Repligen Corporation (RGEN)

Nasdaq Stock Exchange
USD
US7599161095
26 March 1990  –  17 May 2022

Performance

Annualized Return
8.42%
Sharpe Ratio
0.48
Maximum Drawdown
-98.28%

Metrics

Metric Repligen Corporation
Initial Balance $10,000
Final Balance $134,504
Returns   [View more details]
Month-To-Date -1.63%
Year-To-Date -41.59%
3M -18.15%
6M -40.16%
Annual Return (3Y) 32.07%
Annual Return (5Y) 31.46%
Annual Return (All) 8.42%
Risk   [View more details]
Annual Volatility 79.49%
Max Drawdown -98.28%
Sharpe Ratio 0.48
Sortino Ratio 0.78
Adjusted Sortino (S/√2) 0.55

  • 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 1990.
  • 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 32 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
Repligen Corporation -10.05% 32.07% 31.46% 42.53% 22.64% 8.42%

Annual Returns

Year Repligen Corporation
1990 8.7%
1991 24%
1992 -38.71%
1993 -27.63%
1994 -74.55%
1995 -35.71%
1996 5.56%
1997 -34.21%
1998 63.96%
1999 143.95%
2000 8%
2001 -27.82%
2002 24.79%
2003 43.75%
2004 -34.1%
2005 38.89%
2006 -29.75%
2007 133.1%
2008 -42.29%
2009 8.73%
2010 14.11%
2011 -26.01%
2012 80.98%
2013 117.2%
2014 45.16%
2015 42.88%
2016 8.94%
2017 17.72%
2018 45.37%
2019 75.39%
2020 107.17%
2021 38.2%
2022 -41.59%

Repligen Corporation had 22 positive years and 11 negative years. That's a positive ratio of 67%.

Monthly Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec YTD
1990 0% 0% 0% -6.5% 27.9% 1.8% -14.3% -28.1% -42% 45% 13.8% 51.5% 32.5%
1991 4% -0% 7.7% -10.7% 8% -9.3% 16.3% 3.5% 10.2% 18.5% -24.7% 6.9% 54%
1992 17.7% 4.1% -17.1% -30.2% 9.1% 2.1% 4.1% -17.6% 0% -20.2% 28.4% -11.6% -25.8%
1993 -0% -34.2% 12% -10.7% 0% 12% -7.1% 3.8% -0% 22.2% -0% -16.7% 4.4%
1994 -5.5% -1.9% -21.6% 5% -26.2% 3.2% -28.1% 4.3% -8.3% -5.7% 20.5% -44% -90.3%
1995 75% -34.7% -15.6% -3.7% 38.5% -13.9% -25.8% 21.7% -0% -42.9% 25% -10% 38.7%
1996 11.1% 0% -10% 16.7% 0% -28.6% -20% 29.2% 16.1% 16.7% -9.5% 0% 90.3%
1997 0% 5.2% 17.5% 2.1% -16.7% -5% 2.6% -7.7% 2.8% 2.8% -15.8% -21.9% 8.5%
1998 28% 15.6% 2.8% 26.3% 33.3% -23.5% -2% 8.3% -19.2% 4.7% 22.8% -24.1% 136.9%
1999 4.9% 16.3% 96% -8.2% -0% 2.2% -2.2% -5.6% 10.6% 17% 30.9% -30.6% 134.5%
2000 44% 191.8% -26.7% -37.7% -21.9% 34% -9.4% 33% -5.8% -1.8% -40.2% -19.4% 89.5%
2001 55.6% -22.6% -29.2% -26.3% 46.2% -22.6% 7.1% -12.5% -13.8% 31.4% -5.5% 1.1% 30.2%
2002 42% -16.8% 30.2% -21.6% 6.1% -27.6% 24.3% -6.4% -14.4% 44.4% -7.7% 1.3% 52%
2003 -1.3% 15.7% 34.6% 33.8% 2.7% -20.7% 46.2% 0.4% -27.8% -5.9% -4.7% -9.5% 56.4%
2004 -23.8% -13.5% 5.2% 0.7% -18% -1.6% -34.1% 4.9% 10% 31.6% -1.6% 19% 1.4%
2005 -20.1% -21.3% -6.1% 1.2% 33.1% -5.2% 39.2% 29.5% -20.2% 18.6% -20% 35.1% 60.4%
2006 18.8% -6.3% -16.9% -5.7% -12.3% -4.6% 2.7% 7.7% 5.3% -2.4% -12% -3.8% -19.9%
2007 12.1% -1.6% 1.9% 11.1% 10.3% 0.8% -1.3% 12.2% 0.2% -1.8% 12.4% 37% 93%
2008 -1.4% -18.1% -8.9% 15.1% 4% -18.2% 12.9% 0.8% -12.3% -14.9% -2.7% -3.1% -34.3%
2009 8.2% -4.4% 22.5% -11.3% -4.2% 35.1% -2.4% -6.5% -0.2% -2.6% -3.7% -12.6% 18.6%
2010 -16.1% -2.3% 20.5% -13.5% 1.1% -9.6% 0.6% 5% -0.3% 14.8% -4.1% 26.1% 23%
2011 10.2% -6.8% -22.4% 7% -4.8% -4.5% -3% -6.2% -1.5% 5.2% -1.5% 2.7% -20.8%
2012 15.6% 10% 33.8% -25.3% -7.3% 5.1% -6.5% 41.5% 4.7% -14.4% 26.5% -2.6% 81.6%
2013 9.9% -9.7% 10.9% 29.7% -7.6% -0.5% 23.4% -4% 13.6% -1.4% 23.1% 1.3% 84.2%
2014 13.5% -3.3% -14.1% 23.3% 21.4% 18.5% -8% -9.1% 4.5% 26.7% -9.3% -13.4% 48.7%
2015 22.7% 5.8% 18.1% -2.8% 38.1% 1.3% -15.2% -2.7% -18.3% 19.4% -14.5% -0.5% 54.7%
2016 -21.7% 16.2% 4.2% -0.7% -10.1% 14.2% 4.5% 8.4% -2.6% -5.4% 12.7% -4.3% 19.2%
2017 -2.5% 4.9% 11.7% 4.5% 6.7% 5.6% -2.8% 8.4% -12.3% -2.9% -4.7% 2.3% 22%
2018 -2.5% -3.1% 5.5% 2.3% 18.1% 7.7% 2.7% 13.6% 1.1% -2.2% 19.3% -18.4% 43.7%
2019 8.1% 4.4% -0.7% 14% 3.1% 23.7% 9.8% -1.7% -17.4% 3.7% 11.6% 4.2% 64.2%
2020 8.5% -14.7% 12.8% 20.3% 12.8% -5.6% 22.1% 2.7% -4.8% 12.9% 13.9% 1% 85%
2021 4.4% 6.2% -8.5% 8.9% -13.7% 9.3% 23.1% 15.2% 2.1% 0.5% -1.4% -7.6% 41.7%
2022 -25.1% -0.8% -4.4% -16.4% -1.6% 0% 0% 0% 0% 0% 0% 0% -47.4%
Pos 65.6% 38.7% 56.3% 51.5% 59.4% 50% 50% 62.5% 38.7% 56.3% 40.6% 41.9% 81.8%
Avg 9.2% 2.6% 4.6% -0.3% 5.5% -0.8% 1.9% 4.6% -4.5% 6.6% 2.4% -2.1% 37.3%

Other Return Metrics

Metric Repligen Corporation
Cumulative Return 1245.04%
Enh Ann Return 19.83%
Best Year 143.95%
Worst Year -74.55%
Best Month 191.78%
Worst Month -44%
Best Day 104.22%
Worst Day -42.57%
Win Ratio (Yearly) 66.67%
Win Ratio (Quarterly) 51.16%
Win Ratio (Monthly) 51.05%
Win Ratio (Daily) 49.68%

Annual Volatility

Annual Volatility 1y Annual Volatility 3y Annual Volatility 5y Annual Volatility 10y Annual Volatility 20y Annual Volatility
Repligen Corporation 47.95% 45.81% 43.08% 45.5% 54.4% 79.49%

Sharpe Ratio

Sharpe Ratio 1y Sharpe Ratio 3y Sharpe Ratio 5y Sharpe Ratio 10y Sharpe Ratio 20y Sharpe Ratio
Repligen Corporation 0.02 0.84 0.85 1.01 0.65 0.48

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.

Repligen Corporation

start valley end Drawdown days
1991-10-23 1996-07-17 2015-03-13 -98.28% 8542
1990-06-15 1990-09-28 1991-09-19 -71.01% 461
2021-09-24 2022-05-11 - -56.22% 235
2015-07-08 2016-02-08 2017-06-23 -50.33% 716
2017-09-19 2018-02-08 2018-06-22 -32.87% 276

The Repligen Corporation took approximately 68 months on average to recover from a major drawdown. The longest drawdown lasted 285 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 Repligen Corporation
Sharpe Ratio 0.48
Sortino Ratio 0.78
Adjusted Sortino (S/√2) 0.55
Calmar Ratio 0.09
Omega Ratio 0.09
Gain to Pain Ratio 0.11
Winckel Ratio 63.64
Ulcer Index 0.73
Kelly Criterion 4.73%
Skew 2.32
Kurtosis 38.22
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