Integra LifeSciences Holdings Corporation (IART)

Nasdaq Stock Exchange
USD
US4579852082
16 August 1995  –  25 November 2022

Performance

Annualized Return
9.83%
Sharpe Ratio
0.44
Maximum Drawdown
-87.75%

Metrics

Metric Integra LifeSciences Holdings Corporation
Initial Balance $10,000
Final Balance $129,184
Returns   [View more details]
Month-To-Date 7.46%
Year-To-Date -19.39%
3M 7.85%
6M -10.07%
Annual Return (3Y) -3.86%
Annual Return (5Y) 2.2%
Annual Return (All) 9.83%
Risk   [View more details]
Annual Volatility 52.51%
Max Drawdown -87.75%
Sharpe Ratio 0.44
Sortino Ratio 0.67
Adjusted Sortino (S/√2) 0.47

  • 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 August 1995.
  • Final balance: The amount of capital we've accrued over time as of November 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 27 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
Integra LifeSciences Holdings Corporation -20% -3.86% 2.2% 11.88% 10.06% 9.83%

Annual Returns

Year Integra LifeSciences Holdings Corporation
1995 40.69%
1996 -28.92%
1997 -3.9%
1998 -61.99%
1999 74.99%
2000 130.78%
2001 93.25%
2002 -32.99%
2003 62.38%
2004 28.86%
2005 -3.98%
2006 20.11%
2007 -1.55%
2008 -15.17%
2009 3.65%
2010 28.29%
2011 -34.82%
2012 26.4%
2013 22.43%
2014 13.67%
2015 38.14%
2016 26.57%
2017 11.57%
2018 -5.77%
2019 29.22%
2020 11.39%
2021 3.19%
2022 -19.39%

Integra LifeSciences Holdings Corporation had 18 positive years and 10 negative years. That's a positive ratio of 64%.

Monthly Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec YTD
1995 0% 0% 0% 0% 0% 0% 0% 84% -5.9% -12.5% 0% -7.1% 53.5%
1996 73.1% 6.7% -2.1% 8.5% -2% -22% -48.7% -10% 47.1% -24.5% 15% -19.7% 12.8%
1997 10.8% -17% -10.4% -21.3% -0% 4% 28.2% -4.8% 10% -7.4% -16.2% 36.6% 55.5%
1998 12.6% -3.8% -7.7% 9.9% -34.6% 9.7% 8.9% -41% 4.2% 0% -4% -25% -65.8%
1999 37% 8.1% -12.5% -1.4% 18.8% 25.6% 17.5% -10.7% -6.5% -5% 4.7% -6% 90.3%
2000 28.1% 99.1% -30.3% 7.7% -37.8% 41.3% 18.8% 23.9% -26.5% 13.4% 18% -5.2% 133.3%
2001 30.2% -26% 3.8% 18.8% 17.4% 13.9% 31.5% -5.1% 2.3% 6.4% -7.9% -2.7% 85.3%
2002 17.7% -9.4% 0.1% -30.7% -2.1% 13.9% -23.7% -6.9% 2.8% -13% 27.1% 0.5% -24%
2003 -6.6% 17.7% 18.6% 16.4% 5.4% -6.6% -4.9% 7.8% 4.7% 19.3% -6.9% -8.7% 56.2%
2004 13.5% -2.5% -3.8% 4.9% 0.1% 10.1% -10.4% -5.5% 7.5% -0.1% 6% 8.6% 29.4%
2005 2% -1.6% -5% 0.6% -5.7% -12.6% 4.1% 13.8% 10.6% -9.8% 5.9% -3% -1.3%
2006 10% 2.2% 2.9% 2.4% -8.4% 1% -5% 4.3% -2.5% -1.5% 12.1% 2.8% 21%
2007 1.1% -2.3% 8.4% -0% 12.6% -3.7% 0.5% -2.2% 0% -0.2% -14.5% 1.2% 0.7%
2008 -0.8% -0.4% 4.9% -2.5% -0.8% 5.9% 2.7% 6.2% -9.2% -14.7% -16.1% 13% -8.7%
2009 -22% -5.9% -5.3% 4.4% 0.5% 2.1% 19.4% 6.7% 1.1% -10.6% 7.2% 12.6% 11.3%
2010 4.1% 3.6% 10.1% 3.7% -13.3% -6.1% -2.4% -3.8% 13.5% 9% 0.8% 9.1% 28.5%
2011 -1.9% 8.1% -5.4% 10.3% -1.9% -6.8% -5.7% -11.5% -10.3% -10.4% 0.2% -4% -35.9%
2012 -4.2% 7% 9.8% 7.3% -4.6% 4.7% 3.4% 2.3% 4.5% -6.9% 1.3% 0.5% 29.9%
2013 8.2% -3.4% -4.2% -10.2% 8.2% -3.3% 7.5% 3.2% -1% 13.7% 1.5% 2.7% 23.5%
2014 -2.6% 1.2% -2.2% -0.9% -1.4% 4.7% 0.8% 5.4% -0.7% 3% -3.7% 10.1% 15%
2015 2.7% 7.7% 2.7% -4.7% 14.3% 0.3% 5.2% -6.5% -0.7% 0% 5.3% 8.1% 35.4%
2016 -9.3% -0.1% 9.8% 5.1% 5.5% 6.8% 5.6% 2.6% -4.5% -3.7% 1.6% 6.2% 26.2%
2017 -2.7% 2.4% -1.4% 9.1% 9.5% 8.3% -8.9% 2.7% -1% -7.3% 3.9% -1.6% 13.8%
2018 10% 0.1% 4.9% 11.4% 4.7% -0.2% -3.2% -4.6% 10.8% -18.7% 0.1% -15.9% -1.2%
2019 5% 16.3% 1.1% -6.3% -10.7% 19.8% 13.5% -5.3% 0.1% -3.3% 5% -4.4% 29.6%
2020 -5.6% -5.3% -14.3% 14.3% 2.1% -9.8% 1.6% 0.1% -1.2% -6.6% 24.1% 18.6% 20.4%
2021 1.7% 3.5% 1.1% 7.2% -6.8% -1.2% 6.1% 3.9% -9% -2.9% -3.8% 4.8% 6.7%
2022 -3.4% 3.6% -4.2% -4.8% 2.4% -13.7% 1.9% -13.3% -11.2% 18.6% 7.5% 0% -16.9%
Pos 63% 55.6% 48.1% 63% 48.1% 59.3% 66.7% 50% 50% 32.1% 71.4% 55.6% 75%
Avg 7.7% 4.1% -1.1% 2.2% -1.1% 3.2% 2.4% 1.3% 1% -2.7% 2.6% 1.2% 22.3%

Other Return Metrics

Metric Integra LifeSciences Holdings Corporation
Cumulative Return 1191.84%
Enh Ann Return 14.94%
Best Year 130.78%
Worst Year -61.99%
Best Month 99.13%
Worst Month -48.72%
Best Day 41.67%
Worst Day -30.58%
Win Ratio (Yearly) 64.29%
Win Ratio (Quarterly) 58.18%
Win Ratio (Monthly) 55.18%
Win Ratio (Daily) 51.53%

Annual Volatility

Annual Volatility 1y Annual Volatility 3y Annual Volatility 5y Annual Volatility 10y Annual Volatility 20y Annual Volatility
Integra LifeSciences Holdings Corporation 32.12% 34.76% 32.74% 28.54% 30.33% 52.51%

Sharpe Ratio

Sharpe Ratio 1y Sharpe Ratio 3y Sharpe Ratio 5y Sharpe Ratio 10y Sharpe Ratio 20y Sharpe Ratio
Integra LifeSciences Holdings Corporation -0.53 0.06 0.23 0.54 0.47 0.44

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.

Integra LifeSciences Holdings Corporation

start valley end Drawdown days
1996-06-06 1999-01-15 2001-07-23 -87.75% 1873
2007-06-06 2009-03-09 2011-04-28 -63.34% 1422
2002-02-14 2002-10-30 2003-10-31 -58.57% 624
2011-05-11 2012-01-10 2014-12-18 -55.64% 1317
2021-04-28 2022-10-12 - -45.47% 576

The Integra LifeSciences Holdings Corporation took approximately 39 months on average to recover from a major drawdown. The longest drawdown lasted 62 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 Integra LifeSciences Holdings Corporation
Sharpe Ratio 0.44
Sortino Ratio 0.67
Adjusted Sortino (S/√2) 0.47
Calmar Ratio 0.11
Omega Ratio 0.11
Gain to Pain Ratio 0.1
Winckel Ratio 57.14
Ulcer Index 0.34
Kelly Criterion 4.58%
Skew 1.33
Kurtosis 20.33
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