Annualized Returns
|
Annual Return 1y
|
Annual Return 3y
|
Annual Return 5y
|
Annual Return 10y
|
Annual Return 20y
|
Annual Return
|
Société de Services, de Participations, de Direction et d'Elaboration |
1.53% |
-3.97% |
-4.01% |
9.44% |
7.41% |
11.32% |
Annual Returns
Year
|
Société de Services, de Participations, de Direction et d'Elaboration
|
2001 |
12.46% |
2002 |
1.4% |
2003 |
93.94% |
2004 |
10.57% |
2005 |
27.77% |
2006 |
3.08% |
2007 |
12.45% |
2008 |
-26.48% |
2009 |
5.24% |
2010 |
18% |
2011 |
7.63% |
2012 |
31.65% |
2013 |
-1.78% |
2014 |
5.45% |
2015 |
36.86% |
2016 |
16.2% |
2017 |
63.95% |
2018 |
21.06% |
2019 |
-7.41% |
2020 |
-2.03% |
2021 |
-3.14% |
2022 |
-12.06% |
2023 |
-1% |
2024 |
0.64% |
Société de Services, de Participations, de Direction et d'Elaboration had 17 positive years and 7 negative years. That's a positive ratio of 71%.
Monthly Returns
|
Jan
|
Feb
|
Mar
|
Apr
|
May
|
Jun
|
Jul
|
Aug
|
Sep
|
Oct
|
Nov
|
Dec
|
YTD
|
2001 |
- |
- |
- |
0.2% |
8.4% |
2.3% |
13% |
-6.8% |
-14.4% |
9.4% |
-1.4% |
4.2% |
12.5% |
2002 |
0.4% |
-4.3% |
7.3% |
1% |
1.9% |
2.1% |
-7.6% |
-1% |
9% |
-6.9% |
7.5% |
-6% |
1.4% |
2003 |
2.6% |
6.5% |
13.7% |
11.4% |
7.6% |
-0.9% |
17.2% |
1.2% |
1.4% |
1.2% |
-0.6% |
8.7% |
93.9% |
2004 |
10.6% |
0.8% |
22.1% |
-6.3% |
-0% |
-3.3% |
4.2% |
0.2% |
-11.5% |
3.6% |
-1.8% |
-4.6% |
10.6% |
2005 |
-1% |
7.8% |
-0% |
0% |
-2.3% |
3.9% |
-2% |
-1.5% |
1.8% |
7.6% |
8.8% |
2.5% |
27.8% |
2006 |
-0% |
7.7% |
-1.5% |
-2.8% |
-1.5% |
0% |
5.3% |
-3.7% |
0.2% |
-0.7% |
0.7% |
0% |
3.1% |
2007 |
-0.5% |
-1.7% |
2.2% |
4.5% |
1.4% |
5.6% |
7.9% |
-3.8% |
-5.6% |
0.5% |
3.3% |
-1.3% |
12.5% |
2008 |
-6% |
1.4% |
2.4% |
-0.3% |
-0.7% |
-5.6% |
-3% |
3.1% |
-6.7% |
-16.8% |
-0% |
3.9% |
-26.5% |
2009 |
16.5% |
-4.6% |
0% |
-5.3% |
-5.6% |
2.8% |
-5.3% |
3.1% |
3.8% |
-1.8% |
1.9% |
1.8% |
5.2% |
2010 |
-3.6% |
-4.6% |
2.9% |
3.9% |
5.7% |
6.4% |
-3.1% |
7.5% |
7.2% |
-4.4% |
0.2% |
-0.2% |
18% |
2011 |
11.5% |
-1.9% |
3.6% |
-4.5% |
-0.5% |
2.6% |
0.3% |
-7% |
-1.8% |
6.4% |
-0% |
0% |
7.6% |
2012 |
2.7% |
1.8% |
-0.9% |
1.6% |
8.3% |
1.8% |
3.1% |
-2.9% |
0.9% |
3.5% |
3.8% |
4.5% |
31.7% |
2013 |
-0% |
-2.1% |
-4.3% |
-5.2% |
0.8% |
-3.9% |
11.3% |
5.4% |
-3.9% |
-1.8% |
2.9% |
0.4% |
-1.8% |
2014 |
6.9% |
-1.4% |
-0.7% |
-2.1% |
-0% |
2.1% |
7.6% |
-7.5% |
1.2% |
4.1% |
-1.4% |
-2.6% |
5.5% |
2015 |
-0.7% |
4.9% |
10.3% |
-0.9% |
-2.1% |
1.2% |
-3.4% |
3.6% |
18.8% |
0.2% |
1.7% |
0.2% |
36.9% |
2016 |
1.5% |
-0.5% |
1% |
-3.8% |
4% |
7.6% |
-0.2% |
-0.2% |
-0% |
-0% |
-1.4% |
7.8% |
16.2% |
2017 |
11.8% |
-1.6% |
-1.7% |
2.2% |
0.1% |
19.6% |
3.5% |
3.2% |
20.2% |
-1.1% |
-0.6% |
-1.5% |
64% |
2018 |
10.6% |
15.6% |
-4.4% |
-0.9% |
0.9% |
-6.5% |
16.7% |
-2.5% |
-6% |
-3.7% |
6.7% |
-3.6% |
21.1% |
2019 |
-2.8% |
1.9% |
-4.7% |
2% |
-3.9% |
1% |
1% |
-3% |
2% |
-0% |
-0.5% |
-0.5% |
-7.4% |
2020 |
-1% |
1% |
-8.6% |
1.7% |
0.5% |
1% |
1.6% |
-0% |
1.1% |
-9.5% |
3.5% |
7.9% |
-2% |
2021 |
-5.2% |
2.2% |
-2.2% |
1.1% |
-0.5% |
3.3% |
-2.1% |
1.6% |
-1.6% |
-2.7% |
-1.7% |
5.1% |
-3.1% |
2022 |
-4.9% |
0% |
2.9% |
1.1% |
-1.7% |
1.7% |
-2.2% |
-0.6% |
-0% |
-3.4% |
-0.6% |
-4.8% |
-12.1% |
2023 |
-1.3% |
1.3% |
1.3% |
3.7% |
2.1% |
-4.7% |
4.9% |
-2.9% |
1.2% |
-10.2% |
4% |
0.6% |
-1% |
2024 |
-2.6% |
-0.7% |
7.9% |
-3.7% |
- |
- |
- |
- |
- |
- |
- |
- |
0.6% |
Pos |
45.5% |
54.5% |
59.1% |
52.2% |
57.1% |
72.7% |
60.9% |
40.9% |
61.9% |
40.9% |
52.2% |
57.1% |
70.8% |
Avg |
2.1% |
1.3% |
2.2% |
-0.1% |
1.1% |
1.8% |
3% |
-0.7% |
0.8% |
-1.2% |
1.5% |
1.1% |
13.1% |
Other Return Metrics
Metric
|
Société de Services, de Participations, de Direction et d'Elaboration
|
Cumulative Return |
1079.09% |
Enh Ann Return |
11.23% |
Best Year |
93.94% |
Worst Year |
-26.48% |
Best Month |
22.14% |
Worst Month |
-16.77% |
Best Day |
25.63% |
Worst Day |
-16.67% |
Win Ratio (Yearly) |
70.83% |
Win Ratio (Quarterly) |
59.14% |
Win Ratio (Monthly) |
53.28% |
Win Ratio (Daily) |
53.03% |
Annual Volatility
|
Annual Volatility 1y
|
Annual Volatility 3y
|
Annual Volatility 5y
|
Annual Volatility 10y
|
Annual Volatility 20y
|
Annual Volatility
|
Société de Services, de Participations, de Direction et d'Elaboration |
26.93% |
24.39% |
25.14% |
28.5% |
27.91% |
29.01% |
Sharpe Ratio
|
Sharpe Ratio 1y
|
Sharpe Ratio 3y
|
Sharpe Ratio 5y
|
Sharpe Ratio 10y
|
Sharpe Ratio 20y
|
Sharpe Ratio
|
Société de Services, de Participations, de Direction et d'Elaboration |
0.19 |
-0.04 |
-0.03 |
0.45 |
0.39 |
0.51 |
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.
Société de Services, de Participations, de Direction et d'Elaboration
start
|
valley
|
end
|
days
|
Drawdown
|
2007-07-27 |
2008-10-08 |
2012-05-29 |
1768 |
-38.53% |
2018-02-05 |
2024-03-18 |
- |
2263 |
-37.14% |
2002-06-21 |
2002-07-24 |
2003-03-27 |
279 |
-24.5% |
2001-08-20 |
2002-02-04 |
2002-06-11 |
295 |
-24.1% |
2004-03-31 |
2005-03-11 |
2005-11-11 |
590 |
-21.69% |
The Société de Services, de Participations, de Direction et d'Elaboration took approximately 35 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
|
Société de Services, de Participations, de Direction et d'Elaboration
|
Sharpe Ratio |
0.51 |
Sortino Ratio |
0.78 |
Adjusted Sortino (S/√2) |
0.55 |
Calmar Ratio |
0.29 |
Omega Ratio |
1.17 |
Gain to Pain Ratio |
0.17 |
Winckel Ratio |
45.83 |
Ulcer Index |
0.17 |
Kelly Criterion |
7.53% |
Skew |
1.16 |
Kurtosis |
21.26 |