Raytheon Technologies Corporation (RTX)

New York Stock Exchange
USD
US75513E1010
2 April 1962  –  20 February 2024

Performance

Annualized Return
11.73%
Sharpe Ratio
0.54
Maximum Drawdown
-76.15%

Metrics

Metric Raytheon Technologies Corporation
Initial Balance $10,000
Final Balance $9,609,616
Returns   [View more details]
Month-To-Date -0.15%
Year-To-Date 8.13%
3M 14.18%
6M 6.82%
Annual Return (3Y) 9.66%
Annual Return (5Y) 4.83%
Annual Return (All) 11.73%
Risk   [View more details]
Annual Volatility 27.82%
Max Drawdown -76.15%
Sharpe Ratio 0.54
Sortino Ratio 0.79
Adjusted Sortino (S/√2) 0.56

  • 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 April 1962.
  • Final balance: The amount of capital we've accrued over time as of February 2024.
  • 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 62 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
Raytheon Technologies Corporation -8.04% 9.66% 4.83% 4.72% 8.29% 11.73%

Annual Returns

Year Raytheon Technologies Corporation
1962 10.12%
1963 -13.03%
1964 59.69%
1965 93.01%
1966 1.38%
1967 1.2%
1968 -17.1%
1969 -38.47%
1970 -8.67%
1971 -8.23%
1972 58.49%
1973 -43.59%
1974 47.82%
1975 48.58%
1976 73.96%
1977 -3.47%
1978 13.9%
1979 17.11%
1980 48.34%
1981 -28.23%
1982 43.37%
1983 32.93%
1984 4.04%
1985 23.76%
1986 8.29%
1987 -24.07%
1988 26.55%
1989 36.13%
1990 -8.53%
1991 17.79%
1992 -8.84%
1993 33.22%
1994 4.51%
1995 54.94%
1996 42.38%
1997 11.69%
1998 51.62%
1999 20.93%
2000 22.59%
2001 -16.74%
2002 -2.72%
2003 55.39%
2004 10.74%
2005 10.04%
2006 13.66%
2007 24.46%
2008 -28.49%
2009 33.19%
2010 16.17%
2011 -4.97%
2012 15.15%
2013 41.86%
2014 3.23%
2015 -14.45%
2016 17.14%
2017 19.13%
2018 -14.66%
2019 43.82%
2020 -21.95%
2021 23.27%
2022 20.01%
2023 -14.44%
2024 8.13%

Raytheon Technologies Corporation had 44 positive years and 19 negative years. That's a positive ratio of 70%.

Monthly Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec YTD
1962 - - - -7.5% 3.4% -6.5% 4.7% 7.9% -2.1% 4% 9.2% -1.9% 10.1%
1963 -3.6% -3.5% -0.3% 4.5% -4.8% -1.9% -3.8% 4% -5.6% -1.2% 10.8% -7.1% -13%
1964 -3.5% 15.9% -0.5% -6.9% 4.6% 9.1% -3.8% 15.1% 9% 0.4% 1.3% 10.1% 59.7%
1965 -3.1% 7.7% -0.6% 15.2% -0.8% -6.9% 12.8% 2% 10.9% 8.6% 25% 0.9% 93%
1966 12% -6.4% -0% 4.5% -8.6% 5.8% -18% -0.7% 4.5% -13.2% 29.1% 0.3% 1.4%
1967 8.4% -0.3% 3.3% 5.9% 3.8% 8% -11.3% -1.4% -9.7% -7.7% 3.8% 0.9% 1.2%
1968 -11.4% -4.5% 4.9% 6.3% -7% -9% -0.2% -5.9% 5% 2% 19% -13.3% -17.1%
1969 7.8% 5.8% 2.5% 4.7% -16.5% -8.3% -13.7% -9.1% -1.3% 3.5% -9.7% -9.3% -38.5%
1970 -16.2% 16.6% -4.6% -16.7% 1.1% -13.8% 18.5% 14.9% 5.8% -8.9% -2.3% 5.5% -8.7%
1971 7.8% 1.6% 8.6% 10.1% -7.6% -8.2% -13.3% -1% -1.6% -0.8% -9.2% 8.8% -8.2%
1972 23% -7.8% -0.4% 14.1% 7.9% -11.3% 10.3% -1.1% 12.1% 7.6% 3.7% -5.8% 58.5%
1973 -6.2% -7% -5.5% -1.4% 1.2% -22.7% 10.9% -12.1% 20.8% -2.7% -19.2% -4% -43.6%
1974 -1.6% 10.1% 5.5% 5.2% -3.6% -0.9% -7.6% 11.9% -3.3% 11.2% 6.6% 8.8% 47.8%
1975 4.2% 7.4% 13.9% 17.1% 1.1% 20.8% -7.5% 3.3% 3.2% -7.5% -3.6% -7.3% 48.6%
1976 15.9% 7.9% 3.1% 11.6% 0.9% 13.3% -7.4% -1.7% 2.6% 0.7% 2.3% 9.9% 74%
1977 -6.1% -1.6% -2.5% 10.8% -1.1% 6.3% -3.8% -6.9% -0.7% -1.1% 9.3% -4.3% -3.5%
1978 -5.2% 1.1% 5.2% 13.3% 8.7% -2.3% 8.6% 5.1% -9.1% -13.2% 2.7% 1.6% 13.9%
1979 1.6% -8.8% 3.9% 6.4% -4.3% 0.3% 6.1% 11.6% -6.1% -7.4% 9.9% 5.2% 17.1%
1980 16% -5.5% -11.5% 2.1% 2.9% -2.1% 15.8% 2.9% 3.3% -2.2% 24.2% -0.6% 48.3%
1981 -9.4% 2.3% 0.7% 5.3% -1.3% -4.3% -8.6% -9.5% -1.9% 2.3% -3.6% -3.2% -28.2%
1982 -4.2% -8.8% 1.7% 2.1% 2.9% 4% 6.1% 16.3% -3.1% 15.7% 4.4% 2.5% 43.4%
1983 8.4% 10% 0.6% 8.2% -5.5% 7.7% -8.7% 2.5% 1.8% -6.5% 13.5% -0.3% 32.9%
1984 -4.5% -12.1% 3.5% 5.4% -3.9% 4% 6.9% 12.2% -3.6% 6.7% -8.9% 1.1% 4%
1985 18.3% -1.6% -2.4% -6.7% 14.8% -5.1% -0% -2.5% -7.2% 8.4% 4.9% 4.2% 23.8%
1986 7.1% 14.4% 0.7% -5.8% 0.7% -2% -16.9% 12.4% -7.9% 1.5% 4.9% 3.1% 8.3%
1987 7.3% 11.4% -6.9% -9.1% -0.9% 14.8% 10.5% 0.4% 0.7% -39.2% -9.4% 7.1% -24.1%
1988 13.3% 7.2% -4.3% -0.3% -2.5% 2.7% -2.6% -0.9% 8.5% 4.4% -2.6% 2.5% 26.6%
1989 7.3% 0% 4% 14.3% -0.4% -2.2% 9.2% 2.3% -0.2% -4.1% -2.3% 4.8% 36.1%
1990 -8.1% 3.4% 12% -3.9% 7.4% -2.4% 3.5% -16.8% -12.5% 5.6% -0.1% 7.3% -8.5%
1991 -0.8% 5.7% -2.5% -5.2% 3% -5.1% 4.8% 3.7% -6% 8.1% -1.2% 13.9% 17.8%
1992 -6.5% -0.7% 3.2% 3.9% -1.9% -0.5% 9.1% -2.7% -10.9% -6.6% -0.9% 7.2% -8.8%
1993 -2.6% -3.6% 5.6% 4.2% 8.3% 2.1% 0.5% 5.6% -2.4% 11.7% 0.5% 0.2% 33.2%
1994 8.7% 1.6% -8.6% 2.6% 4.9% -3.2% -6.2% 6.5% -1.6% 0.6% -6.4% 7.5% 4.5%
1995 2.2% 4.1% 4.1% 5.8% 4.5% 3% 7.5% -0.2% 6% 0.4% 6.3% 1.2% 54.9%
1996 8.2% 5.2% 4.5% -1.6% -0.5% 5.1% -2.2% 0.7% 6.8% 7% 9.4% -5.5% 42.4%
1997 5.3% 8.3% 0.7% -0.2% 6.7% 3.3% 1.9% -7.3% 3.8% -13.6% 7.5% -2.8% 11.7%
1998 11.6% 10.3% 3.4% 6.6% -4.1% -1.6% 3.7% -24% 5.3% 24.6% 12.9% 1.5% 51.6%
1999 9.8% 4% 9.3% 7% -14.1% 16% -7.4% -0.6% -10.3% 2% -6.3% 15% 20.9%
2000 -18.6% -3.4% 24.1% -1.6% -2.5% -2.6% -0.9% 7.3% 11.1% 0.6% 1.8% 11% 22.6%
2001 -4.6% 4.2% -5.9% 6.5% 7% -12.1% 0.2% -6.5% -32% 15.9% 12.2% 7.4% -16.7%
2002 6.3% 6.5% 1.7% -5.4% -1.5% -1.4% 2.4% -14.2% -4.9% 9.2% 1.7% -0.9% -2.7%
2003 2.7% -7.5% -1.4% 7% 10.9% 3.8% 6.2% 7% -3.7% 9.6% 1.6% 10.6% 55.4%
2004 0.8% -3.2% -6.3% -0.1% -1.5% 8.1% 2.2% 0.8% -0.6% -0.6% 5.5% 5.9% 10.7%
2005 -2.6% -0.4% 1.8% 0.1% 5.3% -3.8% -1.3% -1% 3.7% -1.1% 5.4% 3.8% 10%
2006 4.4% 0.6% -0.9% 8.4% -0.1% 1.4% -1.9% 1.3% 1% 3.7% -1.4% -3.1% 13.7%
2007 8.8% -3.1% -1% 3.3% 5.5% 0.5% 2.9% 2.7% 7.8% -4.8% -2% 2.4% 24.5%
2008 -4.3% -3.3% -2.4% 5.3% -1.6% -13.2% 3.7% 3% -8.4% -8.5% -11% 10.5% -28.5%
2009 -10.5% -14.2% 5.3% 13.6% 8.5% -1.2% 4.8% 9.7% 2.6% 0.9% 10% 3.2% 33.2%
2010 -2.8% 2.4% 7.2% 1.8% -9.6% -3.7% 9.5% -7.7% 9.2% 5% 1.3% 4.6% 16.2%
2011 3.3% 3.3% 1.3% 5.8% -1.5% 0.8% -6.4% -9.8% -5.2% 10.8% -1.2% -4.6% -5%
2012 7.2% 7.7% -1.1% -1.6% -8.7% 1.9% -1.4% 8% -2% -0.2% 3.2% 2.4% 15.2%
2013 6.8% 4% 3.2% -2.3% 4.5% -2.1% 13.6% -4.7% 7.7% -1.5% 4.9% 2.7% 41.9%
2014 0.2% 3.2% -0.2% 1.3% -1.3% -0.7% -8.9% 3.3% -2.2% 1.3% 3.4% 4.5% 3.2%
2015 -0.2% 6.8% -3.9% -2.9% 3.6% -5.3% -9.6% -8.1% -2.9% 10.6% -1.8% 0% -14.5%
2016 -8.7% 11% 3.6% 4.3% -3% 2% 5% -0.5% -4.5% 0.6% 6.1% 1.8% 17.1%
2017 0.1% 3.2% -0.3% 6% 2.5% 0.7% -2.9% 1.6% -3% 3.2% 2% 5% 19.1%
2018 8.2% -1.8% -6.6% -4.5% 4.5% 0.2% 8.6% -2.5% 6.2% -11.2% -1.4% -12.6% -14.7%
2019 10.9% 7.1% 2.6% 10.6% -11% 3.1% 2.6% -1.9% 4.8% 5.2% 3.8% 1% 43.8%
2020 0.3% -12.6% -27.8% 9.2% 0.4% -4.5% -8% 8.4% -5.7% -5.6% 33% -0.3% -22%
2021 -6.7% 8.6% 7.3% 7.7% 7.2% -3.8% 1.9% -1.9% 1.4% 3.4% -8.4% 6.4% 23.3%
2022 4.8% 14.5% -3.5% -4.2% 0.8% 1% -3% -3.2% -8.8% 15.8% 4.7% 2.2% 20%
2023 -1.1% -1.2% -0.2% 2% -7.2% 6.3% -10.2% -1.5% -16.4% 13.1% 0.9% 3.3% -14.4%
2024 8.3% -0.2% - - - - - - - - - - 8.1%
Pos 58.1% 59.7% 55% 67.7% 50% 46.8% 52.5% 50% 43.5% 61.3% 64.5% 71% 69.8%
Avg 2% 2% 0.8% 3.3% 0.2% -0.3% 0.3% 0.4% -0.7% 1.2% 3.4% 2.1% 15%

Other Return Metrics

Metric Raytheon Technologies Corporation
Cumulative Return 95996.16%
Enh Ann Return 14.65%
Best Year 93.01%
Worst Year -43.59%
Best Month 32.99%
Worst Month -39.22%
Best Day 15.76%
Worst Day -26.13%
Win Ratio (Yearly) 69.84%
Win Ratio (Quarterly) 63.71%
Win Ratio (Monthly) 56.53%
Win Ratio (Daily) 50.83%

Annual Volatility

Annual Volatility 1y Annual Volatility 3y Annual Volatility 5y Annual Volatility 10y Annual Volatility 20y Annual Volatility
Raytheon Technologies Corporation 23.45% 23.8% 33.02% 26.65% 25.53% 27.82%

Sharpe Ratio

Sharpe Ratio 1y Sharpe Ratio 3y Sharpe Ratio 5y Sharpe Ratio 10y Sharpe Ratio 20y Sharpe Ratio
Raytheon Technologies Corporation -0.24 0.51 0.31 0.31 0.44 0.54

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.

Raytheon Technologies Corporation

start valley end days Drawdown
1967-06-28 1970-07-07 1976-06-30 3290 -76.15%
2007-10-02 2009-03-09 2010-11-05 1130 -52.67%
2001-05-21 2001-09-20 2003-10-16 878 -52.1%
2020-02-10 2020-03-23 2022-02-07 728 -51.98%
1987-08-17 1987-12-04 1989-08-24 738 -49.18%

The Raytheon Technologies Corporation took approximately 45 months on average to recover from a major drawdown. The longest drawdown lasted 110 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 Raytheon Technologies Corporation
Sharpe Ratio 0.54
Sortino Ratio 0.79
Adjusted Sortino (S/√2) 0.56
Calmar Ratio 0.15
Omega Ratio 1.1
Gain to Pain Ratio 0.1
Winckel Ratio 58.73
Ulcer Index 0.25
Kelly Criterion 4.68%
Skew -0.06
Kurtosis 8.54
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