Performance
 Annualized Return

21.99%
 Sharpe Ratio

0.84
 Maximum Drawdown

31.52%
Metrics
Metric  Pershing Square Holdings Ltd 

Initial Balance  $10,000 
Final Balance  $31,379 
Returns [View more details]  
MonthToDate  3.88% 
YearToDate  4.06% 
3M  3.71% 
6M  14.71% 
Annualized Return (3Y)  29.12% 
Annualized Return (5Y)  24.11% 
Annualized Return (All)  21.99% 
Risk [View more details]  
Annual Volatility  27.98% 
Max Drawdown  31.52% 
Sharpe Ratio  0.84 
Sortino Ratio  1.36 
Adjusted Sortino (S/√2)  0.96 
 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 2017.
 Final balance: The amount of capital we've accrued over time as of December 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 6 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 riskfree 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  

Pershing Square Holdings Ltd  5.63%  29.12%  24.11%  21.99%  21.99%  21.99% 
Annual Returns
Year  Pershing Square Holdings Ltd 

2017  3.26% 
2018  0.49% 
2019  48.19% 
2020  80.28% 
2021  19.15% 
2022  4.06% 
Pershing Square Holdings Ltd had 4 positive years and 2 negative years. That's a positive ratio of 67%.
Monthly Returns
Jan  Feb  Mar  Apr  May  Jun  Jul  Aug  Sep  Oct  Nov  Dec  YTD  

2017  0%  0%  0%  0%  22.9%  4.3%  7.2%  2%  8.1%  6.2%  1.1%  0%  6.5% 
2018  0.3%  6%  9.1%  8.9%  11.2%  5.4%  2.2%  6.2%  2.8%  3.3%  0.9%  10.9%  1.8% 
2019  15%  9.6%  4.7%  2.4%  3%  6.1%  6.5%  4.3%  2.5%  9.2%  1.7%  1.1%  40.8% 
2020  0.8%  8%  10.4%  10.9%  15%  0.6%  0.8%  8.1%  4.5%  1.7%  19.1%  4.5%  66.6% 
2021  6.2%  2.7%  4.3%  5.7%  2.5%  0.4%  4.3%  4%  1.3%  10.7%  0%  2.9%  20.4% 
2022  8.1%  1.9%  11.1%  8.3%  7.3%  3.9%  8.6%  5.3%  3.2%  5%  5%  3.9%  0.3% 
Pos  40%  40%  80%  80%  50%  66.7%  50%  83.3%  50%  50%  66.7%  50%  100% 
Avg  0.2%  0.7%  4.3%  3.9%  6.1%  0.7%  0.8%  4.3%  1%  1.3%  4.3%  1.1%  22.8% 
Other Return Metrics
Metric  Pershing Square Holdings Ltd 

Cumulative Return  213.79% 
Enh Ann Return  17.53% 
Best Year  80.28% 
Worst Year  4.06% 
Best Month  22.89% 
Worst Month  10.93% 
Best Day  24.11% 
Worst Day  8.21% 
Win Ratio (Yearly)  66.67% 
Win Ratio (Quarterly)  78.26% 
Win Ratio (Monthly)  58.82% 
Win Ratio (Daily)  53.44% 
Annual Volatility
Annual Volatility 1y  Annual Volatility 3y  Annual Volatility 5y  Annual Volatility 10y  Annual Volatility 20y  Annual Volatility  

Pershing Square Holdings Ltd  30.2%  31.73%  27.45%  27.98%  27.98%  27.98% 
Sharpe Ratio
Sharpe Ratio 1y  Sharpe Ratio 3y  Sharpe Ratio 5y  Sharpe Ratio 10y  Sharpe Ratio 20y  Sharpe Ratio  

Pershing Square Holdings Ltd  0.04  0.96  0.92  0.84  0.84  0.84 
3Year Rolling Sharpe Ratio
The rolling Sharpe Ratio gives a clue about the continued consistency or stability of the riskadjusted 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.
Pershing Square Holdings Ltd
start  valley  end  Drawdown  days 

20170619  20180326  20190214  31.52%  605 
20200221  20200319  20200417  27.77%  56 
20211210  20220613    24.71%  364 
20210112  20210129  20210408  12.07%  86 
20191002  20191211  20200117  11.61%  107 
The Pershing Square Holdings Ltd took approximately 8 months on average to recover from a major drawdown. The longest drawdown lasted 20 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  Pershing Square Holdings Ltd 

Sharpe Ratio  0.84 
Sortino Ratio  1.36 
Adjusted Sortino (S/√2)  0.96 
Calmar Ratio  0.7 
Omega Ratio  0.7 
Gain to Pain Ratio  0.18 
Winckel Ratio  50 
Ulcer Index  0.11 
Kelly Criterion  7.97% 
Skew  2.15 
Kurtosis  28.87 