Matrix Service Company (MTRX)

Nasdaq Stock Exchange
USD
US5768531056
26 February 1992  –  16 May 2022

Performance

Annualized Return
-0.49%
Sharpe Ratio
0.3
Maximum Drawdown
-88.36%

Metrics

Metric Matrix Service Company
Initial Balance $10,000
Final Balance $8,619
Returns   [View more details]
Month-To-Date -26.32%
Year-To-Date -33.38%
3M -20.85%
6M -52.65%
Annual Return (3Y) -38.38%
Annual Return (5Y) -11.06%
Annual Return (All) -0.49%
Risk   [View more details]
Annual Volatility 62.79%
Max Drawdown -88.36%
Sharpe Ratio 0.3
Sortino Ratio 0.45
Adjusted Sortino (S/√2) 0.32

  • 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 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
Matrix Service Company -59.81% -38.38% -11.06% -7.25% 3.9% -0.49%

Annual Returns

Year Matrix Service Company
1992 -55.91%
1993 12.2%
1994 -48.91%
1995 -27.66%
1996 32.24%
1997 63.49%
1998 -48.3%
1999 -3.94%
2000 30.13%
2001 12.83%
2002 40.6%
2003 669%
2004 -55.49%
2005 22.08%
2006 63.62%
2007 35.53%
2008 -64.85%
2009 38.85%
2010 14.37%
2011 -22.5%
2012 21.82%
2013 112.43%
2014 -8.64%
2015 -7.97%
2016 10.52%
2017 -21.59%
2018 0.79%
2019 27.54%
2020 -51.84%
2021 -31.76%
2022 -33.38%

Matrix Service Company had 17 positive years and 14 negative years. That's a positive ratio of 55%.

Monthly Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec YTD
1992 0% 1.6% -19.6% -2.6% 10.8% -3.7% -0% -24.1% -13.3% 2.9% -25.3% 2.5% -63.4%
1993 12.2% -4.3% -2.3% -18.6% 5.7% 4.1% -9.1% 11.4% 5.1% -9.8% 5.4% 17.9% 32.1%
1994 -10.9% -7.3% 13.2% -7% -23.8% -32.8% 34.1% -1.8% -5.6% 3.9% 3.8% -14.5% -43.9%
1995 -8.5% -2.3% -32.1% 15.8% -0% -18.2% 3.7% 28.6% -1.4% -9.9% 7.8% -1.5% -8.8%
1996 -2.9% 12.1% 5.4% 38.5% -11.1% 6.3% -13.7% -0% 4.5% 4.3% -2% -4.4% 51.2%
1997 24.6% 9.8% -0.8% -0% 10.7% 2.2% -13% -1.7% -5.1% 10.7% 2.4% 15.7% 59.5%
1998 -34.7% 18.8% 4.4% 2.5% 0% -4.9% -10.3% -25% -3.8% -12% 21.2% -5% -42.9%
1999 -5.3% -11.1% -15.6% 3.7% 14.3% 3.1% 4.6% -0% -7.3% 3.1% 13.6% -2.7% 26.8%
2000 31.5% -16.7% 8.8% -9.8% -5.8% 0.1% 5.4% -0% 1.3% 1.3% 12.5% 5.6% 42.9%
2001 -3.2% -2.2% -8.9% 12.2% 26.1% -4% 2.2% -6% -14.7% 13.9% 7.7% -4.1% 28%
2002 17.9% -5.1% 16.7% 8.6% 0.5% -10.8% -16.7% 13.6% -13.2% 14.3% 14.9% 2.5% 48.8%
2003 -13.8% 14.8% 13.2% 20% 18.5% 14.3% 4.5% 16% -14.3% 43.5% 149.4% 13.5% 251.4%
2004 -32.6% 16.2% -4.7% -23.7% 3.6% -14.5% -23.8% -35.6% 14% 0.4% 44.9% 8.2% -52.6%
2005 -20.8% 25.9% -45.8% -10.6% 6.2% 10.9% 27.4% 29.2% 6.8% 22.1% -5.3% 5.7% 46.6%
2006 8.6% 3.6% 3.7% -0.6% 3.8% -3.4% 5.2% 9.6% -0.8% 9.8% 11.2% 0.8% 54.2%
2007 14.4% -2.7% 12.8% 20.6% 4.7% -2.7% -7.1% -18.1% 10.7% 40.8% -11.5% -16.4% 45.9%
2008 -17.4% 12.9% -15.5% 17.1% 19.9% -4.4% -2.1% 16.4% -27.3% -35.9% -37.6% 0.4% -61.4%
2009 -31% 31.6% 18.1% 16.5% 18.2% 1.4% -11.7% 8.7% -1.4% -18.4% -3.5% 24.4% 52.6%
2010 -5.3% 6% 0.6% -1.2% -7.4% -5.4% 4.1% -12.4% 3.2% 3.7% 9.4% 22.7% 24.5%
2011 -7.6% 24% -0.4% 4.2% -7.7% 0.1% 4.2% -22% -21.7% 24.8% -11.9% 0.9% -7.1%
2012 23.3% 13.7% 5.8% -2.6% -23.8% 9% -8.6% 12.5% -9.3% -0.8% 4.6% 4.8% 28.2%
2013 24.2% 9% -4.2% 0.9% 9.7% -5.5% 1.7% -1.6% 25.8% 6% 6.8% 10% 81.8%
2014 7.6% 23.2% 4.4% -8.3% 5.4% 0.4% -18.1% 5.1% -14.5% 3.9% -15.7% 5.7% 5.5%
2015 -14% -3.1% -5.6% 25.1% -23.2% 8.4% 6% 3.2% 12.4% 1% 1.3% -10.7% 3.5%
2016 -7.7% -3% -3.8% 6.4% -12% -0.5% 0.5% 11.6% 1.5% -5.7% 17.8% 8.9% 22.3%
2017 -1.3% -27.7% 1.9% -28.8% -30.6% 14.7% 10.7% 14.5% 28.3% -7.2% 21.3% 4.1% -10.3%
2018 0.6% -20.1% -4.2% 12.4% 26% -5.4% 8.7% 4.8% 17.9% -17.5% 0.5% -12.2% 9.7%
2019 19.6% -2.6% -6.3% 0.2% -7.7% 11.9% -9.3% 8.2% -13.7% 9.5% 11.6% 9.3% 32.8%
2020 -12.1% -40% -21.6% 10.2% 5.6% -11.8% -9.9% 5.5% -9.6% -9% 26.1% 15% -31.1%
2021 7% 15.1% -3.4% 0.8% -17.5% -3.7% 3.9% 3.4% -7.3% -2.2% -15.1% -13.5% -24.6%
2022 -3.5% -4.4% 18.4% -17.3% -26.3% 0% 0% 0% 0% 0% 0% 0% -33.7%
Pos 40% 51.6% 45.2% 58.1% 56.7% 46.7% 53.3% 56.7% 40% 63.3% 70% 66.7% 64.5%
Avg -1.4% 2.8% -2.2% 2.7% -0.3% -1.5% -0.9% 1.8% -1.8% 3% 8.9% 3.1% 18.3%

Other Return Metrics

Metric Matrix Service Company
Cumulative Return -13.81%
Enh Ann Return 4.18%
Best Year 669%
Worst Year -64.85%
Best Month 149.42%
Worst Month -45.83%
Best Day 104.21%
Worst Day -38.7%
Win Ratio (Yearly) 54.84%
Win Ratio (Quarterly) 52.46%
Win Ratio (Monthly) 53.99%
Win Ratio (Daily) 50.35%

Annual Volatility

Annual Volatility 1y Annual Volatility 3y Annual Volatility 5y Annual Volatility 10y Annual Volatility 20y Annual Volatility
Matrix Service Company 51.55% 65.06% 56.82% 52.71% 61.98% 62.79%

Sharpe Ratio

Sharpe Ratio 1y Sharpe Ratio 3y Sharpe Ratio 5y Sharpe Ratio 10y Sharpe Ratio 20y Sharpe Ratio
Matrix Service Company -1.49 -0.4 0.09 0.13 0.36 0.3

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.

Matrix Service Company

start valley end Drawdown days
1992-03-23 1999-04-14 2003-10-22 -88.36% 4230
2014-06-17 2022-05-13 - -86.54% 2890
2007-11-07 2009-02-02 2014-02-06 -83.18% 2283
2004-01-07 2005-04-28 2007-03-23 -80.66% 1171
2007-06-20 2007-08-09 2007-10-12 -41.64% 114

The Matrix Service Company took approximately 71 months on average to recover from a major drawdown. The longest drawdown lasted 141 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 Matrix Service Company
Sharpe Ratio 0.3
Sortino Ratio 0.45
Adjusted Sortino (S/√2) 0.32
Calmar Ratio -0.01
Omega Ratio -0.01
Gain to Pain Ratio 0.06
Winckel Ratio 54.84
Ulcer Index 0.62
Kelly Criterion 2.89%
Skew 2.15
Kurtosis 71.65
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