Banpu Public Company Limited (NVAC.F)

Frankfurt Stock Exchange
EUR
8 July 2004  –  5 July 2022

Performance

Annualized Return
-100%
Sharpe Ratio
0.1
Maximum Drawdown
-100%

Metrics

Metric Banpu Public Company Limited
Initial Balance $10,000
Final Balance $10,000
Returns   [View more details]
Month-To-Date -1.2%
Year-To-Date 627.95%
3M 587.5%
6M 627.95%
Annual Return (3Y) 1461.43%
Annual Return (5Y) 1005.34%
Annual Return (All) -100%
Risk   [View more details]
Annual Volatility 346.83%
Max Drawdown -100%
Sharpe Ratio 0.1
Sortino Ratio 0.13
Adjusted Sortino (S/√2) 0.09

  • 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 July 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
Banpu Public Company Limited 1417.24% 1461.43% 1005.34% -100% -100% -100%

Annual Returns

Year Banpu Public Company Limited
2004 0%
2005 0%
2006 0%
2007 0%
2008 0%
2009 0%
2010 0%
2011 0%
2012 0%
2013 0%
2014 0%
2015 0%
2016 -100%
2017 250%
2018 285.71%
2019 2040.74%
2020 -1909.52%
2021 333.44%
2022 627.95%

Banpu Public Company Limited had 5 positive years and 2 negative years. That's a positive ratio of 71%.

Monthly Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec YTD
2004 0% 0% 0% 0% 0% 0% 0% 0% 0% 0% 0% 0% 0%
2005 0% 0% 0% 0% 0% 0% 0% 0% 0% 0% 0% 0% 0%
2006 0% 0% 0% 0% 0% 0% 0% 0% 0% 0% 0% 0% 0%
2007 0% 0% 0% 0% 0% 0% 0% 0% 0% 0% 0% 0% 0%
2008 0% 0% 0% 0% 0% 0% 0% 0% 0% 0% 0% 0% 0%
2009 0% 0% 0% 0% 0% 0% 0% 0% 0% 0% 0% 0% 0%
2010 0% 0% 0% 0% 0% 0% 0% 0% 0% 0% 0% 0% 0%
2011 0% 0% 0% 0% 0% 0% 0% 0% 0% 0% 0% 0% 0%
2012 0% 0% 0% 0% 0% 0% 0% 0% 0% 0% 0% 0% 0%
2013 0% 0% 0% 0% 0% 0% 0% 0% 0% 0% 0% 0% 0%
2014 0% 0% 0% 0% 0% 0% 0% 0% 0% 0% 0% 0% 0%
2015 0% 0% 0% 0% 0% 0% 0% 0% 0% 0% 0% 0% 0%
2016 0% 0% 0% 0% -100% -100% 0% 0% 0% 100% 0% 0% -50%
2017 0% 0% 0% 50% 0% -33.3% 0% 50% 100% 0% 0% 16.7% 240%
2018 14.3% 12.5% -22.2% 142.9% 5.9% -11.1% 6.3% 0% 129.4% -10.3% -2.9% -20.6% 234.8%
2019 29.6% 0% 0% 197.1% -16.3% 12.6% -11.2% -11.5% 650.6% -2.6% 1.2% 1.4% 896.8%
2020 -19.2% -34.7% -34.8% 138.2% 12.9% 7.3% -26.1% 4.7% -1093.9% 26.1% 46.7% 28.2% -1475%
2021 -3.5% 8.8% 12.2% 61.4% 5.7% 20.8% -18.7% -15.8% 197.4% -6.5% -8.3% 2.3% 241.7%
2022 6.6% -1.4% 2.1% 611% -8.1% 5% -1.2% 0% 0% 0% 0% 0% 516.8%
Pos 60% 50% 50% 100% 50% 57.1% 20% 50% 80% 40% 50% 80% 71.4%
Avg 5.6% -3.7% -10.7% 200.1% -16.7% -14.1% -10.2% 6.9% -3.3% 21.4% 9.2% 5.6% 86.4%

Other Return Metrics

Metric Banpu Public Company Limited
Cumulative Return %
Enh Ann Return 208.11%
Best Year 2040.74%
Worst Year -1909.52%
Best Month 650.65%
Worst Month -1093.92%
Best Day 698.7%
Worst Day -1060.91%
Win Ratio (Yearly) 71.43%
Win Ratio (Quarterly) 69.57%
Win Ratio (Monthly) 58.33%
Win Ratio (Daily) 10.22%

Annual Volatility

Annual Volatility 1y Annual Volatility 3y Annual Volatility 5y Annual Volatility 10y Annual Volatility 20y Annual Volatility
Banpu Public Company Limited 512.3% 822.29% 652.81% 466.4% 346.83% 346.83%

Sharpe Ratio

Sharpe Ratio 1y Sharpe Ratio 3y Sharpe Ratio 5y Sharpe Ratio 10y Sharpe Ratio 20y Sharpe Ratio
Banpu Public Company Limited 1.26 -0.01 0.2 0.13 0.1 0.1

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.

Banpu Public Company Limited

start valley end Drawdown days
2016-05-11 2016-05-11 - -100% 2246

The Banpu Public Company Limited took approximately 75 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 Banpu Public Company Limited
Sharpe Ratio 0.1
Sortino Ratio 0.13
Adjusted Sortino (S/√2) 0.09
Calmar Ratio -1
Omega Ratio -1
Gain to Pain Ratio 0.19
Winckel Ratio 89.47
Ulcer Index 0.58
Kelly Criterion 7.92%
Skew -15.74
Kurtosis 1512.8
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