Camtek Ltd. (CAMT)

Nasdaq Stock Exchange
USD
IL0010952641
28 July 2000  –  12 April 2024

Performance

Annualized Return
11.91%
Sharpe Ratio
0.49
Maximum Drawdown
-97.74%

Metrics

Metric Camtek Ltd.
Initial Balance $10,000
Final Balance $144,366
Returns   [View more details]
Month-To-Date -4.71%
Year-To-Date 15.05%
3M 14.49%
6M 33.32%
Annual Return (3Y) 32.87%
Annual Return (5Y) 50.29%
Annual Return (All) 11.91%
Risk   [View more details]
Annual Volatility 68.56%
Max Drawdown -97.74%
Sharpe Ratio 0.49
Sortino Ratio 0.8
Adjusted Sortino (S/√2) 0.57

  • 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 April 2024.
  • 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 24 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
Camtek Ltd. 219.92% 32.87% 50.29% 39.65% 14.72% 11.91%

Annual Returns

Year Camtek Ltd.
2000 22.92%
2001 -51.19%
2002 -91.39%
2003 835.48%
2004 54.14%
2005 -4.03%
2006 -0.7%
2007 -59.62%
2008 -79.65%
2009 614.29%
2010 13.6%
2011 -38.38%
2012 -20%
2013 189.29%
2014 -25.68%
2015 -27.91%
2016 51.61%
2017 81.81%
2018 20.4%
2019 63.19%
2020 102.31%
2021 110.13%
2022 -52.3%
2023 215.94%
2024 15.05%

Camtek Ltd. had 14 positive years and 11 negative years. That's a positive ratio of 56%.

Monthly Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec YTD
2000 - - - - - - 1% 56.7% -11.2% -5.2% -18% 12.4% 22.9%
2001 15.3% -22.1% -30.2% -1.2% 33.5% -16.6% 2.2% -22.1% -52.1% -6.2% 62.1% 22% -51.2%
2002 -15.3% -3.3% -32.9% -17.2% -0.6% -38.7% -12% -4.6% -25% -33.3% 19.1% -38% -91.4%
2003 16.1% 2.8% 0% 35.1% 70% 11.8% 41.1% 0.8% 30.4% 36.4% 47.9% -18.3% 835.5%
2004 90% 5.3% -13.8% 15% -23.7% 20.7% -11.1% -14.2% -2% -14.1% 23.8% 6.2% 54.1%
2005 -10.3% -9.2% -8% -14% 2.4% -6.1% 9.4% 1% -2.3% -3% 29% 14.7% -4%
2006 19.1% -0.2% -4.1% 19.8% 13.5% -11.1% 5.8% -2.1% 1.3% 4.2% -11.8% -25.3% -0.7%
2007 3.1% -1.4% -11.8% 3.9% -15.4% -11.6% 14.1% -10% -2.3% -1.3% -23.5% -23.6% -59.6%
2008 -18.6% 0.7% -9.2% -1.6% 8.7% -25.6% -18.6% 8.4% -6.7% -23.8% -31.3% -20.5% -79.7%
2009 8.6% -2.6% -5.4% 48.6% -5.8% 0% 55.1% 32.9% 2% 21.4% 5.6% 89.4% 614.3%
2010 -3.6% 23.7% 2% -0% -14.1% -6.9% 6.2% -10.9% 9.1% 3.6% -4.2% 14.1% 13.6%
2011 21.8% 13.9% 1.3% -5.8% -21% 11.1% -9.1% -19.3% -25.6% 23.3% -14% -8.4% -38.4%
2012 25.1% 3.2% 10.6% -4.4% -8.8% 4.1% -7.5% -13.3% -3.3% -4.6% -16.7% -0% -20%
2013 0.7% -0.7% 2.9% -1.4% 35.9% 24.4% -1.3% -28.7% 0.6% 7.7% 124.6% -1.5% 189.3%
2014 26.2% -17% -13% -15.7% 4.5% -1.9% 16.3% 9.4% -3.2% -15.8% -6.7% -2.6% -25.7%
2015 4.3% -2.2% 3.9% 6% -15.1% -4.2% 4.4% -6.6% -3.7% -5.4% 1.2% -12.2% -27.9%
2016 -13.4% 1.6% 3.7% 11.6% -13.6% 10% 31% -10.2% 21.9% -3.7% 2.8% 10.4% 51.6%
2017 0.9% 6.9% 7.3% -2.4% 70.2% -23.7% 8.9% -15.6% 15.3% 12.3% 9.7% -5.1% 81.8%
2018 18.2% -2.8% 2.7% 1.9% 19.3% -8.9% 12% 23.1% -15.4% -7% 6% -19.9% 20.4%
2019 5.6% 21.5% 2.7% 11.9% -19.2% 4.8% 16.2% -6.1% 3.8% 15% -2.2% 2.7% 63.2%
2020 4.6% -7.7% -19.5% 25.1% 22.4% -2.4% 19.5% 2.7% -0.4% 14.7% 6.9% 16.2% 102.3%
2021 7.8% 16.9% 8.3% 13.9% 7.1% 3.4% -0.8% 10.5% -2% -4.1% 18.7% -0.2% 110.1%
2022 -19.3% -11.7% -7.3% -2.5% -0.6% -15.8% 17.3% -7.4% -14.2% -0.7% 6% -10% -52.3%
2023 18.4% 4.4% 4.5% -7.1% 9.6% 23.3% 33.6% 26.7% 3.3% -15.5% 20.7% 9.3% 215.9%
2024 12.2% 2.3% 5.3% -4.7% - - - - - - - - 15.1%
Pos 75% 50% 52.2% 47.8% 52.2% 40.9% 70.8% 41.7% 37.5% 37.5% 62.5% 43.5% 56%
Avg 9.1% 0.9% -4.3% 5% 6.9% -2.7% 9.7% 0% -3.4% -0.2% 10.7% 0.5% 77.6%

Other Return Metrics

Metric Camtek Ltd.
Cumulative Return 1343.66%
Enh Ann Return 51.97%
Best Year 835.48%
Worst Year -91.39%
Best Month 124.59%
Worst Month -52.1%
Best Day 72.08%
Worst Day -24.53%
Win Ratio (Yearly) 56%
Win Ratio (Quarterly) 56.25%
Win Ratio (Monthly) 50.88%
Win Ratio (Daily) 48.45%

Annual Volatility

Annual Volatility 1y Annual Volatility 3y Annual Volatility 5y Annual Volatility 10y Annual Volatility 20y Annual Volatility
Camtek Ltd. 49.32% 49.55% 51.34% 51.7% 60.66% 68.56%

Sharpe Ratio

Sharpe Ratio 1y Sharpe Ratio 3y Sharpe Ratio 5y Sharpe Ratio 10y Sharpe Ratio 20y Sharpe Ratio
Camtek Ltd. 2.6 0.82 1.05 0.9 0.52 0.49

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.

Camtek Ltd.

start valley end days Drawdown
2000-09-05 2009-03-11 2018-08-20 6558 -97.74%
2022-01-04 2022-12-27 2023-08-21 594 -56.21%
2020-01-23 2020-03-18 2020-07-17 176 -52%
2018-08-21 2018-12-24 2019-04-24 246 -40.45%
2019-04-25 2019-06-25 2019-10-24 182 -25.79%

The Camtek Ltd. took approximately 52 months on average to recover from a major drawdown. The longest drawdown lasted 219 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 Camtek Ltd.
Sharpe Ratio 0.49
Sortino Ratio 0.8
Adjusted Sortino (S/√2) 0.57
Calmar Ratio 0.12
Omega Ratio 1.1
Gain to Pain Ratio 0.1
Winckel Ratio 56
Ulcer Index 0.65
Kelly Criterion 4.52%
Skew 2.06
Kurtosis 26.39
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