Krones AG (KRN.F)

Frankfurt Stock Exchange
EUR
3 January 2000  –  28 January 2022

Performance

Annualized Return
18.14%
Sharpe Ratio
0.48
Maximum Drawdown
-65.28%

Metrics

Metric Krones AG
Initial Balance $10,000
Final Balance $396,923
Returns
Month-To-Date -9.52%
Year-To-Date -9.52%
3M -1.25%
6M 4.7%
Annual Return (1Y) 28.16%
Annual Return (3Y) 6.97%
Annual Return (5Y) -0.6%
Annual Return (10Y) 8.97%
Annual Return (All) 18.14%
Enh Ann Return 17.39%
Best Year 338.57%
Worst Year -41.84%
Risk
Annual Volatility 54.63%
Max Drawdown -65.28%
Sharpe Ratio 0.48
Sortino Ratio 1.17
Adjusted Sortino (S/√2) 0.83
Ulcer Index 0.26
Gain to Pain Ratio 0.16

  • 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 2000.
  • 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 22 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 Krones AG
2000 14.29%
2001 45.31%
2002 -17.18%
2003 63.59%
2004 40.85%
2005 5.53%
2006 40.55%
2007 338.57%
2008 -41.84%
2009 14.77%
2010 32.1%
2011 -21%
2012 29.12%
2013 36.21%
2014 33.2%
2015 37.4%
2016 -20.23%
2017 33.11%
2018 -39.11%
2019 2.83%
2020 -1.35%
2021 44.74%
2022 -9.52%

Krones AG had 16 positive years and 7 negative years. That's a positive ratio of 70%.

Table

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec YTD
2000 10.7% -2.6% -0.7% -1.6% 13.5% -8.4% 2.6% 0.6% 0.3% -0.9% 0.6% 0.9% 18.1%
2001 4.7% 9.3% 3.8% 2.6% 15.4% -7.1% -9.4% -2.2% -8.1% 8.2% 5.4% 19.8% 43.4%
2002 5.4% -4.1% 6.4% 14.2% -2.5% -6.6% 0.2% -7.1% -13.2% 11.4% 1% -18.5% -13.5%
2003 2.2% -2.2% 5.7% 16.7% 0.8% 1.5% 9.1% 7.8% -5.5% 10.9% -2.7% 8.1% 53.2%
2004 -4.4% 10.1% 17.9% -4.1% -1.7% 19.6% -7.1% -8% 2.9% 5% -1.3% 10.5% 37.2%
2005 6% 2.4% -0.2% -5.4% 0.2% 19.2% -10.3% -2.5% -1.7% -13.3% 2.6% 12.6% 8.2%
2006 3.5% 11.4% 0.4% 7.6% -7.2% 3% 5.8% -6.2% 8.1% -2.1% -3.8% 16.8% 38.2%
2007 4.1% -0.3% 22.3% 11.8% -2.1% 9.8% 1.7% 196.1% -1.1% 11.8% -11.3% -2.6% 249.1%
2008 -4.8% -1.6% 0.6% 5.4% -1.1% 2.1% -6.3% -1.7% -29.5% -1.6% -8% -1.4% -37.5%
2009 -14.1% 5% -15.2% 9.2% 9% -2.9% -0.4% 20.6% 11.2% -7% 1.3% 3.1% 23.5%
2010 -1.3% 10.6% -1.4% 13.1% -7% 2.3% 6.1% -2.1% 2.3% -8.5% 4.3% 12.4% 32.2%
2011 1.9% 1.1% 6.1% 7.7% -0.8% 7.7% -8.7% -11.1% -16.7% -5.4% 2.5% -4.3% -15.5%
2012 18.8% -2% -11.6% 11.4% -6.4% 2.6% -3.7% 1.1% 7.5% 9.8% -3.2% 5.6% 29.4%
2013 -1.7% 9.2% 10.2% -3.9% 6.2% -1.4% 15.8% 1.4% -2% 2.2% -1.8% -0.9% 33.6%
2014 -5% 5.6% 10.4% -0.9% 3.9% 4.5% 0.1% -3.9% -1.3% 10.6% 3.8% 2.5% 30.9%
2015 3.7% 2.4% 12.6% 1.7% 1.1% -5.5% 12.9% -9.7% -0.8% 16.1% 5.4% -4.4% 35%
2016 -9.8% -0.2% 6.9% -5.7% 7.5% -10.4% -5.7% -3.9% 0.4% 7.7% -7.8% 0.9% -18.9%
2017 8% 5% 7% 3.7% 2% -7.2% 5.4% -2.9% 14.6% -8.7% -1.9% 6.4% 30.7%
2018 -1.2% -0.9% -1.3% -4.4% 5.3% 1.6% -4.2% -1.2% -13.7% -12.7% -0.5% -13.3% -44.6%
2019 7.1% 0.5% 7.4% 4.8% -15.2% 3.5% -26.1% -3.7% 10.2% 6.4% 7.4% 7.9% 9.7%
2020 0.9% -18.3% -11.5% 11.3% 9.2% -5.1% -6.6% 5.4% -6.7% -5.2% 24.9% 8% 6.8%
2021 3.6% 2% 0.1% 3.6% 8.3% -3.9% 10% 3.4% -1.5% 5.3% 0.5% 7.3% 40.7%
2022 -9.5% 0% 0% 0% 0% 0% 0% 0% 0% 0% 0% 0% -9.4%
Pos 60.9% 59.1% 68.2% 68.2% 59.1% 54.5% 50% 36.4% 40.9% 54.5% 54.5% 68.2% 73.9%
Avg 1.2% 1.9% 3.4% 4.5% 1.7% 0.9% -0.9% 7.7% -2% 1.8% 0.8% 3.5% 25.2%

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.

Krones AG

start valley end Drawdown days
2007-10-26 2009-03-20 2013-07-25 -65.28% 2099
2017-10-04 2020-03-23 - -63.15% 1577
2002-04-22 2003-02-10 2003-09-19 -36.97% 515
2001-05-31 2001-09-21 2001-12-27 -35.48% 210
2015-11-24 2016-10-13 2017-09-14 -29% 660

The Krones AG took approximately 34 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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