ICU Medical, Inc. (ICUI)

Nasdaq Stock Exchange
USD
US44930G1076
31 March 1992  –  13 May 2022

Performance

Annualized Return
12.83%
Sharpe Ratio
0.49
Maximum Drawdown
-71.81%

Metrics

Metric ICU Medical, Inc.
Initial Balance $10,000
Final Balance $380,265
Returns   [View more details]
Month-To-Date -18.1%
Year-To-Date -26.16%
3M -20.99%
6M -26.86%
Annual Return (3Y) -7.9%
Annual Return (5Y) 1.33%
Annual Return (All) 12.83%
Risk   [View more details]
Annual Volatility 44.18%
Max Drawdown -71.81%
Sharpe Ratio 0.49
Sortino Ratio 0.74
Adjusted Sortino (S/√2) 0.52

  • 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 March 1992.
  • Final balance: The amount of capital we've accrued over time as of May 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 30 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
ICU Medical, Inc. -8.16% -7.9% 1.33% 12.58% 7.81% 12.83%

Annual Returns

Year ICU Medical, Inc.
1992 39.83%
1993 68.1%
1994 -4.62%
1995 9.68%
1996 -53.65%
1997 57.11%
1998 77.71%
1999 -30.68%
2000 97.57%
2001 47.69%
2002 25.73%
2003 -8.07%
2004 -20.27%
2005 43.42%
2006 3.75%
2007 -11.48%
2008 -7.97%
2009 9.96%
2010 0.16%
2011 23.29%
2012 35.4%
2013 4.56%
2014 28.55%
2015 37.7%
2016 30.65%
2017 46.59%
2018 6.31%
2019 -18.51%
2020 14.63%
2021 10.65%
2022 -26.16%

ICU Medical, Inc. had 22 positive years and 9 negative years. That's a positive ratio of 71%.

Monthly Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec YTD
1992 0% 0% 0% -25.3% 16.1% 2.8% 12.1% -20.4% 33.3% -6.8% 46.3% -3.3% 55.8%
1993 50% -3.4% 10.7% -13.7% 0.9% -13% 2.1% 4.2% -4% 14.6% 7.3% 10.2% 76.3%
1994 9.2% -11.3% -14.3% -0% -7.4% 4% -11.5% -4.3% 2.3% 15.6% 9.6% 8.8% 12.2%
1995 -1.6% -3.3% 5.1% 3.2% -12.5% 0.9% 15.9% -14.5% -3.6% -5.6% -8.8% 46.2% 20.9%
1996 -8.8% -4.8% 0% 25.3% 12.3% -37.3% -28.8% -4.1% -5.7% 1.6% -2.9% -4.5% -48.8%
1997 6.3% 10.4% -6.8% -13% 18.3% -14.1% 8.2% 3% 25.1% 8.2% -4.3% 12.5% 60%
1998 5% 8.7% 7.1% -0.9% -2.5% -1.7% 0.8% -12.1% 10.8% 12.4% 17.3% 18.1% 67.9%
1999 -10.2% 6.3% -22.6% 4.6% 4.4% -0.3% 3.9% -12.2% -7% 0% 0.9% 0.8% -19.7%
2000 15.6% -12.1% 16.1% 21.6% -13.4% 42.6% -3.9% -9.6% 10.4% -3.4% 13% 6.7% 89.5%
2001 -6.6% 7.1% 16.2% 9.9% -3.5% 11.3% -3.1% -11.6% 13.2% 10% -1.7% 2.9% 47.9%
2002 3.9% 17.5% 0.5% 4.4% -8.4% -11.3% 8.5% 8% 0.9% 6.1% 0.6% -4.4% 31%
2003 -2.4% -19.7% -5.9% 15.5% -2.8% 1.1% -19.4% 16.6% -7.6% 24.5% 0.8% 0.6% 2.9%
2004 9.6% -11.4% -8.8% 9.9% -0.2% 0.7% -17.1% -5.8% -0.6% -13.8% 11.1% 9.6% -16.4%
2005 -3.7% 16.2% 15.9% -0.2% -6.9% -2.4% 2.6% -8% -5.3% 21.4% 3.1% 9% 42.1%
2006 -8.1% -2.6% 3.1% 13.8% 0.7% 1.9% -1.1% 5.3% 3.3% -7.1% -4.4% 0.7% 7.3%
2007 -3% -1% 0.4% 6.5% -3.8% 6.9% -22.6% 13.7% 2.5% 3.5% -7.4% -3% -8.3%
2008 -21.2% -5.5% 7.2% -12.7% 1.4% -10.2% 24.3% 6.8% 0.1% 5.3% -5.6% 9.6% 5.1%
2009 -7.9% 3.3% 1.9% 17.1% -3.8% 13.8% -5.4% -4.5% -0.9% -5% -5.7% 10.4% 14.9%
2010 -4.6% -1.2% 0.2% 3.4% -10.6% 1.1% 15.7% -4.3% 4.7% -2.1% 0.4% -0.4% 3.4%
2011 7% 7.5% 4.3% 3% -3.9% 0.8% -2.8% -3% -10.7% 6.8% 12% 2.2% 25.4%
2012 3.3% -1.3% 7.1% 6.8% -2% 3.8% -0.1% 4.1% 9% -2.1% -0.5% 3.5% 32.1%
2013 -0.8% -6.1% 3.9% 2.2% 18.5% 0.9% -0.5% -0.3% -5% -9% 6.3% -3% 7.9%
2014 1.3% -10.3% 3.5% -6.8% 7.7% 1.2% -4.2% 7.5% 2.5% 10.5% 18% -2.1% 28.5%
2015 2.1% 6.4% 4.8% -9.4% 15% -1.4% 4.5% 13.6% -3.5% 0.4% 3.2% -0.6% 36.6%
2016 -14.7% -4.5% 13.3% -4.6% 4.7% 8.4% 3.6% 6.9% 1.3% 10.2% 7.9% -1.9% 31.1%
2017 -7% 9.7% 1.5% 0.7% 4.9% 6.9% -0.3% 1.4% 6.6% 2.8% 11.7% 1.2% 40.9%
2018 6% 1% 9.1% -0.3% 15.6% 0.9% -2.3% 6.7% -7.6% -9.9% -5.6% -4.5% 11%
2019 8.3% -1.2% -2.6% -4.9% -6.5% 18.4% 1% -36.4% -1.3% 1.3% 16% -0.2% -10.2%
2020 -2.5% 7.3% 3% 8.7% -9% -7.7% -0.3% 9% -8.7% -2.7% 6.1% 13.7% 22%
2021 -4.7% 1.5% -1% 1.4% -0.1% -1.1% -1.2% -1.9% 17.1% 0.3% -3.4% 4.9% 15.6%
2022 -10.1% 11% -6% -3.9% -18.1% 0% 0% 0% 0% 0% 0% 0% -27.8%
Pos 43.3% 46.7% 72.4% 58.1% 41.9% 63.3% 43.3% 46.7% 53.3% 63.3% 63.3% 63.3% 80.6%
Avg 0.3% 0.5% 2.3% 2% 0.2% 0.9% -0.7% -1.5% 2.4% 2.9% 4.7% 4.8% 21.2%

Other Return Metrics

Metric ICU Medical, Inc.
Cumulative Return 3702.65%
Enh Ann Return 17.02%
Best Year 97.57%
Worst Year -53.65%
Best Month 50%
Worst Month -37.35%
Best Day 26.23%
Worst Day -33.26%
Win Ratio (Yearly) 70.97%
Win Ratio (Quarterly) 55.37%
Win Ratio (Monthly) 54.85%
Win Ratio (Daily) 50.78%

Annual Volatility

Annual Volatility 1y Annual Volatility 3y Annual Volatility 5y Annual Volatility 10y Annual Volatility 20y Annual Volatility
ICU Medical, Inc. 38.06% 40.18% 35.72% 31.79% 33.78% 44.18%

Sharpe Ratio

Sharpe Ratio 1y Sharpe Ratio 3y Sharpe Ratio 5y Sharpe Ratio 10y Sharpe Ratio 20y Sharpe Ratio
ICU Medical, Inc. -0.04 0.01 0.22 0.53 0.39 0.49

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.

ICU Medical, Inc.

start valley end Drawdown days
1996-06-07 1996-10-16 2000-06-21 -71.81% 1475
2006-10-13 2008-06-18 2012-03-16 -53.08% 1981
2018-06-15 2019-10-14 - -50.97% 1428
2002-11-25 2004-11-01 2006-08-30 -49.92% 1374
1993-04-08 1993-06-17 1994-01-26 -47.83% 293

The ICU Medical, Inc. took approximately 44 months on average to recover from a major drawdown. The longest drawdown lasted 66 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 ICU Medical, Inc.
Sharpe Ratio 0.49
Sortino Ratio 0.74
Adjusted Sortino (S/√2) 0.52
Calmar Ratio 0.18
Omega Ratio 0.18
Gain to Pain Ratio 0.1
Winckel Ratio 51.61
Ulcer Index 0.27
Kelly Criterion 4.7%
Skew 0.33
Kurtosis 10.86
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