Caterpillar Inc (CATR.PA)

Euronext Paris
EUR
US1491231015
4 September 2001  –  25 January 2022

Performance

Annualized Return
9.74%
Sharpe Ratio
0.44
Maximum Drawdown
-72.68%

Metrics

Metric Caterpillar Inc
Initial Balance $10,000
Final Balance $66,601
Returns
Month-To-Date 3.84%
Year-To-Date 3.84%
3M 8.94%
6M 7.63%
Annual Return (1Y) 22.69%
Annual Return (3Y) 20.72%
Annual Return (5Y) 18.84%
Annual Return (10Y) 11.9%
Annual Return (All) 9.74%
Enh Ann Return 13.3%
Best Year 91%
Worst Year -44.06%
Risk
Annual Volatility 47.68%
Max Drawdown -72.68%
Sharpe Ratio 0.44
Sortino Ratio 0.63
Adjusted Sortino (S/√2) 0.44
Ulcer Index 0.28
Gain to Pain Ratio 0.13

  • 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 September 2001.
  • Final balance: The amount of capital we've accrued over time as of January 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 20 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.

Chart

Table

Year Caterpillar Inc
2001 -44.06%
2002 -38.21%
2003 90.24%
2004 13.83%
2005 33.93%
2006 -2.72%
2007 9.39%
2008 -35.33%
2009 34.23%
2010 91%
2011 2.65%
2012 -0.92%
2013 0.41%
2014 13.87%
2015 -10.05%
2016 53.9%
2017 45.32%
2018 -14.19%
2019 24.74%
2020 13.96%
2021 27.04%
2022 3.84%

Caterpillar Inc had 15 positive years and 7 negative years. That's a positive ratio of 68%.

Table

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec YTD
2001 0% 0% 0% 0% 0% 0% 0% 0% -57.9% 10.7% 10% 9.1% -33.7%
2002 -6.9% 15.3% 9.2% -14.4% -0.8% -17.8% -14.8% 20.4% -9.8% -3.4% 8% -21.7% -13.3%
2003 12% -4.5% 29.6% 1.5% -12.4% 14.3% 14.9% 11.2% -5.2% 4.3% -0.1% 7% 82.8%
2004 7.2% -11.3% 4.8% -0.8% -4.8% 2.8% -8% 16.4% -7.5% 0.9% 8.2% 8.8% 25%
2005 -8.9% 1.5% 7.4% 0.2% 3.1% 6.7% 23.3% -10.8% 12.1% -11.2% 15.5% -3.2% 38.2%
2006 8.5% 22.3% -0.6% -1.7% -6.8% -5.3% 9.8% -11.8% -3.6% -3.4% -3.5% -2.4% 9.7%
2007 4.7% -0.6% 1.9% 9.7% 5.7% 3.6% -1.7% -8.3% 11.5% -13.2% -9.9% 9.3% 25%
2008 -11.9% 11.6% -6% 12.5% 4% -17% -1.5% 11.9% -12.8% -22.6% -17.5% 17.4% -18.5%
2009 -19.9% -25.3% 18.4% 25.5% -7.5% -3.3% 29.9% 6.7% 10.6% 10.4% -0.1% -0.2% 42.4%
2010 -0.8% 8.3% 13.8% 12.3% -4.9% 1.9% 5.8% -4% 14.6% -3% 16.2% 9.4% 69.8%
2011 -0.6% 6.7% 4.6% 2.2% -8.2% 0.4% -5.5% -12.9% -2.5% 20.2% 2.6% -0.7% 9.9%
2012 27% -2.8% -6.1% 0.2% -8.5% -14.1% 10.9% -4% -1% -0.3% 0.3% 2.9% 6.1%
2013 7.3% -3.6% -3.3% -4.9% 5.2% -5.8% -0% -0.8% -0.8% 0.6% 1.6% 6% 2.8%
2014 5.1% 1.9% 3% 6.5% -0.9% 4.2% -1% 6.8% -4.2% 5.3% -0.3% -11.6% 15.4%
2015 6.7% -3.4% -0% 5.7% 1.3% -0.3% -9.8% -3.2% -16.4% 18.1% 2.9% -7.9% -5.5%
2016 -9.4% 10.9% 10.7% 2% -8.3% 2.5% 15.7% -0.6% 5.8% -1.8% 17.3% 3.2% 50.5%
2017 -0.6% 1% -5.3% 9.4% -1.9% 0.5% 3.9% 1.1% 7.2% 12.9% -1.7% 13.4% 41.4%
2018 1.3% -0.8% -9.5% 1.5% 11.7% -12.3% 5.9% -1.2% 7.8% -19.2% 2.8% 1.4% -8.2%
2019 0.3% 11.4% -1.6% 4.9% -12% 7.3% 0.8% -11.9% 10.6% 3.5% 11.4% 1.1% 27.5%
2020 -6.8% -10.2% -7.2% 5% -5.6% 8.5% 6.4% 2.6% 7.6% 4.7% 9.8% 1% 29.2%
2021 7.2% 17.3% 5.2% -1.9% 4.1% -8% -2.5% 1.8% -3.1% 5% 0.5% 0.7% 31.7%
2022 3.8% 0% 0% 0% 0% 0% 0% 0% 0% 0% 0% 0% 4.8%
Pos 57.1% 55% 55% 75% 35% 55% 55% 45% 42.9% 57.1% 66.7% 66.7% 77.3%
Avg 1.2% 2.3% 3.4% 3.8% -2.4% -1.6% 4.1% 0.5% -1.8% 0.9% 3.5% 2.1% 19.7%

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.

Caterpillar Inc

start valley end Drawdown days
2006-04-26 2009-03-03 2010-09-27 -72.68% 1615
2001-09-06 2003-02-21 2005-07-29 -65.98% 1422
2019-12-16 2020-03-12 2020-10-16 -43.22% 305
2015-06-08 2016-01-18 2016-09-05 -37.23% 455
2011-02-22 2011-10-04 2012-01-13 -34.13% 325

The Caterpillar Inc took approximately 27 months on average to recover from a major drawdown.

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.

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