Carpenter Technology Corporation (CRS)

New York Stock Exchange
USD
US1442851036
21 February 1973  –  28 March 2024

Performance

Annualized Return
8.72%
Sharpe Ratio
0.41
Maximum Drawdown
-84.68%

Metrics

Metric Carpenter Technology Corporation
Initial Balance $10,000
Final Balance $717,433
Returns   [View more details]
Month-To-Date 10.47%
Year-To-Date 1.19%
3M -0.23%
6M 5.55%
Annual Return (3Y) 22.66%
Annual Return (5Y) 11.75%
Annual Return (All) 8.72%
Risk   [View more details]
Annual Volatility 37.25%
Max Drawdown -84.68%
Sharpe Ratio 0.41
Sortino Ratio 0.6
Adjusted Sortino (S/√2) 0.42

  • 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 February 1973.
  • Final balance: The amount of capital we've accrued over time as of March 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 51 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
Carpenter Technology Corporation 72.19% 22.66% 11.75% 2.82% 9.55% 8.72%

Annual Returns

Year Carpenter Technology Corporation
1973 29.73%
1974 -47.08%
1975 35.43%
1976 66.86%
1977 28.92%
1978 15.68%
1979 12.15%
1980 32.92%
1981 15.99%
1982 -13.24%
1983 33.96%
1984 -25.58%
1985 -14.37%
1986 -9.49%
1987 44.94%
1988 12.04%
1989 7.34%
1990 -0.89%
1991 10.3%
1992 14.34%
1993 19.23%
1994 0.5%
1995 52.51%
1996 -7.56%
1997 35.32%
1998 -27.17%
1999 -15.05%
2000 34.29%
2001 -21.19%
2002 -50.84%
2003 142.63%
2004 99.57%
2005 21.61%
2006 46.54%
2007 47.98%
2008 -72.13%
2009 35.93%
2010 52.61%
2011 29.96%
2012 1.65%
2013 22.12%
2014 -19.79%
2015 -37.38%
2016 21.97%
2017 43.4%
2018 -29.16%
2019 42.12%
2020 -39.44%
2021 2.66%
2022 29.5%
2023 94.48%
2024 1.19%

Carpenter Technology Corporation had 36 positive years and 16 negative years. That's a positive ratio of 69%.

Monthly Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec YTD
1973 - 1.1% -0.5% 1.1% -11.2% -0.6% 7.2% -6.7% 27.7% 18.9% -20.6% 20% 29.7%
1974 -0.8% -8% -6.9% -3.9% -6.1% 1.6% 1.1% -7.9% -17.2% 4.2% -4.7% -11.2% -47.1%
1975 28.4% -0% 0.6% 12.2% -8.7% 6% 5.6% 0.5% -6.9% -3.4% -1.8% 3% 35.4%
1976 27.3% 4.1% 16.2% -6.4% 2.4% -2.4% -0% 5.7% 3.1% -6.3% 8.3% 4.7% 66.9%
1977 -1.4% 1.4% 3.1% 11.5% -7.3% 5.2% -8.7% 3.7% -3% 1.4% 8% 14.2% 28.9%
1978 -6.5% 2.9% -1.7% 10.3% 7.8% -5.3% -6.1% 16.8% 0.5% -11.5% 7.8% 3.4% 15.7%
1979 5.6% -11.5% 10% 4.6% -6.1% -5.6% 2% 25.5% 3.5% -14.1% 4.3% -0.8% 12.2%
1980 7.5% 2.7% -12.5% 3.5% 0% 1.7% 20.5% -3.4% 7% 10.9% 2.1% -7.3% 32.9%
1981 -5.3% 1.7% 20.9% -0.5% 9.2% -0.7% -3.5% -6.2% -5% 7% -2.5% 3.1% 16%
1982 -22.4% -2.4% -8.6% 12.5% -2.1% -12.1% -5.7% 10.3% -4.7% 15% 8.8% 4.2% -13.2%
1983 -0.3% -3.8% 2.6% 5.7% 9.3% -3.3% 8.2% -5% 5.8% -8.3% 15.9% 5.4% 34%
1984 0.2% -14.6% -0.5% -2.2% -4.5% -0.9% -8% 9.3% 2.1% -11.5% 1.6% 2.2% -25.6%
1985 14.4% -0.6% -18.7% -1.4% 4.1% -2% 7.4% -1.9% -5.1% -10.7% 1.1% 1.9% -14.4%
1986 -11.3% 10.3% 8.6% -1.4% -4.2% 2.2% -17.8% 18.6% 2.2% -5% -5.3% -1.6% -9.5%
1987 18.2% 13.3% 0.3% -0.9% 11.1% -5.6% 11% -3.7% 16.8% -30.9% 7.3% 12.3% 44.9%
1988 -0.6% 5.9% -2.5% 1.7% -4.5% 16.9% 3% -5.3% -3.4% -1.4% -1.9% 5.4% 12%
1989 7.3% 2.8% -6.2% 1.8% 2.7% 1.8% 4.8% 0.3% -4.1% -5.3% 6.6% -4.3% 7.3%
1990 -2.6% 2.7% 7.5% -0.8% 4.8% 5.1% -3% -17.2% 0.6% -12.6% 6.6% 12.2% -0.9%
1991 12% 3.2% 4.9% -10% 3.8% -1.5% -0.8% 3.7% 0.8% -1% -2.1% -1.6% 10.3%
1992 4.3% 2.8% -5.3% 2.7% -1.9% 4.8% -6.9% 0.6% 0.3% -3.3% 12.9% 4.1% 14.3%
1993 -1% -0.8% -1.5% -1.5% 11% 4% -2.3% -2.4% -2.7% 10.2% 5.5% 0.4% 19.2%
1994 7.9% 2.4% -3.4% -4.5% 0.2% 2.8% 1.1% 9.3% -2.9% -10.1% -4.9% 4.2% 0.5%
1995 -0.5% -1.6% 6.5% 4.6% 7.5% 6% 8.3% 4.3% 2.6% -2.4% 14.2% -4.9% 52.5%
1996 -6.8% -4.6% 6.2% -2% -3.5% -11.4% 3.9% 2.5% 3.7% -5.8% 8.8% 3.2% -7.6%
1997 -0.8% 1.4% 4.8% 6.2% 7.3% 5.8% 3.8% -5% 10.5% -1.6% -2.6% 2% 35.3%
1998 -8.9% 8.9% 14.1% 7.5% -8.2% -5.2% -13.8% -15.8% 1% -4.1% 1.7% -3.9% -27.2%
1999 -12.3% -11.8% -0% 22% -9% 0.2% -7.2% -12.5% 7.1% -0.5% 9.2% 4.5% -15.1%
2000 -12.5% -6% -6.5% -2% 3.1% 2.1% 45.9% 6.6% -10.4% 7.6% 7.1% 5.5% 34.3%
2001 -21.2% 1.7% 1.3% -6.6% 14% -0.7% -6.3% 6.8% -23.2% -2.3% 18.2% 3.5% -21.2%
2002 -13.5% 5.9% 20.4% -8.4% 11.7% -1.5% -19.9% -8.3% -37.6% -17.3% 28.7% -9.3% -50.8%
2003 -11.7% 6.7% -12.8% 28.7% 18.6% 1.4% 17.5% 14% 3% 20.6% 4% 10.3% 142.6%
2004 2.6% 12.9% -3.8% -16.7% 11.4% 11.9% 26.3% 3.2% 7.8% -0.6% 23.4% 0% 99.6%
2005 4.8% 10.6% -12.1% -6.9% -2.1% -4.1% 20.9% -10.9% 5.2% 2.9% 9% 7.5% 21.6%
2006 28.5% -7.5% 13.1% 25.9% -5.9% 3.3% -14.8% -2.4% 12.2% -0.3% -0.2% -4% 46.5%
2007 14.2% 1.5% 1.8% 0.5% 9.5% -1.7% -8.9% -1.3% 11.3% 11.7% 4.1% -0.4% 48%
2008 -18.2% 2.4% -10.9% -8.4% 8% -20.9% -11.3% 0.8% -33.9% -28.8% -8% 23.3% -72.1%
2009 -18.8% -17% 3.1% 46.4% 9.7% -7.4% -10.2% 15% 9.8% -9.4% 10.2% 16.3% 35.9%
2010 0.1% 11.5% 22.5% 7.8% -0.9% -15.6% 6.5% -10.8% 8.7% 6.3% 2.3% 10.3% 52.6%
2011 2.7% 1% 2.7% 20.5% 2.6% 9.7% -0.4% -11.8% -11.1% 26.8% -4.6% -4.9% 30%
2012 2.3% -2.3% 1.8% 6.9% -19% 6.2% 0% -0.9% 10.7% -6.8% -0.3% 6.5% 1.7%
2013 1.4% -9.4% 4.4% -8.8% 7.5% -6.4% 16% 3.2% 8.1% 2.4% 1.6% 3.2% 22.1%
2014 -6.6% 2.1% 11.7% -4.9% -0.2% 1.2% -14.4% 1.4% -17.5% 11.3% 0.7% -2.3% -19.8%
2015 -23% 12.2% -8.2% 11.2% -5.2% -5.3% -3% 3.9% -23.3% 12.5% 7.9% -15.8% -37.4%
2016 -8.3% 7.7% 15.2% 4% -9.5% 2.8% 19.2% -7.1% 13.7% -23% 13.2% 1.1% 22%
2017 10.6% 1.8% -8% 9.3% -10.2% 2.6% 8% 0.7% 18.5% 4% -0.7% 3.2% 43.4%
2018 0.8% -0.5% -13.4% 21.1% 12.5% -12.3% 4.2% 9.3% -1.2% -25.7% -1.2% -17.3% -29.2%
2019 32.7% -0.3% -2.3% 8.8% -18.3% 18.3% -6.2% 8.6% 6.2% -4.7% 7.2% -5.3% 42.1%
2020 -19.8% -7.5% -46.9% 13.7% 6.4% 3.9% -7.9% -5% -13.7% -2.7% 39.8% 19.2% -39.4%
2021 7.3% 31% 1.2% -8% 27.2% -16.1% -5.2% -12.1% -1.8% -5.1% -11% 6.2% 2.7%
2022 -0.9% 33.7% 9.4% -9.1% -7.2% -20.8% 15.2% 6.3% -8.3% 20.8% 9.8% -10% 29.5%
2023 31.3% 0.1% -7.4% 17.8% -13.2% 23.1% 6.7% 5% 7.3% -6.4% 12.9% -0% 94.5%
2024 -12.7% 5% 10.5% - - - - - - - - - 1.2%
Pos 47.1% 64.7% 54.9% 56.9% 52% 51% 52% 54.9% 58.8% 35.3% 68.6% 64.7% 69.2%
Avg 0.5% 2.1% 0.5% 4.2% 1.1% -0.4% 1.6% 0.6% -0.4% -1.7% 5.1% 2.4% 15.5%

Other Return Metrics

Metric Carpenter Technology Corporation
Cumulative Return 7074.33%
Enh Ann Return 14.75%
Best Year 142.63%
Worst Year -72.13%
Best Month 46.39%
Worst Month -46.94%
Best Day 18.78%
Worst Day -24.12%
Win Ratio (Yearly) 69.23%
Win Ratio (Quarterly) 59.8%
Win Ratio (Monthly) 54.89%
Win Ratio (Daily) 50.36%

Annual Volatility

Annual Volatility 1y Annual Volatility 3y Annual Volatility 5y Annual Volatility 10y Annual Volatility 20y Annual Volatility
Carpenter Technology Corporation 38.94% 45.88% 54.6% 47.01% 47.04% 37.25%

Sharpe Ratio

Sharpe Ratio 1y Sharpe Ratio 3y Sharpe Ratio 5y Sharpe Ratio 10y Sharpe Ratio 20y Sharpe Ratio
Carpenter Technology Corporation 1.59 0.67 0.48 0.3 0.43 0.41

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.

Carpenter Technology Corporation

start valley end days Drawdown
2007-12-11 2008-11-20 2023-07-13 5693 -84.68%
1998-04-24 2003-03-12 2004-09-07 2328 -79.56%
1973-10-25 1974-12-30 1976-03-09 866 -52.12%
1984-01-12 1986-07-31 1989-07-31 2027 -50.22%
1980-10-29 1982-08-13 1983-12-29 1156 -46.41%

The Carpenter Technology Corporation took approximately 80 months on average to recover from a major drawdown. The longest drawdown lasted 190 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 Carpenter Technology Corporation
Sharpe Ratio 0.41
Sortino Ratio 0.6
Adjusted Sortino (S/√2) 0.42
Calmar Ratio 0.1
Omega Ratio 1.08
Gain to Pain Ratio 0.08
Winckel Ratio 61.54
Ulcer Index 0.33
Kelly Criterion 3.71%
Skew -0.02
Kurtosis 7.76
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