ImmunoGen, Inc. (IMGN)

Nasdaq Stock Exchange
USD
US45253H1014
26 March 1990  –  30 September 2022

Performance

Annualized Return
-1.57%
Sharpe Ratio
0.4
Maximum Drawdown
-96.48%

Metrics

Metric ImmunoGen, Inc.
Initial Balance $10,000
Final Balance $5,975
Returns   [View more details]
Month-To-Date -17.73%
Year-To-Date -35.58%
3M 9.63%
6M 0.63%
Annual Return (3Y) 25.47%
Annual Return (5Y) -8.98%
Annual Return (All) -1.57%
Risk   [View more details]
Annual Volatility 86.3%
Max Drawdown -96.48%
Sharpe Ratio 0.4
Sortino Ratio 0.63
Adjusted Sortino (S/√2) 0.45

  • 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 1990.
  • Final balance: The amount of capital we've accrued over time as of September 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 33 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
ImmunoGen, Inc. -15.25% 25.47% -8.98% -10.73% 2.26% -1.57%

Annual Returns

Year ImmunoGen, Inc.
1990 45.38%
1991 61.22%
1992 -44%
1993 -13.1%
1994 -76.71%
1995 5.88%
1996 5.78%
1997 -64.55%
1998 159.3%
1999 151.37%
2000 289.82%
2001 -22.67%
2002 -81.3%
2003 62.9%
2004 75.05%
2005 -41.97%
2006 -1.17%
2007 -18.15%
2008 3.37%
2009 83.22%
2010 17.81%
2011 25.05%
2012 10.1%
2013 15.06%
2014 -58.42%
2015 122.46%
2016 -84.97%
2017 214.22%
2018 -25.12%
2019 6.35%
2020 26.35%
2021 15.04%
2022 -35.58%

ImmunoGen, Inc. had 20 positive years and 13 negative years. That's a positive ratio of 61%.

Monthly Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec YTD
1990 0% 0% 6.3% -11.8% 13.3% 47.1% 2% -17.6% 7.1% 6.7% -2.1% -1% 67.3%
1991 13.9% 43.4% -1.3% -14.7% -3.1% -19.4% 18% 7.7% 13.4% 6.9% -13.6% 12.7% 78.3%
1992 8% -9.9% -28.8% -5.8% 10.2% -9.3% 8.2% -15.1% 17.8% -7.5% 8.2% -20.8% -29.8%
1993 -9.5% -26.3% -7.1% 7.7% 10.7% -16.1% -7.7% 29.2% -3.2% 16.7% 11.4% -6.4% 24.9%
1994 -23.3% -1.8% -12.7% -21.9% -4% -5.6% -5.9% 15.6% -8.1% -29.4% 37.5% -48.5% -86.7%
1995 0% -5.9% -0% 18.8% 2.7% 58.9% 38.7% -27.9% -16.1% -26.9% -36.8% 50% 71.6%
1996 30.6% -10.6% 0% 35.7% 40.4% -22.5% -16.1% 25% -1.5% -12.5% -19.7% -15.3% 84.3%
1997 18.2% 7.7% -54.6% -9.1% 7.5% 16.3% -14% 2.3% -9.1% 5% -23.8% -15.6% -60.2%
1998 137% -12.5% -3.5% -13% 23.4% -3.5% -28.6% -10% 16.7% 19% 74% -19.5% 165.2%
1999 14.3% 12.5% -20% 11.1% -5% -2.6% -0% -13.5% 18.8% 6.6% 38.3% 57.1% 136.7%
2000 47.7% 83.1% -19.4% -15.6% -28.4% 66.3% -14.5% 63.7% 102.5% 0.6% -26.7% -14.9% 221.9%
2001 2.9% -28.6% -15% 49.3% -18.9% 23.5% -23.2% -11.6% -33.4% 60.1% 13.7% 0.7% 28.9%
2002 -28.2% -4.4% -2.8% -25.6% -50.8% -33.6% -11.9% 35.9% 0.6% -0.9% 22.7% -21.3% -109.5%
2003 -3.5% -20.7% -1.7% 30% 32.3% 6.5% 30.7% -16.8% -4.1% 5.2% 2.1% 5.6% 79.4%
2004 31.9% 4.2% -3.2% 26.9% -6.1% -24.2% -11.5% -5.2% -0.8% 5.1% 47.3% 13% 78.1%
2005 -21.2% -15.6% -11.1% -3.4% 18% -2.9% 20.9% -9.3% 15.6% -23.7% -0.5% -7.9% -41.6%
2006 -21.8% 14% -5% -6% -10.5% -14.2% -3.8% 21.9% -3.5% 12.7% 37.6% -7.7% 12%
2007 -7.7% 2.8% -0.4% 13.2% 3.9% -1.4% -14.1% -6.3% 4% 4.1% -0.8% -13.5% -9.7%
2008 -16.1% -14.7% 20.5% -10.1% 41.3% -32.7% 50.3% 17% -8.7% -5.7% -17.5% 12.3% 42.3%
2009 -2.8% -2.6% 74.9% -2.1% 19.3% 4% 0.8% -16.1% 11.2% -17.5% 17.8% -0.3% 78.6%
2010 -11.1% -5.4% 22.4% 22.5% -10.6% 4.6% 1.7% -43.4% 17.4% 31.1% 1.2% 11.3% 38.3%
2011 -10.8% 9.1% 0.7% 47.3% -9% 0.2% 11% -19.7% 0.9% 23.9% -10.5% -4.7% 38.6%
2012 21.9% -2.5% 4.5% -11.4% 9.9% 19.5% -3.6% -10.8% 1.4% -24.1% 14.5% 0.5% 19.5%
2013 12.3% 5.9% 5.9% -0.3% 14.7% -9.7% 14.8% -16% 6.4% -3.3% -11.7% 1% 24.6%
2014 2.2% 9.4% -9% -13.3% -8.7% 0.3% -9% 9.6% -10.4% -12.6% 11.1% -40.7% -59.4%
2015 25.1% -0.4% 17.8% -7.6% 8.6% 60.1% 25.3% -25.3% -28.7% 21.9% 16% 0% 117.9%
2016 -37.4% -14.3% 17% -19.6% -17.7% -45.4% -9.7% 1.1% -4.6% -32.1% -2.2% 14.6% -159.2%
2017 14.7% 45.3% 13.8% 12.1% 6.2% 54.2% -16.5% 40.7% -8.5% -24.2% 9.5% 0.9% 146%
2018 43.2% 21% -5.3% 4.5% 4.3% -15.1% -4.4% 9.6% -7.1% -42.7% 1.5% -12.9% -5.1%
2019 9.4% -10.1% -42.6% -11.8% -24.7% 20.6% 3.7% 20.9% -11% -1.7% 51.7% 41.4% 63.5%
2020 -7.4% -5.8% -23.4% 19.6% 14.7% -1.7% -10.7% -10% -2.7% 56.7% -3.4% 18.3% 63.8%
2021 10.5% 22.7% -7.4% -0.5% -23.3% 6.6% -14.9% 7.8% -6.3% 6.3% 2.3% 20.3% 36%
2022 -23.9% -0.2% -15.6% 1.5% -24.2% 23% 5.3% 22.6% -17.7% 0% 0% 0% -22.9%
Pos 56.3% 40.6% 33.3% 42.4% 54.5% 48.5% 42.4% 48.5% 42.4% 53.1% 59.4% 48.4% 69.7%
Avg 6.8% 2.8% -3.2% 2.9% 1.1% 4.6% 0.3% 1.7% 1.5% 0.7% 7.8% 0.3% 34.4%

Other Return Metrics

Metric ImmunoGen, Inc.
Cumulative Return -40.25%
Enh Ann Return 20.1%
Best Year 289.82%
Worst Year -84.97%
Best Month 137.02%
Worst Month -54.64%
Best Day 71.94%
Worst Day -46.82%
Win Ratio (Yearly) 60.61%
Win Ratio (Quarterly) 50.38%
Win Ratio (Monthly) 47.44%
Win Ratio (Daily) 48.66%

Annual Volatility

Annual Volatility 1y Annual Volatility 3y Annual Volatility 5y Annual Volatility 10y Annual Volatility 20y Annual Volatility
ImmunoGen, Inc. 75.69% 81.61% 81.78% 78.42% 71.25% 86.3%

Sharpe Ratio

Sharpe Ratio 1y Sharpe Ratio 3y Sharpe Ratio 5y Sharpe Ratio 10y Sharpe Ratio 20y Sharpe Ratio
ImmunoGen, Inc. 0.16 0.67 0.3 0.25 0.39 0.4

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.

ImmunoGen, Inc.

start valley end Drawdown days
1992-01-20 1997-12-24 2000-09-14 -96.48% 3160
2000-11-09 2016-12-21 - -96.44% 7995
1991-03-06 1991-06-24 1991-11-08 -43.21% 247
1990-08-03 1990-08-21 1991-02-14 -32.76% 195
1991-11-13 1991-11-15 1992-01-17 -30.5% 65

The ImmunoGen, Inc. took approximately 78 months on average to recover from a major drawdown. The longest drawdown lasted 267 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 ImmunoGen, Inc.
Sharpe Ratio 0.4
Sortino Ratio 0.63
Adjusted Sortino (S/√2) 0.45
Calmar Ratio -0.02
Omega Ratio -0.02
Gain to Pain Ratio 0.08
Winckel Ratio 63.64
Ulcer Index 0.8
Kelly Criterion 3.63%
Skew 1.21
Kurtosis 16.4
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