FedEx Corporation (FDX)

New York Stock Exchange
USD
US31428X1063
12 April 1978  –  3 October 2024

Performance

Annualized Return
13.32%
Sharpe Ratio
0.54
Maximum Drawdown
-71.32%

Metrics

Metric FedEx Corporation
Initial Balance $10,000
Final Balance $3,351,835
Returns   [View more details]
Month-To-Date -4.24%
Year-To-Date 5.21%
3M -11.69%
6M -3.81%
Annual Return (3Y) 7.73%
Annual Return (5Y) 14.88%
Annual Return (All) 13.32%
Risk   [View more details]
Annual Volatility 33.87%
Max Drawdown -71.32%
Sharpe Ratio 0.54
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 April 1978.
  • Final balance: The amount of capital we've accrued over time as of October 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 46 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
FedEx Corporation 2.77% 7.73% 14.88% 6.29% 6.66% 13.32%

Annual Returns

Year FedEx Corporation
1978 72.84%
1979 77.13%
1980 90.33%
1981 41.24%
1982 18.8%
1983 24.58%
1984 -25.41%
1985 75.72%
1986 4.12%
1987 -36.83%
1988 26.96%
1989 -9.63%
1990 -25.96%
1991 14.39%
1992 40.64%
1993 30.05%
1994 -14.99%
1995 22.61%
1996 20.47%
1997 37.22%
1998 46.06%
1999 -8.2%
2000 -2.39%
2001 29.83%
2002 4.81%
2003 24.91%
2004 46.4%
2005 5.33%
2006 5.4%
2007 -17.61%
2008 -27.67%
2009 31.13%
2010 12.08%
2011 -9.66%
2012 10.53%
2013 57.58%
2014 21.39%
2015 -13.7%
2016 26.07%
2017 35.21%
2018 -34.67%
2019 -4.78%
2020 74.27%
2021 0.72%
2022 -31.64%
2023 49.13%
2024 5.21%

FedEx Corporation had 33 positive years and 14 negative years. That's a positive ratio of 70%.

Monthly Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec YTD
1978 - - - 26.3% 2.6% 1.6% 15.3% 25.5% 10.6% -37.5% 16.3% 12.9% 72.8%
1979 -4.3% -3% 11.8% -6.4% -7.9% -9.6% 7.6% 25.7% 23.5% -3.5% 25.6% 8.1% 77.1%
1980 28.2% -1.5% -19.6% -13.5% 9.2% 3.1% 17.4% 6% 15.9% 13% 17.7% 0.3% 90.3%
1981 -3.4% 3.5% 31.4% 8% 9.2% -7.7% -8.3% -0.2% -8.2% 23.8% -8.6% 4% 41.2%
1982 -1.8% -16.1% 2.4% -9% -9.9% 3.8% 2.8% 16.3% -10.3% 24.4% 22.1% 1.5% 18.8%
1983 7.1% 5.2% -6.7% 1% -1.3% -9.7% 2.3% 1.7% 15.4% -1.3% 7.8% 3.1% 24.6%
1984 -15.7% -3.2% -9.9% -16.2% 14.9% 6.5% 5.7% 13.9% -3.3% -6.5% -11.8% 3% -25.4%
1985 -2.9% 10.5% -3% 3.5% 17.2% 2% 12.7% -3.3% -9.3% 5.4% 18.7% 10.5% 75.7%
1986 7% 10.2% -4.7% -10.6% 2.7% -8.4% -5.5% 11.3% 8.3% 2.7% 2.2% -7.9% 4.1%
1987 -0.4% -1.8% -0% 1.6% 3.2% 3.9% -3.4% -0.2% 6.6% -21.2% -19.3% -9.4% -36.8%
1988 -2.5% 15.8% 3.1% -1.1% -10.6% 10.1% -6.7% 3.6% 10.9% -3.1% 1.9% 6% 27%
1989 8.4% -7.5% -11.1% -3.6% 8.3% -8.8% 19.2% 7.8% -3.2% -6.8% -5% -3.4% -9.6%
1990 -1.6% 11.1% 11.5% -1.8% -15.5% -2.2% -8% -5.7% -7.6% -9% -9.5% 13.4% -26%
1991 26.2% -3.5% -12.1% -2.8% 13.8% -4.1% 8.4% -5.1% -11.7% 10% -9.4% 11.1% 14.4%
1992 12.9% 17.1% -8.5% -7.2% -6.3% 10.7% -5.3% -10.2% -5.9% 24.9% 8.3% 11.5% 40.6%
1993 3.9% -0.4% 0% -14.2% 1.3% -4.9% 13.1% 13.3% 3.6% 9.1% 5.9% -0.9% 30.1%
1994 7.2% -1.5% -10.7% 14% 0.3% -2.3% -11% 6.6% -12.7% -1.8% -6.4% 5.9% -15%
1995 0.8% 7.2% 3.8% 0.6% -12% 1.5% 11.1% 6.3% 15.7% -1.1% -9.3% -0.8% 22.6%
1996 3.1% -2.8% -5.6% 15.6% -5.1% 7% -5.2% -3.7% 5.8% 1.6% 9.9% 0.6% 20.5%
1997 15.2% 0.5% 1.2% 3.6% -3% 10.5% 11.6% 2.9% 20.4% -16.6% 0.5% -9% 37.2%
1998 6.6% -2.1% 11.7% -4.4% -5.7% -2.1% -3.3% -17.5% -10.5% 17.3% 23.4% 37.5% 46.1%
1999 -8.7% 17% -2.4% 21.2% -2.8% -1% -17.5% -5.2% -8.4% 10.8% -2% -3% -8.2%
2000 -3.4% -11.7% 11.1% -2.9% -5.8% 7% 4.3% 1.8% 9.9% 5.7% 2.3% -16.6% -2.4%
2001 13.6% -9.8% 1.8% 0.9% -4.9% 0.5% 2.9% 1.8% -12.7% 11.8% 11.6% 13.1% 29.8%
2002 3.2% 8.1% 0.4% -11.1% 4.4% -0.9% -4.6% -7.1% 5.9% 6.2% -1.2% 3.2% 4.8%
2003 -3% -2.3% 7.2% 8.7% 6.9% -3% 3.8% 4.2% -3.9% 17.6% -4% -7.1% 24.9%
2004 -0.3% 2.1% 9.5% -4.3% 2.3% 11.1% 0.2% 0.1% 4.6% 6.3% 4.3% 3.7% 46.4%
2005 -2.9% 2.2% -3.9% -9.6% 5.3% -9.3% 3.8% -3.2% 7.1% 5.5% 6.2% 6% 5.3%
2006 -2.2% 6% 5.4% 1.9% -5.1% 7% -10.4% -3.5% 7.7% 5.4% 0.8% -5.8% 5.4%
2007 1.6% 3.5% -5.9% -1.9% 5.9% -0.5% -0.2% -1% -4.4% -1.4% -4.7% -9.4% -17.6%
2008 4.7% -5.6% 5.3% 3.5% -4.3% -14% 0.1% 5.1% -4.4% -17.3% 8.1% -9% -27.7%
2009 -20.6% -15.2% 3.3% 25.8% -1% 0.6% 22% 1.3% 9.6% -3.4% 16.2% -1.1% 31.1%
2010 -6.1% 8.2% 10.3% -3.6% -7.2% -15.9% 17.7% -5.5% 9.7% 2.6% 4% 2.1% 12.1%
2011 -2.9% -0.3% 4.1% 2.3% -2.1% 1.4% -8.4% -9.4% -13.9% 20.9% 1.5% 0.7% -9.7%
2012 9.6% -1.6% 2.3% -4.1% 1% 2.9% -1.4% -3% -3.3% 8.7% -2.5% 2.5% 10.5%
2013 10.6% 3.9% -6.7% -4.3% 2.5% 2.5% 7.5% 1.3% 6.4% 14.8% 5.9% 3.8% 57.6%
2014 -7.3% 0% -0.5% 2.8% 5.8% 5.2% -3% 0.7% 9.3% 3.7% 6.4% -2.4% 21.4%
2015 -2.6% 4.7% -6.4% 2.5% 2.2% -1.5% 0.6% -12.1% -4.2% 8.4% 1.6% -5.9% -13.7%
2016 -10.8% 3% 19.1% 1.5% -0.1% -7.8% 6.7% 1.9% 6.2% -0.2% 10% -2.7% 26.1%
2017 1.6% 2.1% 1.3% -2.8% 2.2% 12.4% -4.3% 3.1% 5.5% 0.1% 2.5% 8% 35.2%
2018 5.2% -6.1% -2.4% 3% 0.8% -8.6% 8.3% -0.8% -1% -8.5% 3.9% -29.3% -34.7%
2019 10.1% 1.9% 0.6% 4.4% -18.6% 6.8% 3.9% -7% -7.9% 4.9% 4.8% -5.1% -4.8%
2020 -4.3% -2.4% -13.7% 4.5% 3% 7.9% 20.1% 30.6% 14.7% 3.2% 10.5% -9.2% 74.3%
2021 -9.4% 8.1% 11.9% 2.2% 8.4% -5% -6.2% -5.1% -17.2% 7.4% -2.2% 12.6% 0.7%
2022 -4.9% -9.6% 4.5% -14.1% 13% 1.5% 2.8% -9.6% -29.2% 8% 13.7% -4.3% -31.6%
2023 11.9% 4.8% 13.1% -0.3% -4.3% 14.4% 8.9% -3.3% 2% -9.4% 7.8% -1.8% 49.1%
2024 -4.6% 3.2% 17% -9.7% -3% 18.7% 0.8% -1.2% -8% -4.2% - - 5.2%
Pos 47.8% 54.3% 59.1% 48.9% 53.2% 55.3% 61.7% 51.1% 51.1% 61.7% 69.6% 54.3% 70.2%
Avg 1.6% 1.1% 1.6% 0% 0.2% 0.7% 2.7% 1.5% 0.7% 2.8% 4.1% 0.9% 17.4%

Other Return Metrics

Metric FedEx Corporation
Cumulative Return 33418.35%
Enh Ann Return 17.03%
Best Year 90.33%
Worst Year -36.83%
Best Month 37.48%
Worst Month -37.5%
Best Day 15.53%
Worst Day -21.4%
Win Ratio (Yearly) 70.21%
Win Ratio (Quarterly) 60.96%
Win Ratio (Monthly) 55.56%
Win Ratio (Daily) 50.07%

Annual Volatility

Annual Volatility 1y Annual Volatility 3y Annual Volatility 5y Annual Volatility 10y Annual Volatility 20y Annual Volatility
FedEx Corporation 32.54% 34.27% 37.78% 31.83% 31.14% 33.87%

Sharpe Ratio

Sharpe Ratio 1y Sharpe Ratio 3y Sharpe Ratio 5y Sharpe Ratio 10y Sharpe Ratio 20y Sharpe Ratio
FedEx Corporation 0.25 0.39 0.56 0.35 0.36 0.54

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.

FedEx Corporation

Start Valley End Days Drawdown
2007-02-26 2009-03-09 2013-09-19 2397 -71.32%
2018-01-22 2020-03-16 2020-10-07 989 -65.97%
1987-10-14 1990-11-30 1994-01-12 2282 -60.37%
2021-05-28 2022-09-26 2024-06-28 1127 -53.7%
1999-05-14 2000-03-07 2003-05-05 1452 -49.7%

The FedEx Corporation took approximately 55 months on average to recover from a major drawdown. The longest drawdown lasted 80 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 FedEx Corporation
Sharpe Ratio 0.54
Sortino Ratio 0.8
Adjusted Sortino (S/√2) 0.57
Calmar Ratio 0.19
Omega Ratio 1.1
Gain to Pain Ratio 0.1
Ulcer Index 0.25
Kelly Criterion 4.61%
Skew 0.06
Kurtosis 5.68
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