Texas Instruments Incorporated (TXN)

Nasdaq Stock Exchange
USD
US8825081040
1 June 1972  –  23 September 2022

Performance

Annualized Return
10.66%
Sharpe Ratio
0.46
Maximum Drawdown
-85.81%

Metrics

Metric Texas Instruments Incorporated
Initial Balance $10,000
Final Balance $1,637,189
Returns   [View more details]
Month-To-Date -2.37%
Year-To-Date -12.72%
3M 6.37%
6M -8.73%
Annual Return (3Y) 10.99%
Annual Return (5Y) 15.83%
Annual Return (All) 10.66%
Risk   [View more details]
Annual Volatility 38%
Max Drawdown -85.81%
Sharpe Ratio 0.46
Sortino Ratio 0.67
Adjusted Sortino (S/√2) 0.48

  • 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 June 1972.
  • Final balance: The amount of capital we've accrued over time as of September 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 50 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
Texas Instruments Incorporated -15.52% 10.99% 15.83% 21.96% 14.54% 10.66%

Annual Returns

Year Texas Instruments Incorporated
1972 11.32%
1973 18.22%
1974 -37.1%
1975 39.75%
1976 8.59%
1977 -28.49%
1978 9.19%
1979 9.52%
1980 37.75%
1981 -33.41%
1982 67.24%
1983 2.96%
1984 -13.79%
1985 -11.72%
1986 11.97%
1987 42.37%
1988 -25.26%
1989 -10.84%
1990 8.15%
1991 -17.25%
1992 54.45%
1993 37.69%
1994 19.44%
1995 39.02%
1996 25.31%
1997 42.2%
1998 90.94%
1999 126.5%
2000 -1.79%
2001 -40.76%
2002 -46.19%
2003 96.58%
2004 -15.9%
2005 30.78%
2006 -9.82%
2007 17.01%
2008 -52.74%
2009 71.84%
2010 27.09%
2011 -8.89%
2012 7.9%
2013 46.27%
2014 25.1%
2015 5.18%
2016 36.72%
2017 46.77%
2018 -7.19%
2019 39.56%
2020 31.74%
2021 17.54%
2022 -12.72%

Texas Instruments Incorporated had 34 positive years and 17 negative years. That's a positive ratio of 67%.

Monthly Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec YTD
1972 0% 0% 0% 0% 0% 3.3% 1.7% 2% 0.7% 0.8% -4% 6.7% 12.6%
1973 3% -6.9% -6.7% 5.1% 7.3% -6.3% 24.6% 0.5% 11.6% 4% -8.5% -5.8% 23.2%
1974 4.4% -3% -12.3% 3.5% 11.1% -14.4% -12.2% -1.7% -24.3% 19.6% 1.4% -9.1% -37.9%
1975 8.5% 13.1% 8.6% 19.8% -1.9% 4.6% -12.2% -1.9% -5.1% 7.5% -3% 0% 39.1%
1976 22.9% 2.9% 4.4% -6.9% -1.7% 11.4% -7.2% -8.2% 7.2% -10.3% -1.4% 0% 11.2%
1977 -15.3% -4.5% 1.7% -5% 6.6% 5.1% 0% -1.7% -6.5% -8.8% -5% 2.6% -30.9%
1978 0% -16.4% 3.9% 22% 1.1% 0.6% 10.9% -2.7% 2.8% -9.8% 0.6% 0.6% 12%
1979 4.2% -5.8% 9.2% -2.8% 1.7% 6.2% -4.2% 11.6% 0% -3% -4% -2.2% 11.7%
1980 16% -3.8% -15.7% 3.5% 9.1% -1.1% 17.6% 11.5% 8.4% -4.8% 20% -19.3% 37.6%
1981 -8.7% 1.2% 4.4% -5.4% 3.8% -15.5% -1.4% -10.6% -2.8% -1.2% -6.4% 4.9% -37.5%
1982 0.9% 1.4% -4.4% 15.2% -8.1% 3.9% 2.3% 3% 1.9% 24.5% 17% -0.5% 57.2%
1983 30.7% -11.1% 5% -13.1% 7.1% -22.1% -8.3% 6.4% -2.4% 9.7% 7.6% 3.4% 15.2%
1984 -6.6% -0.8% 7.4% 6.9% -11.7% -1.2% -8.1% 22% -13.6% 0.5% -5.8% 1.2% -11.7%
1985 8.4% -14% -0.1% -15.8% -5.6% 8.2% 9.5% -8.8% -4.2% -1.2% 13.4% 2.9% -8.5%
1986 4% 16.2% -7.2% 17.4% -0.4% -13.8% -8.1% 10.7% -9.3% 0.3% 8% -1.1% 15.1%
1987 20.1% 15.6% 13.1% 3.7% -8.7% 4% 2.7% 17.8% 1.8% -35% -13.6% 33.2% 49.3%
1988 -15% 9.5% -9.8% 0.8% -4.5% 8.7% -10.5% -6.3% 2% -7.2% -7.8% 16.4% -23.2%
1989 7% -8.8% -0.5% 0.7% 11.6% -11.7% 0.7% 1.6% -3.3% -17.2% 13.7% -0.5% -6.7%
1990 -7% 5.6% 3.3% -6.2% 23.5% -5.2% -19.2% -13.3% 2% -14.7% 31.7% 20.8% 16.7%
1991 -1.6% 11% -3.5% 0.9% -2.8% -14.5% -2.3% -2.7% -10.1% 11.9% -11.8% 11% -11.8%
1992 16.3% 4.9% -12.5% 6.1% 8.7% -6.2% 19.2% -7.8% 12.8% 13.2% -0% -4.7% 49.2%
1993 15.8% 4.6% 3.4% -2.1% 13.6% 8.2% 1.2% 14% -6.1% -13.1% -2.1% -0.9% 40.4%
1994 10.2% 15.7% -4.4% -1% 4.9% -0.6% -1.1% -0.9% -12.4% 10.1% 0.8% -0.5% 24.6%
1995 -7.9% 14.1% 12.7% 19.8% 9.1% 16.1% 16.7% -4.5% 7% -14.1% -15.5% -10.7% 42.4%
1996 -9.2% 6.7% 3.8% 9.1% -4.7% -6.8% -15% 11.2% 17.3% -12% 31.4% 0.3% 34.1%
1997 22.9% -1.6% -2.7% 19.2% 0.6% -6.1% 36.7% -1.2% 18.1% -20.3% -7.1% -9.2% 49.3%
1998 21.4% 6.2% -6.7% 18.6% -19.8% 13.4% 2% -19.6% 11% 20.8% 19.5% 12% 77.5%
1999 15.7% -9.8% 11.3% 3% 7.1% 31.6% 0.1% 14% 0.2% 9.2% 7% 0.6% 95.9%
2000 11.6% 54.1% -3.7% 1.8% -12.1% -4% -13.3% 12.2% -28.8% 3.3% -24% 27% 28.9%
2001 -7.5% -32.5% 4.8% 25% -11.8% -6.5% 8.2% -4.1% -24.5% 12.1% 14.5% -12.6% -27.5%
2002 11.5% -6% 12.8% -6.5% -7.3% -17.3% -2.2% -14.9% -25% 7.5% 26.2% -25% -40.8%
2003 6.1% 5.3% -2.3% 13.1% 10.9% -14.1% 7.3% 26.4% -4.4% 26.9% 2.9% -1.3% 77.5%
2004 6.8% -2.2% -4.7% -14% 4% -7.4% -11.7% -8.4% 8.9% 15% -1.1% 1.8% -10.9%
2005 -5.6% 14% -3.7% -2% 10.7% 1.6% 13.2% 2.9% 3.7% -15.7% 13.8% -1.3% 31%
2006 -8.8% 2.1% 8.8% 7% -10% -3% -1.6% 9.4% 2% -9.1% -2.1% -2.5% -6.6%
2007 8.4% -0.7% -2.8% 14.4% 2.9% 6.4% -6.3% -2.7% 6.9% -10.6% -3.2% 5.8% 18.8%
2008 -7% -3.2% -5.6% 3.5% 11.4% -13.3% -13.1% 0.5% -12.3% -8.5% -20.4% -0.3% -63.9%
2009 -3% -4% 15.1% 10.1% 7.4% 9.8% 13.4% 2.2% -3.7% -0.5% 7.8% 3% 60.9%
2010 -13.2% 8.4% 0.4% 6.8% -6.1% -4.7% 6.6% -6.8% 17.9% 9.4% 7.5% 2.2% 27.4%
2011 4.7% 5% -2.9% 3.2% -0.6% -7% -9% -11.9% 1.7% 15.9% -2.1% -3.3% -5.2%
2012 11.8% 3% 0.8% -4.5% -10.8% 0.7% -4.5% 6.6% -5.1% 1.9% 4.9% 4.8% 10.9%
2013 7.8% 4.1% 3.1% 2.9% -0.8% -3% 13.2% -2.5% 5.5% 5.2% 2.2% 2.1% 39.8%
2014 -2.8% 6% 4.9% -3% 3.4% 1.7% -2.6% 4.2% -1% 4.9% 9.6% -1.8% 24.5%
2015 0.6% 10% -2.7% -4.6% 3.2% -7.9% -2.3% -4.3% 3.5% 15.3% 2.5% -5.7% 8.7%
2016 -2.7% 0.2% 8.3% -0% 6.2% 3.4% 11.9% -0.3% 0.9% 1% 5.1% -1.3% 33.5%
2017 4.2% 1.4% 5.1% -1.1% 4.2% -6.7% 6.4% 1.8% 8.2% 8.6% 0.6% 7.3% 39.7%
2018 5.6% -1.2% -4.1% -2.4% 11% -1.5% 1.5% 1% -4.5% -12.8% 7.6% -5.4% -2.7%
2019 7.3% 5.1% 0.3% 11.1% -10.9% 10% 9.6% -1% 4.4% -8% 1.9% 6.7% 36.9%
2020 -5.3% -5.4% -12.4% 16.2% 3.1% 6.9% 1.2% 11.4% 0.5% 2% 11.5% 1.8% 36.8%
2021 1.6% 4% 9.7% -3.9% 5.2% 1.3% -0.3% 0.2% 0.7% -1.9% 2.6% -2% 19.7%
2022 -4.1% -5.3% 7.9% -7.2% 4.5% -13.1% 17.2% -7.6% -2.4% 0% 0% 0% -10%
Pos 63.3% 58% 54% 60% 60% 45.1% 52% 49% 56.9% 54% 58% 50% 68.6%
Avg 3.9% 2.1% 0.8% 3.7% 1.5% -1.3% 1.6% 1% -0.8% 0.4% 2.9% 1.1% 17.1%

Other Return Metrics

Metric Texas Instruments Incorporated
Cumulative Return 16271.89%
Enh Ann Return 15.41%
Best Year 126.5%
Worst Year -52.74%
Best Month 54.08%
Worst Month -34.96%
Best Day 24.05%
Worst Day -27.14%
Win Ratio (Yearly) 66.67%
Win Ratio (Quarterly) 58.42%
Win Ratio (Monthly) 55%
Win Ratio (Daily) 50.83%

Annual Volatility

Annual Volatility 1y Annual Volatility 3y Annual Volatility 5y Annual Volatility 10y Annual Volatility 20y Annual Volatility
Texas Instruments Incorporated 29.41% 33.84% 31.62% 27.03% 31.73% 38%

Sharpe Ratio

Sharpe Ratio 1y Sharpe Ratio 3y Sharpe Ratio 5y Sharpe Ratio 10y Sharpe Ratio 20y Sharpe Ratio
Texas Instruments Incorporated -0.42 0.48 0.62 0.87 0.59 0.46

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.

Texas Instruments Incorporated

start valley end Drawdown days
2000-03-06 2002-10-09 2016-11-22 -85.81% 6105
1987-10-06 1990-10-29 1993-06-29 -68.91% 2093
1973-10-15 1974-09-27 1980-09-19 -56.44% 2531
1980-12-01 1982-01-13 1982-12-07 -52.75% 736
1983-02-01 1985-05-30 1987-03-23 -50.36% 1511

The Texas Instruments Incorporated took approximately 87 months on average to recover from a major drawdown. The longest drawdown lasted 204 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 Texas Instruments Incorporated
Sharpe Ratio 0.46
Sortino Ratio 0.67
Adjusted Sortino (S/√2) 0.48
Calmar Ratio 0.12
Omega Ratio 0.12
Gain to Pain Ratio 0.09
Winckel Ratio 58.82
Ulcer Index 0.44
Kelly Criterion 4.02%
Skew 0.15
Kurtosis 7.17
End of: