grupo Financiero Santander México |
0.68 |
0.72 |
0.22 |
0.05 |
0.1 |
0.1 |
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.
Banco Santander México, S.A., Institución de Banca Múltiple, Grupo Financiero Santander México
start
|
valley
|
end
|
days
|
Drawdown
|
2013-01-15 |
2020-04-24 |
- |
3803 |
-78.19% |
2012-10-12 |
2012-11-16 |
2012-11-30 |
49 |
-7.47% |
2012-12-20 |
2012-12-27 |
2013-01-10 |
21 |
-6.08% |
2012-12-13 |
2012-12-13 |
2012-12-17 |
4 |
-0.83% |
2012-10-02 |
2012-10-02 |
2012-10-04 |
2 |
-0.51% |
The Banco Santander México, S.A., Institución de Banca Múltiple, Grupo Financiero Santander México took approximately 26 months on average to recover from a major drawdown. The longest drawdown lasted 127 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
|
Banco Santander México, S.A., Institución de Banca Múltiple, Grupo Financiero Santander México
|
Sharpe Ratio |
0.1 |
Sortino Ratio |
0.15 |
Adjusted Sortino (S/√2) |
0.11 |
Calmar Ratio |
-0.03 |
Omega Ratio |
1.02 |
Gain to Pain Ratio |
0.02 |
Winckel Ratio |
50 |
Ulcer Index |
0.41 |
Kelly Criterion |
0.93% |
Skew |
-0.13 |
Kurtosis |
9.01 |