Südzucker AG (SZU.F)

Frankfurt Stock Exchange
EUR
DE0007297004
3 January 2000  –  29 June 2022

Performance

Annualized Return
2.46%
Sharpe Ratio
0.23
Maximum Drawdown
-68.31%

Metrics

Metric Südzucker AG
Initial Balance $10,000
Final Balance $17,272
Returns   [View more details]
Month-To-Date 20.88%
Year-To-Date 13.84%
3M 26.26%
6M 14.62%
Annual Return (3Y) 1.88%
Annual Return (5Y) -1.41%
Annual Return (All) 2.46%
Risk   [View more details]
Annual Volatility 30.91%
Max Drawdown -68.31%
Sharpe Ratio 0.23
Sortino Ratio 0.33
Adjusted Sortino (S/√2) 0.23

  • 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 January 2000.
  • Final balance: The amount of capital we've accrued over time as of June 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 22 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
Südzucker AG 14.78% 1.88% -1.41% -3.81% 1.46% 2.46%

Annual Returns

Year Südzucker AG
2000 -10.64%
2001 26.7%
2002 -2.78%
2003 -2.47%
2004 5.4%
2005 33.31%
2006 -5.44%
2007 -7.92%
2008 -29.56%
2009 35.65%
2010 40.71%
2011 27%
2012 28.85%
2013 -33.97%
2014 -36.99%
2015 54.87%
2016 26.27%
2017 -18.05%
2018 -35.53%
2019 47.28%
2020 -27.02%
2021 13.62%
2022 13.84%

Südzucker AG had 12 positive years and 11 negative years. That's a positive ratio of 52%.

Monthly Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec YTD
2000 -16.8% -9.9% 2.4% 1.4% 16.5% -11.8% 16.5% -7.3% -11.2% 4.2% 5.4% 6% -4.2%
2001 -0.9% 13.7% -0.7% 5.7% 11.5% 2.4% 2.7% -24.6% -4.1% 22.5% -1.2% 4.3% 28.3%
2002 0.9% 6.3% -0.9% 0.8% 4.7% 2.8% -4.3% -2.9% -20.6% 0.7% 4.4% 8.5% 2.1%
2003 -0.4% -4.9% -2.1% 6.6% 8.9% -10.5% -0% -4% -1.8% 4.1% 4.3% -1.1% 0.1%
2004 0.8% 2.6% -1.4% 5.5% 2% -2.2% -2% 0.3% -1.6% -2% 3% 0.5% 7.1%
2005 1.4% 4.1% -4% -8.2% 7.6% 8.5% 7.2% -1.6% 10.3% -6.5% 7.3% 5.1% 30.6%
2006 0.8% 10.9% -3.4% 1.7% -11.4% -9.9% 12.5% 2.3% -0.1% -0.4% -4.9% -1.1% -2.4%
2007 -8.2% -3.7% -11.3% 5.7% 6.8% 1.9% -11.4% 0.4% 0.2% 10.8% -4.2% 7.9% -4.9%
2008 -11.9% 2% -3.4% 3.5% -0.3% -21% 1.7% 2.9% -11.4% -14.9% 13.6% 10.8% -24.5%
2009 10.2% 16% 3.1% 1% -0.3% -1% 5.5% -8.2% 1.5% 4.9% 0.1% 0.1% 35.6%
2010 15.6% 1.8% -4.2% -6.8% -2.5% -0.1% 3.1% -4.7% 15.9% 3.2% -3.4% 21% 37%
2011 -2% 3.3% -2.3% 5.8% 5.7% 11.9% 2.2% -0.3% -12.8% -0.6% 11.2% 4.4% 28.4%
2012 -8.5% -3.3% 9.3% -3.5% 7.2% 13.6% 2.6% -4.9% 3.4% 8.9% 1.5% 1.8% 27.5%
2013 2% 6.1% -1.9% -7.1% -14.3% -8.9% 2.6% 3.5% -10.4% 8.3% -21.3% 5.8% -37.2%
2014 -6% 8% 3.1% -25.8% -2% -1.3% -7.1% -0.3% -6.4% -10.4% 12.3% -3.9% -37.7%
2015 -6.8% 21.5% -15.2% 14.7% 8.7% 4.3% 2.2% -14% 25.5% 4.5% 5% 2.4% 51.6%
2016 -24.1% 0.2% 11.8% -0.4% 13.7% 12.4% 13.3% 6.6% 5.3% -5.9% -8.5% 6.5% 29.4%
2017 7.3% -1% -2.4% -16.1% -3.3% -4.2% 1.2% -1.2% 2.5% -7.3% 3.1% 3.7% -17.2%
2018 -15.4% -3.8% -6.6% -0.1% 11.7% -11.4% -4.4% -6.3% -1.9% 18.4% -8.1% -10.3% -39.4%
2019 25.2% -9.4% -11.1% 18.8% 2% 7.5% -3.9% 6.5% -6% -8.7% 6% 20.3% 44.7%
2020 -8.8% -7.8% -7% -5.9% 12% 5.3% 0% 21.8% -3.5% -25.5% 8.3% -11.5% -23.1%
2021 1.5% 9.6% 9.7% -4.9% -0% -1.3% -4.4% 12.9% -3.5% -0.9% -7.3% 3.7% 15.5%
2022 -7% -1.1% -2.8% 5.8% -0.3% 20.9% 0% 0% 0% 0% 0% 0% 16.2%
Pos 43.5% 60.9% 26.1% 56.5% 60.9% 47.8% 63.6% 40.9% 36.4% 50% 63.6% 77.3% 60.9%
Avg -2.2% 2.7% -1.8% -0.1% 3.7% 0.3% 1.6% -1% -1.4% 0.4% 1.2% 3.9% 7.1%

Other Return Metrics

Metric Südzucker AG
Cumulative Return 72.72%
Enh Ann Return 5.96%
Best Year 54.87%
Worst Year -36.99%
Best Month 25.46%
Worst Month -25.75%
Best Day 16.06%
Worst Day -20.69%
Win Ratio (Yearly) 52.17%
Win Ratio (Quarterly) 54.44%
Win Ratio (Monthly) 52.22%
Win Ratio (Daily) 50.49%

Annual Volatility

Annual Volatility 1y Annual Volatility 3y Annual Volatility 5y Annual Volatility 10y Annual Volatility 20y Annual Volatility
Südzucker AG 30.03% 33.74% 32.02% 32.94% 30.79% 30.91%

Sharpe Ratio

Sharpe Ratio 1y Sharpe Ratio 3y Sharpe Ratio 5y Sharpe Ratio 10y Sharpe Ratio 20y Sharpe Ratio
Südzucker AG 0.6 0.23 0.12 0.05 0.2 0.23

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.

Südzucker AG

start valley end Drawdown days
2013-03-11 2014-10-13 - -68.31% 3397
2006-03-02 2008-10-27 2010-12-17 -63.56% 1751
2001-08-03 2001-09-21 2002-06-21 -37.05% 322
2000-01-04 2000-02-09 2001-02-16 -28.57% 409
2002-06-26 2002-10-09 2005-07-22 -27.87% 1122

The Südzucker AG took approximately 47 months on average to recover from a major drawdown. The longest drawdown lasted 113 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 Südzucker AG
Sharpe Ratio 0.23
Sortino Ratio 0.33
Adjusted Sortino (S/√2) 0.23
Calmar Ratio 0.04
Omega Ratio 0.04
Gain to Pain Ratio 0.04
Winckel Ratio 52.17
Ulcer Index 0.34
Kelly Criterion 2.15%
Skew -0.3
Kurtosis 9.01
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