Commercial Metals Company (CMC)

New York Stock Exchange
USD
US2017231034
17 March 1980  –  9 December 2024

Performance

Annualized Return
13.52%
Sharpe Ratio
0.53
Maximum Drawdown
-83.77%

Metrics

Metric Commercial Metals Company
Initial Balance $10,000
Final Balance $2,923,005
Returns   [View more details]
Month-To-Date 0.92%
Year-To-Date 26.04%
3M 25.41%
6M 19.65%
Annual Return (3Y) 25.21%
Annual Return (5Y) 24.68%
Annual Return (All) 13.52%
Risk   [View more details]
Annual Volatility 37.4%
Max Drawdown -83.77%
Sharpe Ratio 0.53
Sortino Ratio 0.78
Adjusted Sortino (S/√2) 0.55

  • 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 1980.
  • Final balance: The amount of capital we've accrued over time as of December 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 45 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
Commercial Metals Company 37.89 25.21 24.68 16.89 11.75 13.52

Annual Returns

Year Commercial Metals Company
1980 15.35%
1981 -14.29%
1982 19.99%
1983 87.53%
1984 -22.77%
1985 27.32%
1986 -4.64%
1987 21.35%
1988 70.76%
1989 6.37%
1990 -23.59%
1991 37.38%
1992 24.52%
1993 43.22%
1994 -2.19%
1995 -6.65%
1996 24.31%
1997 6.62%
1998 -10.51%
1999 24.77%
2000 -33.22%
2001 60.23%
2002 -5.67%
2003 90.4%
2004 67.68%
2005 49.75%
2006 38.67%
2007 15.5%
2008 -58.94%
2009 36.31%
2010 10.33%
2011 -14.39%
2012 11.26%
2013 41.1%
2014 -17.74%
2015 -13.21%
2016 64.03%
2017 0.33%
2018 -23.17%
2019 42.81%
2020 -5.45%
2021 79.83%
2022 35.05%
2023 4.99%
2024 26.04%

Commercial Metals Company had 30 positive years and 15 negative years. That's a positive ratio of 67%.

Monthly Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec YTD
1980 - - 4.9% 6.3% 0.5% 12.3% 5.2% -7.5% 7.6% -0% -6.7% -6.3% 15.4%
1981 -8.6% -0.8% 10.2% 8.6% -5.3% -5.5% 14% 3.2% -18.7% 13.9% -7.4% -12.4% -14.3%
1982 -4.2% -6.1% -7.4% 18% -16.1% 3% 9.8% 8% 9.9% -0.7% 15.2% -5.3% 20%
1983 2.1% 14.3% 11.3% 15.5% 6.5% 28.7% 6.1% -8.3% -0% -12.5% 12.5% -4.8% 87.5%
1984 -6.7% -17.3% 6.5% 1.4% -10% 3.7% -6.4% 6.9% -2.9% -4.4% 0% 6.9% -22.8%
1985 0% 5% -2.7% 1.4% -0.7% -9.1% 8.4% -0.7% -7.1% 12.3% 6.2% 14.2% 27.3%
1986 0.6% 12.4% 8% 0.5% -1.7% 1.9% -6.8% 9.2% -20.5% -3% -3.1% 2.1% -4.6%
1987 12.7% 2.8% 2% -9.7% 15.7% -3.9% 18.6% -4.6% -3% -21.2% 1.6% 16.2% 21.4%
1988 3.8% 10.3% 27.3% -3.3% 1% 8.5% -1.4% -10.1% -4.9% 1% -2.6% 33.4% 70.8%
1989 -1.3% 5.4% -1.1% -0.6% -1.8% 0.6% -4.8% 7.5% 0% -3% 3% 3% 6.4%
1990 -8% 0% 3.1% -1.8% -1.2% 0.6% -5% -0% -2.6% -4.7% 1.4% -7.7% -23.6%
1991 10.8% 14.6% 0.6% 1.3% -2.4% -0.6% 3.1% -5.4% 0.6% 1.9% -8.8% 20% 37.4%
1992 4.6% 1.1% 1.6% 3.3% 3.1% -8.1% 2.2% -0.5% -1.6% 6.1% 3.7% 7.6% 24.5%
1993 3.3% 0% 6.4% -2.6% 9.7% 9.3% 9.7% 2% -4.3% 3.8% -6.4% 7.2% 43.2%
1994 -0.9% -1.8% -12.9% -0% -7.9% 18.4% 2.9% 1.4% 7.5% -4.8% -8.3% 8% -2.2%
1995 -7.4% 3.5% 0.5% 2.9% 3.3% -1.4% 5.6% -0.4% -4.4% -4.2% -8.7% 5.3% -6.7%
1996 4.5% 3.4% 8% 4.8% 4.6% 6% -8.3% -0.8% 8.7% -5% 2.8% -5.1% 24.3%
1997 -2.9% -0.4% -1.3% -2.6% 6.8% 8% -0.4% -3.2% 3.9% 1.4% 2.1% -4.2% 6.6%
1998 -3.8% 5.8% 9.4% -4.3% -8.1% 0.2% -9% -12.6% -5.7% 16.5% -4.9% 9.6% -10.5%
1999 -10.8% -7.4% -12.3% 18.6% -0.5% 21.6% 16.3% -7.2% -6.1% 14% -1.9% 6.1% 24.8%
2000 -5.9% -13.2% 0% 6.8% -10.4% 4.5% 7.3% -4.9% -8.7% 7.4% -10.1% -9.2% -33.2%
2001 4% 11.2% -1.8% 3.3% -1.3% 25.9% -0.9% -0.6% -11.5% 8.8% 9.1% 6.4% 60.2%
2002 4% 0.2% 15.2% 7% 2.4% 2.3% -20.2% 1.3% -5.3% -8.7% 3.1% -2.9% -5.7%
2003 -10.4% -3.3% -0.9% 11.5% 15.7% -0.5% 1.6% 9.9% -7.1% 34.9% 4.3% 18.4% 90.4%
2004 -6.5% 4.4% 7.5% -17.7% 14.9% 8.1% 6.7% 1% 13.8% -9% 25.4% 11.5% 67.7%
2005 14.6% 20.4% -2.4% -24.7% 2.6% -8.7% 20.7% 4.1% 12.7% -5.6% 10.4% 7% 49.8%
2006 26.3% -4.3% 18.1% 1.9% -9.5% 4.4% -11.5% -4.9% -5.8% 31.3% 9.2% -11.2% 38.7%
2007 5.5% 1.7% 13.7% 7.3% 4.8% -3.9% -8.4% -6.3% 9.6% -0.6% -1.5% -4.7% 15.5%
2008 -3.3% 7.4% -1.6% 4.3% 17.5% 3% -20.6% -12.8% -35.1% -33.8% 7.9% -0.9% -58.9%
2009 -2.2% -11.2% 13.1% 30.2% 14.1% -4.9% 3.2% 2.4% 6.4% -17.1% 7.1% -1.6% 36.3%
2010 -11.5% 19.4% -7.5% -1.2% 4.6% -14.3% 8.9% -9.5% 12.2% -4.2% 10.7% 8.7% 10.3%
2011 0.8% -0.3% 4.3% -3% -11.2% -2.8% 1.1% -19% -19.1% 32.2% 12.5% -1.1% -14.4%
2012 4.6% -7.3% 11.5% 0.6% -21% 8.2% 2.9% -1.2% 3.6% 4.2% -0.7% 9.7% 11.3%
2013 12.9% -2% -2.8% -7% 5.5% -4.2% 5.8% -3.9% 13.9% 8.3% 6.5% 4.7% 41.1%
2014 -5.7% 1.5% -2.4% 2.3% -7.6% -2.5% 0.3% 0.2% -1.2% 1.3% -4.8% -0.3% -17.7%
2015 -16.9% 12.2% 7.6% 3.3% -3.2% 0.1% -3.4% 1.9% -13.7% 6.1% 3.8% -7.4% -13.2%
2016 2.6% 5.5% 15.5% 6.4% -4.2% -1.6% -1.4% -6.2% 4.3% -3% 41.1% -1.1% 64%
2017 -5.7% 3.4% -9.5% -2% -2.9% 7.4% -3.7% 1.6% 0.7% 2.4% 2.5% 7.5% 0.3%
2018 13.3% 1.1% -15.8% 3.3% 12.5% -10.7% 6.4% -3.3% -5% -7.1% 1.7% -16.9% -23.2%
2019 9.8% -5.2% 3.2% 1.9% -22.8% 33.7% -1.3% -10.5% 10.9% 11.2% 11.2% 4.3% 42.8%
2020 -7.2% -11.1% -13.5% 1.7% 7.7% 18.9% 2% 0.9% -4.3% 4% -3.6% 3.2% -5.5%
2021 -3.6% 27.7% 23.1% -5.3% 7.7% -2% 6.8% -0.6% -6.6% 6.1% -4% 17.4% 79.8%
2022 -7.5% 15.3% 8.3% -1.5% -3.1% -16.4% 19.7% 2.3% -12.4% 28.7% 8.2% -1.9% 35.1%
2023 12.7% -4.6% -5.2% -4.5% -8.4% 23.6% 8.7% -1.6% -12.2% -14.1% 7.2% 10.4% 5%
2024 4.7% 3.4% 9.2% -8.6% 4.8% -2.4% 9.7% -10.8% 2.6% -1.8% 14.7% 0.9% 26%
Pos 48.8% 61.9% 61.4% 60% 48.9% 57.8% 62.2% 38.6% 39.5% 52.3% 63.6% 57.8% 66.7%
Avg 0.4% 2.8% 3.4% 1.6% 0.1% 3.5% 2.2% -2.1% -2.3% 2% 3.7% 3.2% 18.4%

Other Return Metrics

Metric Commercial Metals Company
Cumulative Return 29130.05%
Enh Ann Return 18.51%
Best Year 90.4%
Worst Year -58.94%
Best Month 41.12%
Worst Month -35.11%
Best Day 25.44%
Worst Day -18.1%
Win Ratio (Yearly) 66.67%
Win Ratio (Quarterly) 58.33%
Win Ratio (Monthly) 54.48%
Win Ratio (Daily) 50.59%

Annual Volatility

Annual Volatility 1y Annual Volatility 3y Annual Volatility 5y Annual Volatility 10y Annual Volatility 20y Annual Volatility
Commercial Metals Company 31.35 34.84 41.92 39.31 45.15 37.4

Sharpe Ratio

Sharpe Ratio 1y Sharpe Ratio 3y Sharpe Ratio 5y Sharpe Ratio 10y Sharpe Ratio 20y Sharpe Ratio
Commercial Metals Company 1.18 0.82 0.74 0.59 0.47 0.53

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.

Commercial Metals Company

Start Valley End Days Drawdown
2008-06-20 2008-11-20 2021-03-01 4637 -83.77%
1980-09-11 1982-06-15 1983-03-31 931 -49.45%
2002-06-25 2003-03-06 2003-10-17 479 -47.29%
1998-03-24 1999-03-24 2001-12-07 1354 -43.76%
1983-07-29 1985-01-08 1986-03-25 970 -42.88%

The Commercial Metals Company took approximately 56 months on average to recover from a major drawdown. The longest drawdown lasted 155 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 Commercial Metals Company
Sharpe Ratio 0.53
Sortino Ratio 0.78
Adjusted Sortino (S/√2) 0.55
Calmar Ratio 0.16
Omega Ratio 1.1
Gain to Pain Ratio 0.1
Ulcer Index 0.3
Kelly Criterion 4.7%
Skew 0.29
Kurtosis 8.6
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