Microsoft Corporation (MSFT)

Nasdaq Stock Exchange
USD
US5949181045
13 March 1986  –  25 January 2022

Performance

Annualized Return
26.55%
Sharpe Ratio
0.87
Maximum Drawdown
-69.44%

Metrics

Metric Microsoft Corporation
Initial Balance $10,000
Final Balance $46,899,792
Returns
Month-To-Date -14.22%
Year-To-Date -14.22%
3M -6.52%
6M -0.03%
Annual Return (1Y) 28.75%
Annual Return (3Y) 40.76%
Annual Return (5Y) 37.26%
Annual Return (10Y) 28.43%
Annual Return (All) 26.55%
Enh Ann Return 33.25%
Best Year 124.87%
Worst Year -62.84%
Risk
Annual Volatility 33.82%
Max Drawdown -69.44%
Sharpe Ratio 0.87
Sortino Ratio 1.29
Adjusted Sortino (S/√2) 0.91
Ulcer Index 0.31
Gain to Pain Ratio 0.17

  • 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 1986.
  • 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 36 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 Microsoft Corporation
1986 72.32%
1987 124.87%
1988 -1.84%
1989 63.38%
1990 72.99%
1991 121.76%
1992 15.11%
1993 -5.56%
1994 51.65%
1995 43.55%
1996 88.31%
1997 56.44%
1998 114.61%
1999 68.36%
2000 -62.84%
2001 52.72%
2002 -21.96%
2003 6.81%
2004 8.92%
2005 -0.95%
2006 15.83%
2007 20.83%
2008 -44.39%
2009 60.5%
2010 -6.53%
2011 -4.52%
2012 5.84%
2013 44.28%
2014 27.54%
2015 22.7%
2016 15.07%
2017 40.72%
2018 20.8%
2019 57.57%
2020 42.53%
2021 52.48%
2022 -14.22%

Microsoft Corporation had 28 positive years and 9 negative years. That's a positive ratio of 76%.

Table

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec YTD
1986 0% 0% -1.8% 17.3% 8.5% -12.1% -7.3% -0% -0.9% 37.2% 28.4% -3% 60.5%
1987 51.5% 5% 26.1% 7.5% 10.8% -11.5% -7.8% 26.3% 11.6% -24.9% -10.1% 21.2% 105.9%
1988 2.8% 6.5% -4.9% -3.5% 6.4% 15.5% -11.2% -16% 4.5% -6.2% -3.6% 12.7% 4%
1989 12% -0.2% -16.2% 12% 8.3% -12.4% 3.3% 7.3% 16.6% 19.3% 6.4% -0% 56.6%
1990 6.3% 6.8% 12.2% 4.7% 25.9% 4.1% -12.5% -7.5% 2.4% 1.2% 13.3% 4.2% 62.3%
1991 30.4% 5.7% 2.3% -6.7% 10.9% -6.9% 7.9% 16% 4.4% 5.5% 3.6% 14.4% 86.5%
1992 8.1% 2.7% -4% -7% 9.8% -13.2% 3.9% 2.4% 8.1% 10.2% 4.9% -8.3% 20%
1993 1.3% -3.6% 11% -7.6% 8.3% -5% -15.9% 1.5% 9.8% -2.9% -0.1% 0.8% -1.1%
1994 5.6% -3.1% 2.7% 9.1% 16.2% -3.9% -0.3% 12.9% -3.4% 12.2% -0.2% -2.8% 45.4%
1995 -2.9% 6.1% 12.9% 14.9% 3.6% 6.7% 0.1% 2.2% -2.2% 10.5% -12.9% 0.7% 42.3%
1996 5.4% 6.7% 4.5% 9.8% 4.9% 1.2% -1.9% 3.9% 7.7% 4.1% 14.3% 5.3% 67.6%
1997 23.5% -4.4% -6% 32.5% 2.1% 1.9% 11.9% -6.5% 0.1% -1.7% 8.8% -8.7% 50.4%
1998 15.4% 13.6% 5.6% 0.7% -5.9% 27.8% 1.4% -12.7% 14.7% -3.8% 15.2% 13.7% 83.6%
1999 26.2% -14.2% 19.4% -9.3% -0.8% 11.8% -4.9% 7.9% -2.2% 2.2% -1.6% 28.2% 59.3%
2000 -16.2% -8.7% 18.9% -34.4% -10.3% 27.9% -12.7% 0% -13.6% 14.2% -16.7% -24.4% -82.9%
2001 40.8% -3.4% -7.3% 23.9% 2.1% 5.5% -9.3% -13.8% -10.3% 13.6% 10.4% 3.2% 51.9%
2002 -3.8% -8.4% 3.4% -13.3% -2.6% 7.4% -12.3% 2.3% -10.9% 22.2% 7.9% -10.4% -15.7%
2003 -8.2% 0.2% 2.2% 5.6% -3.8% 4.2% 3% 0.4% 4.8% -5.5% -1.6% 6.5% 10.8%
2004 1% -4.1% -6% 4.8% 0.4% 8.9% -0.2% -3.9% 1.3% 1.2% 6.6% -0.3% 10%
2005 -1.6% -4% -3.9% 4.7% 2.3% -3.7% 3.1% 7.2% -6% -0.1% 8% -5.5% 0.1%
2006 7.6% -4.2% 1.3% -11.2% -5.8% 2.9% 3.3% 7.2% 6.4% 5% 2.6% 1.7% 16.9%
2007 3.3% -8.4% -1.1% 7.4% 2.8% -4% -1.6% -0.5% 2.5% 24.9% -8.4% 6% 21.5%
2008 -8.4% -16.2% 4.3% 0.5% -0.3% -2.9% -6.5% 6.5% -2.2% -16.3% -8.8% -3.9% -47%
2009 -12% -4.9% 13.7% 10.3% 3.8% 13.8% -1.1% 5.4% 4.3% 7.8% 6.5% 3.6% 54.3%
2010 -7.5% 2.2% 2.2% 4.3% -15.1% -10.8% 12.2% -8.6% 4.4% 8.9% -4.7% 10.5% -4.3%
2011 -0.7% -3.6% -4.5% 2.1% -2.9% 4% 5.4% -2.3% -6.4% 7% -3.2% 1.5% -1.9%
2012 13.8% 8.2% 1.6% -0.7% -8.2% 4.8% -3.7% 5.3% -3.4% -4.1% -6% 0.4% 7.8%
2013 2.8% 2.1% 2.9% 15.7% 6.2% -1% -7.8% 5.6% -0.4% 6.4% 8.5% -1.9% 39.8%
2014 1.1% 2% 7% -1.4% 2% 1.9% 3.5% 5.9% 2% 1.3% 2.5% -2.8% 26.1%
2015 -13% 9.3% -7.3% 19.6% -3% -5.8% 5.8% -6.2% 1.6% 19.1% 4% 2.1% 24.4%
2016 -0.7% -7% 8.5% -9.7% 7% -3.5% 10.8% 2% 0.2% 4% 1.2% 3.1% 16.6%
2017 4% -0.4% 2.9% 3.9% 2.6% -1.3% 5.5% 3.4% -0.4% 11.7% 1.7% 1.6% 35.3%
2018 11.1% -0.8% -2.7% 2.5% 6.1% -0.2% 7.6% 6.3% 1.8% -6.6% 4.3% -8.4% 22.9%
2019 2.8% 7.7% 5.3% 10.7% -5% 8.3% 1.7% 1.5% 0.8% 3.1% 5.9% 4.2% 47.5%
2020 7.9% -4.6% -2.7% 13.6% 2.5% 11.1% 0.7% 10.3% -6.7% -3.7% 6% 3.9% 45.1%
2021 4.3% 0.4% 1.5% 7% -0.8% 8.5% 5.2% 6.2% -6.6% 17.6% -0.1% 1.7% 44.4%
2022 -14.2% 0% 0% 0% 0% 0% 0% 0% 0% 0% 0% 0% -15%
Pos 66.7% 45.7% 63.9% 69.4% 63.9% 55.6% 52.8% 69.4% 58.3% 69.4% 61.1% 63.9% 81.1%
Avg 5.5% -0.5% 2.9% 3.9% 2.5% 2.2% -0.6% 2.2% 1% 5.4% 2.6% 2% 28.4%

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.

Microsoft Corporation

start valley end Drawdown days
1999-12-28 2009-03-09 2014-07-16 -69.44% 5314
1987-10-06 1987-10-26 1989-10-05 -50.32% 730
1990-07-17 1990-08-23 1991-01-16 -34.7% 183
1987-05-11 1987-07-07 1987-09-28 -28.66% 140
2020-02-11 2020-03-16 2020-06-08 -28.04% 118

The Microsoft Corporation took approximately 43 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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