NeoGenomics, Inc. (NEO)

Nasdaq Stock Exchange
USD
US64049M2098
16 March 2004  –  1 July 2022

Performance

Annualized Return
17.61%
Sharpe Ratio
0.62
Maximum Drawdown
-88.21%

Metrics

Metric NeoGenomics, Inc.
Initial Balance $10,000
Final Balance $194,651
Returns   [View more details]
Month-To-Date 2.7%
Year-To-Date -75.47%
3M -35.37%
6M -74.41%
Annual Return (3Y) -28.04%
Annual Return (5Y) -1.35%
Annual Return (All) 17.61%
Risk   [View more details]
Annual Volatility 93.1%
Max Drawdown -88.21%
Sharpe Ratio 0.62
Sortino Ratio 1.03
Adjusted Sortino (S/√2) 0.73

  • 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 2004.
  • Final balance: The amount of capital we've accrued over time as of July 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 18 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
NeoGenomics, Inc. -81.47% -28.04% -1.35% 17.28% 17.61% 17.61%

Annual Returns

Year NeoGenomics, Inc.
2004 -41.86%
2005 -24%
2006 689.47%
2007 -28%
2008 -43.52%
2009 145.9%
2010 -13.33%
2011 7.69%
2012 77.14%
2013 45.97%
2014 15.19%
2015 88.73%
2016 8.89%
2017 3.38%
2018 42.33%
2019 131.96%
2020 84.07%
2021 -36.63%
2022 -75.47%

NeoGenomics, Inc. had 12 positive years and 7 negative years. That's a positive ratio of 63%.

Monthly Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec YTD
2004 0% 0% 4.7% -13.3% -12.8% -11.8% -10% -14.8% -13% -0% 50% -16.7% 155.9%
2005 80% -21.1% 40.8% 0% -34% 0% 17.8% 2.9% -25% -3.3% -18.5% -19.6% 161.7%
2006 10.5% 52.4% 53.1% 2% 20% 1.7% 26.2% 29.9% 1% 40.6% 12.7% -6.3% 294.4%
2007 8% -6.2% 8.6% -6.1% 8.4% -3.6% -25.9% 3.3% 3.2% 7.8% -16.7% -6.1% -19.9%
2008 -4.6% -17.5% 19.4% -15.3% 51.2% -7.7% -20.8% 3.2% 0% -19.4% -10.1% -14.1% -23.6%
2009 8.2% 27.3% 20.2% 25.7% 3.1% 2.3% 37.3% -13% 8.1% -2.3% -10.1% -1.3% 117.4%
2010 -2.7% -6.8% 2.9% -0% 3.6% -12.4% -9.4% -9.6% 4.8% 10.1% 5.8% 2.4% 1.7%
2011 20% -13.5% 1.5% 8% -4.1% -8.5% 11.5% -20.7% -8.7% 27.6% 1.5% 2.9% 28.8%
2012 25% -4.6% 1.2% 0.6% -0% 0% 21.2% 36.9% 6.7% -8.6% 3.3% -12.7% 73.9%
2013 14.9% 17.2% 17.8% -4.9% -4.8% 11.8% -28.6% -23.9% 38.9% 21.3% -3.8% 3.4% 56.4%
2014 10.5% -10.5% -3.1% -4.6% 2.4% -2.1% 56% 2.9% -2.3% 8.4% -25% -1.7% 31.1%
2015 -3.4% 12.7% 2.9% -3% 17.7% 1.5% 12.9% -0.5% -5.8% 23% 13% -1.3% 78.1%
2016 -13.3% -6.6% 5.8% 20.8% 10.2% -10.4% 8.5% -7.8% 2.2% -1.9% 10.9% -4.1% 17.5%
2017 -6% 0.1% -2.2% -4.3% 0.1% 18.5% 5.5% 7% 10.1% -22.1% 6.6% -4.1% 8.5%
2018 -12.9% 8.8% -2.9% 17.4% 21.1% 13% 6.8% -1.1% 10.8% 20.1% -11.1% -23.1% 42.2%
2019 31.8% 17.9% 4.4% 1.8% 4.2% 1.1% 11.1% 2.5% -23.5% 19.9% 12.6% 13.3% 92.6%
2020 10.2% -12.1% -2.5% -1% -2.4% 16.1% 23.4% 1.9% -5.3% 6.3% 21.3% 13.2% 79.4%
2021 -1.5% -3.9% -5.4% 1.6% -16.2% 10.1% 2.1% 5.5% -0.8% -4.6% -25.5% -0.4% -33%
2022 -33.9% -5% -43.3% -22.2% -10.9% -3.2% 2.7% 0% 0% 0% 0% 0% -115.7%
Pos 55.6% 38.9% 68.4% 44.4% 57.9% 52.9% 73.7% 55.6% 55.6% 55.6% 55.6% 27.8% 78.9%
Avg 7.8% 1.6% 6.5% 0.2% 3% 1% 7.8% 0.2% 0.1% 6.8% 0.9% -4.2% 55.1%

Other Return Metrics

Metric NeoGenomics, Inc.
Cumulative Return 1846.51%
Enh Ann Return 27.29%
Best Year 689.47%
Worst Year -75.47%
Best Month 80%
Worst Month -43.25%
Best Day 97.67%
Worst Day -37.65%
Win Ratio (Yearly) 63.16%
Win Ratio (Quarterly) 54.67%
Win Ratio (Monthly) 53.67%
Win Ratio (Daily) 51.15%

Annual Volatility

Annual Volatility 1y Annual Volatility 3y Annual Volatility 5y Annual Volatility 10y Annual Volatility 20y Annual Volatility
NeoGenomics, Inc. 78.09% 62.67% 54.06% 54.49% 93.1% 93.1%

Sharpe Ratio

Sharpe Ratio 1y Sharpe Ratio 3y Sharpe Ratio 5y Sharpe Ratio 10y Sharpe Ratio 20y Sharpe Ratio
NeoGenomics, Inc. -1.73 -0.2 0.25 0.56 0.62 0.62

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.

NeoGenomics, Inc.

start valley end Drawdown days
2021-02-16 2022-06-16 - -88.21% 500
2004-03-22 2006-01-24 2006-08-07 -85.29% 868
2006-11-16 2008-12-30 2009-07-27 -72.14% 984
2009-07-28 2010-08-23 2012-07-30 -52.38% 1098
2013-04-02 2013-08-19 2014-01-10 -49.64% 283

The NeoGenomics, Inc. took approximately 25 months on average to recover from a major drawdown. The longest drawdown lasted 37 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 NeoGenomics, Inc.
Sharpe Ratio 0.62
Sortino Ratio 1.03
Adjusted Sortino (S/√2) 0.73
Calmar Ratio 0.2
Omega Ratio 0.2
Gain to Pain Ratio 0.16
Winckel Ratio 47.37
Ulcer Index 0.35
Kelly Criterion 6.97%
Skew 2.43
Kurtosis 32.9
End of: