Royce Value Trust Inc (RVT)

New York Stock Exchange
USD
US7809101055
30 December 1987  –  25 November 2022

Performance

Annualized Return
10.82%
Sharpe Ratio
0.56
Maximum Drawdown
-72.45%

Metrics

Metric Royce Value Trust Inc
Initial Balance $10,000
Final Balance $361,478
Returns   [View more details]
Month-To-Date 4.73%
Year-To-Date -20.41%
3M -5.14%
6M 3.06%
Annual Return (3Y) 9.21%
Annual Return (5Y) 6.77%
Annual Return (All) 10.82%
Risk   [View more details]
Annual Volatility 22.85%
Max Drawdown -72.45%
Sharpe Ratio 0.56
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 December 1987.
  • Final balance: The amount of capital we've accrued over time as of November 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 35 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
Royce Value Trust Inc -16.07% 9.21% 6.77% 10.17% 7.96% 10.82%

Annual Returns

Year Royce Value Trust Inc
1987 -1.75%
1988 28%
1989 23.34%
1990 -11%
1991 35.43%
1992 26.9%
1993 14.63%
1994 -6.54%
1995 19.15%
1996 16.2%
1997 28.67%
1998 7.47%
1999 5.67%
2000 22.91%
2001 19.5%
2002 -7.18%
2003 42.62%
2004 28.59%
2005 6.44%
2006 18.18%
2007 -8.48%
2008 -48.52%
2009 35.76%
2010 35.05%
2011 -10.63%
2012 16.33%
2013 26.16%
2014 0.77%
2015 -9.57%
2016 23.48%
2017 30.64%
2018 -20.74%
2019 35.39%
2020 18.45%
2021 32.69%
2022 -20.41%

Royce Value Trust Inc had 26 positive years and 10 negative years. That's a positive ratio of 72%.

Monthly Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec YTD
1987 0% 0% 0% 0% 0% 0% 0% 0% 0% 0% 0% -1.7% -1.7%
1988 3.7% 14.3% 1.6% -1.6% -1.6% 9.5% -1.4% -1.5% 6.1% -2.9% -4.3% 4.7% 27.7%
1989 7.6% -2.9% 4.5% 2.8% 2.6% -1.3% 4% 1.4% -1.3% -1.2% -0% 5.5% 23.1%
1990 -6.5% -1.5% 5.7% -0% 2.7% 1.3% -1.2% -13.2% -4.6% -7.9% 6.9% 9.1% -8.1%
1991 7.6% 12.9% 5% 3.7% -4.7% -2.4% 1.3% -2.5% 0% 3.7% -2.4% 10.1% 32.7%
1992 6.1% 6.8% -2.1% 1% -2.2% -1.1% 0% -1.1% 2.2% 1.1% 9.8% 4.2% 25.4%
1993 4.1% 1% 0.9% -0.9% -0% 1.9% 1.9% 1.9% 0.9% 3.6% -2.6% 1.2% 14.8%
1994 2.9% -1.9% -5.8% 2% -1% -1% 1% 2.1% -5% -3.2% 4.3% -0.7% -5.2%
1995 5.6% 1.1% -3.2% 4.5% 2% -1% 5.3% 3.9% 2.9% -4.6% 2.9% -1.1% 19.1%
1996 4.1% -2% 1.1% 0% 3.1% -2.1% -6.1% 5.4% 3.1% -2.1% 4.1% 7.2% 16.1%
1997 -2.1% 1.1% -6% 1.1% 7.3% 7.8% 3.6% 7.4% 8.4% -4.6% 6.1% -3.2% 27.2%
1998 -0.8% 7.9% 8.6% -1.1% -1.1% 0.8% -8.4% -22.3% 16.7% 6.3% 3.1% 2.8% 10.4%
1999 -1.8% -6.4% -7.8% 14.9% 2.4% 2.1% -1% -2.4% -0.9% -2% 6.8% 3.6% 7.3%
2000 7.2% -1.4% 2.4% -4.5% -0% 5.5% 2.4% 7.1% -0.6% -3.9% 0% 7.5% 22%
2001 12% -1.1% -10.2% 9.6% 5.3% 2.1% -0.1% -2.2% -14.8% 6.3% 10.6% 3.9% 19.8%
2002 0.3% 5.4% 10.4% 1.1% -4.6% -2.1% -10.4% 0.5% -13.2% 9.3% 10.1% -10.3% -4.3%
2003 -3.2% 1.5% -3.5% 10.2% 11.8% 1.4% 3.1% 4.5% -0.4% 7.3% 2.7% 1.7% 37.6%
2004 3.2% 2.3% -0.7% -5.1% 1.2% 5.1% -1.6% 2.9% 2.9% 3.7% 8.9% 3.2% 26.4%
2005 -4.6% 2.9% -3.5% -3% 3.5% 1.1% 6.7% 1.5% -0.9% -0.2% 4.3% -1.1% 7.1%
2006 3.2% 2.7% -1.7% 1.8% -3.2% -4% 0.3% 6.1% 1.4% 3.1% 6.3% 1.4% 17.7%
2007 1.6% 2.3% -2.6% -0.1% 1.5% -2.3% -7.9% 1.3% -1% -1% -2.8% 2.5% -6.9%
2008 -9.6% -1.8% -2.2% 6.9% 10.1% -12.8% -0% 6.4% -18.1% -27.5% -17.2% 10.3% -53.1%
2009 -7.6% -16.9% 15.7% 20.1% -1.2% 0.4% 9.3% 4.4% 7.7% -6.3% 3.1% 8.1% 38.6%
2010 -5.2% 5.9% 9.4% 6.2% -10.6% -6.1% 6.7% -6% 14.5% 4.9% 2.9% 11.2% 32.9%
2011 -1% 6% 2% 3% -2.6% -2.1% -4.4% -8.8% -13.4% 14.4% -2.8% 1.1% -6.7%
2012 9.7% 5% -0.4% -1.1% -8% 0.1% -1% 3% 4.3% -0.4% 0.8% 4.1% 16.2%
2013 8% 2.1% 3% -1.6% 5.1% -1.4% 4.5% -2.8% 5.9% -4.8% 1.4% 4.9% 24.3%
2014 -4.8% 4.7% 0.6% -1% -0.5% 5.3% -3.3% 2.1% -6.3% 5% 0.1% -0.3% 1.9%
2015 -3.5% 6.5% -0.7% -1% -0.6% -0.2% -4.4% -6.8% -4.2% 4.6% 2.3% -1.3% -9%
2016 -11% 2.6% 11.6% 2.6% 0.1% -0.1% 8.1% 0.2% 1.2% -5.7% 10.8% 3.2% 22.4%
2017 2.5% 4.1% -0.2% 4.1% -1% 3.1% 2.5% -1.1% 8.8% 1.1% 1% 2.6% 27.4%
2018 2.5% -4.3% -0.1% 3.5% 0.5% -0.5% 0.5% 5.6% -0.7% -14.6% 1.9% -14.7% -21.5%
2019 15.4% 4.8% -1.5% 4.2% -8.4% 8.2% 1% -4.5% 4.4% 1.6% 3.8% 3.6% 31.4%
2020 -2.3% -10% -23.6% 17.8% 6.9% 5.1% 4.5% 3.4% -4.9% 0.3% 20.7% 7.1% 26%
2021 2.7% 7.5% 3% 4.3% 1.4% 0.6% -3.4% 3.3% -3.2% 5.2% -3% 11% 30.1%
2022 -9.6% -1.4% -0.5% -9.3% -0.3% -7% 13.2% -4% -15.6% 11.2% 4.7% 0% -18.5%
Pos 57.1% 65.7% 45.7% 61.8% 48.6% 51.4% 55.9% 60% 47.1% 51.4% 77.1% 74.3% 72.2%
Avg 1% 1.7% 0.3% 2.8% 0.5% 0.4% 0.7% -0.1% -0.5% -0% 3% 2.9% 12.5%

Other Return Metrics

Metric Royce Value Trust Inc
Cumulative Return 3514.78%
Enh Ann Return 13.51%
Best Year 42.62%
Worst Year -48.52%
Best Month 20.74%
Worst Month -27.48%
Best Day 13.87%
Worst Day -16.67%
Win Ratio (Yearly) 72.22%
Win Ratio (Quarterly) 68.79%
Win Ratio (Monthly) 58.03%
Win Ratio (Daily) 53.98%

Annual Volatility

Annual Volatility 1y Annual Volatility 3y Annual Volatility 5y Annual Volatility 10y Annual Volatility 20y Annual Volatility
Royce Value Trust Inc 30.56% 31.75% 26.81% 21.5% 24.48% 22.85%

Sharpe Ratio

Sharpe Ratio 1y Sharpe Ratio 3y Sharpe Ratio 5y Sharpe Ratio 10y Sharpe Ratio 20y Sharpe Ratio
Royce Value Trust Inc -0.42 0.44 0.38 0.56 0.44 0.56

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.

Royce Value Trust Inc

start valley end Drawdown days
2007-02-27 2009-03-09 2013-05-17 -72.45% 2271
2020-02-21 2020-03-23 2020-11-11 -47.07% 264
2002-04-22 2002-10-09 2003-09-18 -35.17% 514
2022-01-03 2022-10-14 - -32.83% 326
2018-09-21 2018-12-24 2020-01-16 -31.74% 482

The Royce Value Trust Inc took approximately 26 months on average to recover from a major drawdown. The longest drawdown lasted 76 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 Royce Value Trust Inc
Sharpe Ratio 0.56
Sortino Ratio 0.79
Adjusted Sortino (S/√2) 0.56
Calmar Ratio 0.15
Omega Ratio 0.15
Gain to Pain Ratio 0.11
Winckel Ratio 61.11
Ulcer Index 0.16
Kelly Criterion 5.52%
Skew -0.53
Kurtosis 11.67
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