Mueller Industries, Inc. (MLI)

New York Stock Exchange
USD
US6247561029
25 February 1991  –  3 February 2023

Performance

Annualized Return
14.97%
Sharpe Ratio
0.56
Maximum Drawdown
-61.72%

Metrics

Metric Mueller Industries, Inc.
Initial Balance $10,000
Final Balance $863,596
Returns   [View more details]
Month-To-Date 7.08%
Year-To-Date 18.97%
3M 14.06%
6M 5.46%
Annual Return (3Y) 35.53%
Annual Return (5Y) 18.63%
Annual Return (All) 14.97%
Risk   [View more details]
Annual Volatility 36.94%
Max Drawdown -61.72%
Sharpe Ratio 0.56
Sortino Ratio 0.83
Adjusted Sortino (S/√2) 0.58

  • 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 February 1991.
  • Final balance: The amount of capital we've accrued over time as of February 2023.
  • 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 32 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
Mueller Industries, Inc. 30.26% 35.53% 18.63% 12.54% 11.92% 14.97%

Annual Returns

Year Mueller Industries, Inc.
1991 -24.44%
1992 169.18%
1993 55.16%
1994 -15.83%
1995 95.78%
1996 31.62%
1997 53.25%
1998 -31.15%
1999 78.48%
2000 -26.04%
2001 24.02%
2002 -18.05%
2003 26.09%
2004 18.43%
2005 -13.61%
2006 16.96%
2007 -7.41%
2008 -12.26%
2009 0.89%
2010 33.7%
2011 18.75%
2012 31.45%
2013 27.08%
2014 9.43%
2015 -19.9%
2016 49.15%
2017 -2.15%
2018 -33.11%
2019 37.78%
2020 12.19%
2021 70.95%
2022 1.02%
2023 18.97%

Mueller Industries, Inc. had 22 positive years and 11 negative years. That's a positive ratio of 67%.

Monthly Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec YTD
1991 0% -5.6% 10.6% -4.3% 13.3% -2.9% -0% 5% -3.8% -27% -4.1% -2.9% -22.2%
1992 -5.9% 17.3% 29.2% 17.6% -1.8% 0.9% 4.5% -9.3% 22.4% 7.6% 17% 11% 107.9%
1993 -0.6% -6% 14% 2.5% 15% 14.8% -9.5% 7.5% -0.7% 3.5% 0.8% 6.8% 50.6%
1994 6.3% -7% -8.5% 2% -5.7% -5.7% 8.6% 9.5% -4% -4.9% -5.5% 0% -13.4%
1995 -0.4% 7.6% 4.3% 24.7% 9.9% 7.7% 5.3% 6.5% -6.1% -9.4% -2.1% 27.2% 72%
1996 2.6% 2.9% 14.6% 13.8% 7.8% -4.3% -20.5% 7.2% 14.8% -0.9% -2.8% -1.6% 32.7%
1997 8.8% 3% -9.3% -4.1% 6.3% 9.7% 2.6% -2.4% 3.7% -2.8% 5.4% 26.7% 46.4%
1998 -8.7% 2.3% 14.9% 6.9% -8.4% 19.7% -7.9% -25.2% -0.5% -11.6% 1.4% -11% -22.1%
1999 24% -16.2% 6% 40.8% -7.9% 17% 0.7% -9.3% -4.2% 7.6% 12.7% 0.7% 66%
2000 -9.1% -13.1% 6.1% 8.4% -10.8% -4.8% 3.9% 8.6% -28.9% 3.9% -1.3% 16.6% -19.6%
2001 -0% 13.4% -1.2% 7.7% -1.1% 2.8% 1.6% 3.9% -17.4% 0.9% 10.7% 3.7% 27.2%
2002 -0.8% -2.8% 9.1% -2.6% -2.8% -4.2% -18.7% 3.9% -3.4% 3.3% 8.5% -6.1% -15.9%
2003 -6.6% -3.3% 1.4% 2.3% 2.5% 3.5% 6% 0.5% -11.9% 24% 2.4% 6.3% 26.3%
2004 -10.3% 4.9% 5.4% -1.3% -2.2% 9.5% 6.5% 3.3% 9.3% -22.5% 15.6% 4.8% 23.4%
2005 -1.6% -0.4% -10.6% -8% 4.6% 0.4% 8% -10.1% 6% -0.8% -1.3% 1.3% -11.3%
2006 5.9% 14.1% 8.1% 6.1% -13.5% 1.2% 11.2% 4.6% -8.2% 4.3% -6.7% -7% 21.5%
2007 2.7% -8.2% 1% 9% 7% -1.6% 7.1% -5.8% 4.3% -0.5% -15.7% -4.1% 1.4%
2008 -3.4% 2.9% 0.4% 12.2% 10.9% -10% -20.3% 9.7% -18% -0.6% 2.3% 7.6% 8.7%
2009 -19.8% -9.7% 20% 1.3% 0.5% -5.3% 14.2% 2.2% -1.3% -0.9% -0.2% 5.7% 14%
2010 -1% -8.6% 19.7% 10.7% -10.3% -7.2% 0.5% -4.2% 12.3% 11% 4% 7.2% 34.2%
2011 -0% 4.2% 7.8% 6.8% -4.7% 2% -1% 25.8% -18.1% 4.8% -5.4% 0.7% 27.3%
2012 15.1% 4.3% -1.2% 0.6% -6.8% 0.3% 0.1% 1.3% 5.5% -3.7% 9.3% 4.8% 30.7%
2013 6.7% -0.1% 0.2% -2.8% 5.4% -7.4% 8.8% -2.5% 4.2% 8.3% 1.5% 3.2% 26.1%
2014 -1.2% 0.6% -4% -3.5% -0.2% 2% -5.4% 5.1% -2.1% 13.7% 1.3% 4.1% 11.3%
2015 -8.1% 11.1% 3.8% -3% -0.3% -0.4% -6.8% -1.7% -6.8% 6.6% 0.1% -13.9% -19.6%
2016 -6.1% 3% 12.5% 7.3% -1.2% 2.5% 6.8% 1.8% -6.2% -6.6% 25.8% 5.2% 43%
2017 0.8% 3.9% -10.5% -6.4% -11.4% 7.7% 3.4% -5% 17.2% -0.6% 5% -2.7% 0.8%
2018 -6.6% -19.9% -0.9% 3.9% 11.5% -2.3% 12.2% -3.4% -9.1% -16% -2.2% -1.5% -35.4%
2019 10.9% 27.6% -4.9% -6.9% -7.6% 9% 3.1% -12.7% 9.2% 7.3% 2% 1.5% 36.5%
2020 -8.1% -4.1% -14% 8.2% 3.4% -0.4% 5.2% 6.2% -8.6% 6.9% 13.2% 7.5% 32.2%
2021 -2.7% 19% 2.1% 8.5% 3.5% -6.5% 0.2% 2.8% -7.6% 28.1% 5.1% 7.5% 58.4%
2022 -13% 10.4% -4.6% -0% -0.6% -0.6% 26.3% -6.2% -5.5% 5.4% 9.8% -13.9% 7.5%
2023 11.1% 7.1% 0% 0% 0% 0% 0% 0% 0% 0% 0% 0% 18%
Pos 34.4% 57.6% 65.6% 65.6% 43.8% 53.1% 71.9% 59.4% 34.4% 53.1% 65.6% 67.7% 75.8%
Avg -0.6% 1.7% 3.8% 4.9% 0.1% 1.5% 1.8% 0.5% -2% 1.2% 3.3% 3.1% 20.1%

Other Return Metrics

Metric Mueller Industries, Inc.
Cumulative Return 8535.96%
Enh Ann Return 17.43%
Best Year 169.18%
Worst Year -33.11%
Best Month 40.75%
Worst Month -28.9%
Best Day 21.29%
Worst Day -23.93%
Win Ratio (Yearly) 66.67%
Win Ratio (Quarterly) 58.91%
Win Ratio (Monthly) 55.99%
Win Ratio (Daily) 51.29%

Annual Volatility

Annual Volatility 1y Annual Volatility 3y Annual Volatility 5y Annual Volatility 10y Annual Volatility 20y Annual Volatility
Mueller Industries, Inc. 36.57% 46.39% 40.85% 33.09% 36.82% 36.94%

Sharpe Ratio

Sharpe Ratio 1y Sharpe Ratio 3y Sharpe Ratio 5y Sharpe Ratio 10y Sharpe Ratio 20y Sharpe Ratio
Mueller Industries, Inc. 0.9 0.89 0.62 0.52 0.49 0.56

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.

Mueller Industries, Inc.

start valley end Drawdown days
1998-07-06 1998-10-13 2004-08-24 -61.72% 2241
2006-04-26 2008-11-20 2011-04-26 -58.19% 1826
2017-03-02 2020-03-18 2021-01-06 -52.66% 1406
1991-08-29 1991-12-12 1992-04-13 -47.26% 228
2015-04-16 2016-01-15 2016-11-16 -35.02% 580

The Mueller Industries, Inc. took approximately 42 months on average to recover from a major drawdown. The longest drawdown lasted 75 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 Mueller Industries, Inc.
Sharpe Ratio 0.56
Sortino Ratio 0.83
Adjusted Sortino (S/√2) 0.58
Calmar Ratio 0.24
Omega Ratio 0.24
Gain to Pain Ratio 0.11
Winckel Ratio 57.58
Ulcer Index 0.21
Kelly Criterion 5.12%
Skew -0.01
Kurtosis 10.28
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