International Business Machines Corporation (IBM)

New York Stock Exchange
USD
US4592001014
2 January 1962  –  14 January 2022

Performance

Annualized Return
6.43%
Sharpe Ratio
0.37
Maximum Drawdown
-69.41%

Metrics

Metric International Business Machines Corporation
Initial Balance $10,000
Final Balance $422,295
Returns
Month-To-Date 0.41%
Year-To-Date 0.41%
3M 1.09%
6M 2.95%
Annual Return (1Y) 16.22%
Annual Return (3Y) 10.55%
Annual Return (5Y) 1.09%
Annual Return (10Y) 1.16%
Annual Return (All) 6.43%
Enh Ann Return 9.16%
Best Year 77.49%
Worst Year -40.01%
Risk
Annual Volatility 25.24%
Max Drawdown -69.41%
Sharpe Ratio 0.37
Sortino Ratio 0.54
Adjusted Sortino (S/√2) 0.38
Ulcer Index 0.26
Gain to Pain Ratio 0.07

  • 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 January 1962.
  • 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 60 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 International Business Machines Corporation
1962 -31.82%
1963 30%
1964 0.96%
1965 21.86%
1966 11.67%
1967 68.78%
1968 0.48%
1969 15.71%
1970 -12.83%
1971 5.9%
1972 19.47%
1973 -23.27%
1974 -31.91%
1975 33.48%
1976 24.47%
1977 -2.01%
1978 9.14%
1979 -13.73%
1980 5.42%
1981 -16.19%
1982 69.22%
1983 26.75%
1984 0.92%
1985 26.3%
1986 -22.83%
1987 -2.89%
1988 9.58%
1989 -19.43%
1990 25.67%
1991 -17.57%
1992 -40.01%
1993 15.83%
1994 32.27%
1995 25.67%
1996 67.68%
1997 39.32%
1998 77.49%
1999 17.56%
2000 -20.84%
2001 43%
2002 -35.47%
2003 20.5%
2004 7.19%
2005 -15.83%
2006 19.77%
2007 12.84%
2008 -20.76%
2009 58.61%
2010 14.28%
2011 27.42%
2012 5.93%
2013 -0.18%
2014 -12.39%
2015 -11.41%
2016 25.19%
2017 -3.98%
2018 -22.54%
2019 23.57%
2020 -1.19%
2021 16.7%
2022 0.41%

International Business Machines Corporation had 39 positive years and 22 negative years. That's a positive ratio of 64%.

Table

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec YTD
1962 -5.2% -0.9% -0.8% -14.8% -13.5% -13.6% 14.1% 2.4% -10.8% -2.1% 15.2% -2.1% -32.9%
1963 8.7% -5.7% 5.3% 10.2% 2.9% -8.6% -0.4% 2.4% 1.6% 9.3% -1.8% 4.5% 27.4%
1964 6.9% 5% 4.4% -4% 5.2% -0.6% -3.1% -4.7% -0.9% -3.8% -1.8% -0.7% 2.2%
1965 9.5% 1.6% -0.3% 6.8% -1.4% -4.2% 4.6% 4.2% 2.7% 4% -1.5% -5% 20.7%
1966 -0.6% 3.8% 0.2% 8% -2.4% -3.4% -2.8% -5.9% -0.9% 4.6% 13.3% -1.2% 13.4%
1967 7.5% 7.6% 4.9% 10.1% -6.1% 6.7% 2.1% -1.6% 9.7% 8.3% 3.1% 2.5% 54.1%
1968 -5.2% -2.4% 5.6% 10.6% 5.4% -0.9% -4.2% -1.1% 0% -8.4% 8.7% -5.6% 2.5%
1969 -6% -1% 7% 4.5% -2.7% 5.9% -3.9% 6.3% 0.1% 4.4% -1% 2.1% 16.2%
1970 -8% 1.5% -0.5% -12% -6.7% -10.1% 0.9% 5.6% 9.6% 0.8% 4.5% 3.4% -10.2%
1971 2.4% 3.4% 6.2% 0.1% -8.6% -3.1% -8.1% 4.4% -0.1% -1.1% 1.7% 10.1% 7.6%
1972 9.4% 0.1% 3.7% 1% 3% -1.4% 2.2% 1.9% -0.5% -5.2% 1.4% 2.8% 19%
1973 8.3% -0.9% -0% -5.4% -3.6% 0.7% -0.8% -4.3% -14.3% 8.6% -5.4% -6.9% -23%
1974 -0.6% -3% -0.9% -3.6% -6.5% 0.1% -5.2% -4.8% -17.2% 18.9% -6.3% -5.2% -33.7%
1975 12.1% 14.5% -4.1% 1.6% 2.4% -2.8% -9% -2.1% 1.1% 12.7% 6.7% -0.9% 32.5%
1976 14.9% -0.8% 2.5% -3.3% 1.3% 7.8% -1.7% 0.6% 2.8% -3.4% -0.3% 3% 23.2%
1977 -1.4% 0.3% 0.2% -6.4% -5.1% 7.5% 1.6% 0.1% -2.7% -1.4% 2.6% 3.6% -1.2%
1978 -2.9% -5.4% -6.3% 13% -2.9% -0.4% 9.2% 3.9% -5.1% -4.6% 2% 10.8% 10.6%
1979 3.4% -2.8% 5.2% -0.4% -3.3% -3.4% -4.9% 0.4% -3.2% -7.9% 4.6% -1.3% -13.1%
1980 6.6% -7.5% -12.2% -1.6% 0.9% 6.1% 11.1% 0.4% -2.1% 3.9% 2.3% -0.4% 9.3%
1981 -5.2% -0.2% -2.9% -6% 0.2% -1.5% -3% -1.8% -1.8% -4.9% 5.8% 4.4% -15.3%
1982 11.9% -2.8% -3.4% 7.5% -4.3% -1.4% 8.2% 7.4% 4.1% 8.9% 8.3% 11.3% 56.1%
1983 2.7% 0.1% 2.8% 15% -4.9% 8.1% 0.1% -0.7% 6.2% -0.1% -7.4% 3.9% 25.8%
1984 -6.5% -3.4% 3.3% -0.1% -5.3% -1.9% 4.6% 11.9% 0.4% 0.3% -2.3% 1.1% 2.8%
1985 10.8% -1.7% -5.2% -0.4% 1.7% -3.8% 6.2% -3.6% -2.2% 4.9% 7.6% 11.3% 24.7%
1986 -2.6% -0.4% 0.4% 3.1% -2.5% -3.9% -9.6% 4.7% -3.1% -8.1% 2.8% -5.6% -23.7%
1987 7.3% 8.3% 7.6% 6.7% -0.1% 1.6% -0.9% 4.6% -10.5% -18.7% -8.8% 4.3% 4.6%
1988 -2.7% 5.6% -8.4% 5.3% 0.2% 13.2% -1.3% -10.5% 3.5% 6.3% -2.5% 2.8% 11.5%
1989 7.2% -6.2% -10.2% 4.6% -2.9% 2.1% 2.8% 2.9% -6.7% -8.2% -1.4% -3.6% -20.1%
1990 4.8% 6.6% 2.2% 2.7% 11.3% -2.1% -5.1% -7.6% 4.4% -0.8% 8.9% -0.5% 24.9%
1991 12.2% 2.5% -11.6% -9.5% 4.2% -8.5% 4.3% -3.2% 7% -5.2% -4.7% -3.8% -16.4%
1992 1.1% -2.2% -3.9% 8.7% 1.3% 7.8% -3.2% -7.3% -6.8% -17.2% 3.9% -26.2% -47.3%
1993 2.2% 6.7% -6.4% -4.4% 9.7% -6.4% -9.9% 3.4% -8.2% 9.5% 17.7% 4.9% 19.2%
1994 -0% -6% 3.3% 5.3% 10% -6.7% 5.3% 11.1% 1.6% 7% -4.7% 3.9% 32.4%
1995 -1.9% 4.7% 9.1% 15.2% -1.5% 3.2% 13.4% -4.8% -8.6% 2.9% -0.4% -5.4% 25.6%
1996 18.7% 13.3% -9.3% -3.1% -0.6% -7.3% 8.6% 6.7% 8.9% 3.6% 23.9% -4.9% 57.5%
1997 3.6% -8.1% -4.5% 16.9% 8.1% 4.3% 17.2% -4% 4.6% -7.1% 11.4% -4.5% 39.4%
1998 -5.6% 6% -0.5% 11.6% 1.6% -2.3% 15.4% -14.9% 14.1% 15.6% 11.4% 11.7% 62%
1999 -0.6% -7.2% 4.4% 18% 11% 11.4% -2.8% -0.8% -2.9% -18.8% 5% 4.7% 25%
2000 4.1% -8.4% 15.2% -5.8% -3.6% 2.1% 2.5% 17.7% -14.7% -12.5% -5% -9.1% -11.8%
2001 31.8% -10.7% -3.7% 19.7% -2.8% 1.5% -7.3% -4.9% -8.2% 17.8% 7.1% 4.6% 42.7%
2002 -10.8% -8.9% 6% -19.5% -3.8% -10.5% -2.2% 7.3% -22.6% 35.4% 10.3% -10.8% -34.8%
2003 0.9% -0.1% 0.6% 8.2% 3.9% -6.3% -1.5% 1.1% 7.7% 1.3% 1.4% 2.4% 21.4%
2004 7.1% -2.6% -4.8% -4% 0.7% -0.5% -1.2% -2.5% 1.2% 4.7% 5.2% 4.6% 8%
2005 -5.2% -0.7% -1.3% -16.4% -0.8% -1.8% 12.5% -3.2% -0.5% 2.1% 8.8% -7.5% -15.6%
2006 -1.1% -1.1% 2.8% -0.2% -2.6% -3.9% 0.8% 5% 1.2% 12.7% -0.1% 5.7% 19.1%
2007 2.1% -6% 1.4% 8.4% 4.7% -1.3% 5.1% 5.8% 1% -1.4% -9.1% 2.8% 14.2%
2008 -0.9% 6.7% 1.1% 4.8% 7.7% -8.4% 8% -4.5% -3.9% -20.5% -11.7% 3.1% -16.8%
2009 8.9% 0.9% 5.3% 6.5% 3.5% -1.8% 12.9% 0.6% 1.3% 0.8% 5.2% 3.6% 50%
2010 -6.5% 4.4% 0.9% 0.6% -2.4% -1.4% 4% -3.6% 8.9% 7.1% -1.1% 3.7% 14.9%
2011 10.4% 0.3% 0.7% 4.6% -0.5% 1.6% 6% -5% 1.7% 5.6% 2.2% -2.2% 26.7%
2012 4.7% 2.5% 6.1% -0.8% -6.5% 1.4% 0.2% -0.2% 6.5% -6.2% -1.9% 0.8% 7.1%
2013 6% -0.7% 6.2% -5% 3.2% -8.1% 2.1% -6.1% 1.6% -3.2% 0.8% 4.4% 1.6%
2014 -5.8% 5.4% 4% 2.1% -5.6% -1.7% 5.7% 0.9% -1.3% -13.4% -0.7% -1.1% -11.7%
2015 -4.4% 6.4% -0.9% 6.7% -0.2% -4.1% -0.4% -7.9% -2% -3.4% 0.5% -1.3% -9.9%
2016 -9.3% 6.1% 15.6% -3.6% 6.3% -1.3% 5.8% -0.2% -0% -3.2% 6.5% 2.3% 24.4%
2017 5.1% 3.9% -3.2% -8% -3.8% 0.8% -6% -0.1% 1.4% 6.2% 0.9% -0.4% -2.9%
2018 6.7% -3.8% -1.5% -5.5% -1.4% -1.1% 3.7% 2.2% 3.2% -23.7% 9% -8.5% -22.5%
2019 18.3% 4% 2.2% -0.6% -8.4% 8.6% 7.5% -7.5% 7.3% -8% 1.7% -0.3% 23.3%
2020 7.2% -8.5% -14.8% 13.2% 0.8% -3.3% 1.8% 1.6% -1.3% -8.2% 12.2% 1.9% 7.2%
2021 -5.4% 1.2% 12% 6.5% 2.5% 2% -3.8% 0.7% -1% -10% -0.8% 14.1% 18.1%
2022 0.4% 0% 0% 0% 0% 0% 0% 0% 0% 0% 0% 0% 0.5%
Pos 59% 48.3% 56.7% 56.7% 45% 36.7% 56.7% 50% 50% 48.3% 61.7% 55% 68.9%
Avg 3% 0.2% 0.6% 2.1% -0.2% -0.8% 1.8% -0% -0.6% -0.2% 2.7% 0.6% 9.3%

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.

International Business Machines Corporation

start valley end Drawdown days
1987-08-24 1993-08-16 1996-10-11 -69.41% 3336
1999-07-14 2002-10-09 2008-05-14 -59.37% 3227
1973-02-14 1974-09-13 1982-12-06 -57.87% 3582
1962-01-04 1962-06-14 1964-03-12 -46.97% 798
2008-07-25 2008-11-20 2009-10-12 -44.28% 444

The International Business Machines Corporation took approximately 76 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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