Eurofins Scientific SE (ERF.PA)

Euronext Paris
EUR
FR0014000MR3
27 October 1997  –  25 January 2022

Performance

Annualized Return
29.57%
Sharpe Ratio
0.78
Maximum Drawdown
-86.25%

Metrics

Metric Eurofins Scientific SE
Initial Balance $10,000
Final Balance $5,363,840
Returns
Month-To-Date -20.08%
Year-To-Date -20.08%
3M -15.5%
6M -15.5%
Annual Return (1Y) 12.27%
Annual Return (3Y) 32.57%
Annual Return (5Y) 16.43%
Annual Return (10Y) 31.51%
Annual Return (All) 29.57%
Enh Ann Return 36.12%
Best Year 269.06%
Worst Year -55.07%
Risk
Annual Volatility 46.34%
Max Drawdown -86.25%
Sharpe Ratio 0.78
Sortino Ratio 1.22
Adjusted Sortino (S/√2) 0.87
Ulcer Index 0.38
Gain to Pain Ratio 0.17

  • 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 October 1997.
  • 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 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.

Chart

Table

Year Eurofins Scientific SE
1997 40.64%
1998 128.14%
1999 64.83%
2000 269.06%
2001 -55.07%
2002 -31.1%
2003 -7.96%
2004 61.54%
2005 124.4%
2006 43.5%
2007 47.16%
2008 -53.95%
2009 12.76%
2010 41.75%
2011 5.04%
2012 117.66%
2013 62.92%
2014 8.49%
2015 55.92%
2016 23.65%
2017 25.83%
2018 -35.46%
2019 52.7%
2020 38.87%
2021 59.66%
2022 -20.08%

Eurofins Scientific SE had 20 positive years and 6 negative years. That's a positive ratio of 77%.

Table

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec YTD
1997 0% 0% 0% 0% 0% 0% 0% 0% 0% 11.2% 14.4% 10.5% 37%
1998 5.7% 9.4% 51.6% 39.7% 27.3% 20.2% -11.1% -11.3% -24.8% 36.6% -11.6% -15% 108.3%
1999 11.5% -3.4% -11.9% -35.1% 8.9% 47% 24.9% 2.3% -4.8% 3.2% 27.4% 4.7% 72.9%
2000 14.3% 68.1% -13.2% 21.2% -10% -5.6% -5.3% 18% 105.3% -2.6% 6.8% -10.1% 170.1%
2001 -8.2% -8.7% -25.5% 11.4% -27.6% 1.6% -31.6% -19.5% 21.4% 20.8% 30.5% -16.8% -51.1%
2002 -1.2% 0% 9.9% -15.2% -10.6% -16.3% -18.6% 20.7% -14.4% -10.5% 37.6% -3.4% -17.2%
2003 -3.5% -4.6% -8.7% 34.7% -12.5% 17.9% -1.5% -23.8% -0% 0% -1% 6.1% 3.2%
2004 13.5% 9.3% 0.8% 1.5% 3.8% -5.8% 0.8% 0% -0% 12.3% 8.2% 6.3% 51.8%
2005 14.3% 9.9% -1.4% 1.9% 11.8% 14.8% -1.1% 18.6% 10% 1.1% 12.4% -5.5% 86.6%
2006 34.5% 12% -17.4% 6.4% 3% -1% 2% -5% 1.4% -0% -2.6% 11.1% 43%
2007 -2% 15.8% 9.4% 1.2% -1% -6.8% 11.2% -2.4% -5.3% 14.9% 9.6% -1.9% 46.2%
2008 -11.5% 9.5% -17.9% 2.9% -4.6% -13.7% 18.1% 9.6% -14% -20.8% -27.9% 7.7% -67.9%
2009 4.6% -15.5% 6.7% 31.5% -13% 14.5% -4.8% -10.5% -10% -3.3% 12.9% 9.1% 23.9%
2010 -7% -10.4% 0.9% 4.3% -7.9% -5% 24% 2.4% 2.1% 18.1% 15.8% 4.4% 41.3%
2011 -9.1% 22.1% 4.2% 16.9% -7.8% -5% -0.9% -5.7% -4% 14.3% -5% -9% 12.7%
2012 9.1% 9.4% 21.7% 10.2% 1.9% 7.4% 8.3% -2.2% 6.7% 8.1% -0.8% 2.6% 81.9%
2013 8.4% 15.4% 7.8% 0.7% -8.3% 7.3% 2.3% 6.2% 6.3% 8.4% -6.7% 4.3% 52.7%
2014 -3.9% 12.2% 2.6% -7.9% 12.5% 0.4% -0.7% -3.1% -5.2% -1.6% -3.2% 8.6% 12.6%
2015 7.8% 6.1% 3.4% 0.4% 10.1% -1% 9.5% -0.1% -8.1% 19.9% 8.2% -7.6% 49.9%
2016 -8% 8.4% -1.8% 0.5% 7.5% -3.8% 0.6% 8.3% 11.3% 2.4% -0.2% -1.9% 25.4%
2017 2.5% -2.8% 1.1% 10.8% 4.6% 4.7% -4.6% 2.1% 11.4% 0.4% -5.3% -0.2% 24.4%
2018 3.4% -11.7% -7.5% 4.4% -1.9% 9% -2.1% 4.2% 0.5% -8.7% -14.2% -14.9% -38.5%
2019 7.9% 5.3% -0.3% 10.6% -0.2% -4.5% -0.1% 7.9% 2.4% 6.5% 4.9% 3.7% 49%
2020 -1.7% -6.4% -0.8% 12% 20.4% -8.1% -1.2% 21.7% 0.6% 1.2% -0.5% 0.8% 41.8%
2021 15.4% -7% 10.7% 1% 7.2% 9.2% 5.3% 19.1% -7.7% -8% 10.8% -3.7% 51.3%
2022 -20.1% 0% 0% 0% 0% 0% 0% 0% 0% 0% 0% 0% -22%
Pos 56% 62.5% 54.2% 87.5% 50% 50% 45.8% 56.5% 50% 68% 52% 52% 80.8%
Avg 3.1% 5.9% 1% 6.9% 0.6% 3.2% 1% 2.5% 3.4% 5% 4.8% -0.4% 34.2%

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.

Eurofins Scientific SE

start valley end Drawdown days
2000-11-30 2002-10-10 2006-01-20 -86.25% 1877
1998-06-10 1999-04-28 1999-12-14 -67.91% 552
2007-11-15 2009-03-03 2012-03-26 -65.67% 1593
2017-10-31 2019-02-11 2020-05-08 -45.75% 920
2000-03-21 2000-07-18 2000-09-11 -41.58% 174

The Eurofins Scientific SE took approximately 34 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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