US Mid Cap (USMIDCAP.X)

New York Stock Exchange
USD
30 June 1926  –  11 October 2024

Performance

Annualized Return
10.97%
Sharpe Ratio
0.89
Maximum Drawdown
-87.05%

Metrics

Metric US Mid Cap
Initial Balance $10,000
Final Balance $279,715,934
Returns   [View more details]
Month-To-Date 1.12%
Year-To-Date 14.75%
3M 8.38%
6M 7.92%
Annual Return (3Y) 7.34%
Annual Return (5Y) 12.19%
Annual Return (All) 10.97%
Risk   [View more details]
Annual Volatility 12.38%
Max Drawdown -87.05%
Sharpe Ratio 0.89
Sortino Ratio 1.26
Adjusted Sortino (S/√2) 0.89

  • 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 1926.
  • Final balance: The amount of capital we've accrued over time as of October 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 98 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
US Mid Cap 27.89% 7.34% 12.19% 11.07% 10.33% 10.97%

Annual Returns

Year US Mid Cap
1926 8.12%
1927 31.53%
1928 36.89%
1929 -12.59%
1930 -37.32%
1931 -50.27%
1932 -7.53%
1933 71.4%
1934 4.49%
1935 50.23%
1936 31.95%
1937 -37.83%
1938 33.46%
1939 -5.71%
1940 -8.9%
1941 -8.3%
1942 23.52%
1943 34.54%
1944 26.07%
1945 50.74%
1946 -6.03%
1947 -0.45%
1948 1.35%
1949 23.77%
1950 29.08%
1951 21.83%
1952 12.66%
1953 0.79%
1954 53.69%
1955 18.71%
1956 9.61%
1957 -10.15%
1958 50.61%
1959 10.67%
1960 6.39%
1961 27.32%
1962 -9.94%
1963 19.38%
1964 15.62%
1965 22.22%
1966 -3.1%
1967 26.79%
1968 18.54%
1969 -13.76%
1970 1.73%
1971 20.92%
1972 9%
1973 -21.88%
1974 -26.3%
1975 46.23%
1976 35.65%
1977 1.33%
1978 7.67%
1979 31.06%
1980 31.9%
1981 2.98%
1982 26.11%
1983 26.45%
1984 -1.25%
1985 32.38%
1986 17.26%
1987 0.53%
1988 19.91%
1989 26.93%
1990 -10.67%
1991 39.6%
1992 14.77%
1993 16.29%
1994 -1.95%
1995 29.95%
1996 15.47%
1997 30.81%
1998 17.15%
1999 15.5%
2000 18.67%
2001 -1.25%
2002 -14.21%
2003 35.2%
2004 16.08%
2005 12.88%
2006 9.67%
2007 7.3%
2008 -36.17%
2009 37.81%
2010 26.72%
2011 -2.17%
2012 17.79%
2013 33.46%
2014 9.71%
2015 -2.34%
2016 20.72%
2017 16.26%
2018 -11.19%
2019 26.1%
2020 13.6%
2021 24.72%
2022 -13.11%
2023 16.41%
2024 14.75%

US Mid Cap had 73 positive years and 26 negative years. That's a positive ratio of 74%.

Monthly Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec YTD
1926 - - - - - 0% 1.8% 2.2% 0% -2.8% 3.7% 3.2% 8.1%
1927 0.8% 4.7% -1.6% 0% 5.9% -2.6% 6.2% 2.3% 4.1% -3.6% 8.2% 4.1% 31.5%
1928 1% -2.7% 9.8% 4.2% 1.7% -4.7% 0.7% 7.6% 3.4% 0.6% 9.9% 1.5% 36.9%
1929 4.9% 0.2% -1% 0.4% -4.2% 9.8% 4.3% 6.6% -2.3% -19.3% -10.2% 1% -12.6%
1930 4.7% 2.2% 5.8% -5.3% -0.9% -16.1% 4.8% -0.9% -13.4% -10.6% -2.6% -10.3% -37.3%
1931 8.5% 11.7% -8.5% -11.3% -14.2% 14.5% -7.9% -0.7% -31.8% 7.6% -9.8% -15% -50.3%
1932 2.9% 3.7% -10.5% -18.3% -25.4% 1.6% 34.6% 46.7% -2.4% -15.3% -7% 3.1% -7.5%
1933 2.1% -16.8% 4.9% 43.6% 25.3% 14.9% -10.7% 15% -10.1% -8.6% 8.5% 1.8% 71.4%
1934 15.4% -2.7% 0.6% -1.1% -7.9% 3.2% -14.3% 6% -0.8% -0.8% 9.2% 0.9% 4.5%
1935 -4.8% -1.7% -4.9% 9.2% 4.4% 7.1% 8% 3.3% 2.8% 9.2% 5.1% 5.1% 50.2%
1936 8.5% 4.3% 0.1% -10.2% 4.4% 1.9% 6.1% 1.4% 2.1% 6.2% 3.5% 1% 32%
1937 3% 2.3% 1.2% -8.2% -2.4% -4.6% 9.3% -4.3% -16.4% -9.4% -9.1% -5.4% -37.8%
1938 -0.6% 9.3% -25% 15.2% -4.7% 26.6% 7.1% -3.6% 0.4% 11% -1.9% 4.6% 33.5%
1939 -7.8% 4.8% -16% -0.3% 8.1% -7.7% 12.5% -10.2% 19.9% -0.1% -6% 2.6% -5.7%
1940 -2.6% 0.7% 2.3% -0.5% -23.8% 6.7% 3.6% 2.7% 3.4% 4.5% -1.6% -0.8% -8.9%
1941 -3% -2% 1.5% -4.6% 1.6% 5.8% 7.8% -0.3% -0.7% -5% -2.3% -6.4% -8.3%
1942 4.6% -2.2% -6% -5.3% 4.5% 3.2% 4.8% 2.3% 2.9% 7% -0.1% 6.7% 23.5%
1943 8.1% 7.7% 10.1% 1.4% 5.3% 1.8% -5.6% 1.3% 2.5% -1.2% -7.8% 8.1% 34.5%
1944 2.4% 0.9% 2.9% -2.3% 5.6% 7% -1.3% 2% 0.1% -0.1% 2% 4.8% 26.1%
1945 3% 7.5% -3.7% 8.1% 1.4% 1.1% -3.5% 7.3% 5.5% 5.5% 8.9% 1.7% 50.7%
1946 7.1% -6.1% 6.8% 4.6% 5.9% -5.1% -4.2% -6.3% -11.7% -1.4% 0.4% 5.9% -6%
1947 0.8% -1.4% -1.5% -7% -2.9% 6.2% 5.1% -2.4% 0.4% 2.4% -2.5% 3% -0.5%
1948 -3.2% -4.7% 9.9% 4.1% 7.8% -1% -4.7% 0% -3.8% 5.1% -9.4% 3% 1.4%
1949 1.3% -1.9% 4.3% -2.5% -2% 0.5% 5.4% 2.4% 3.9% 2.7% 2.1% 5.9% 23.8%
1950 2.5% 1.8% 0.9% 3.3% 4.1% -7.1% 2.5% 4.2% 5.8% -1% 3.9% 5.8% 29.1%
1951 7% 2.1% -2.7% 4.6% -1.9% -3% 7.4% 3.7% 2% -2.3% 1.3% 2.3% 21.8%
1952 1.9% -2.2% 4.2% -4.8% 2.8% 3.3% 1.3% -0.1% -1.6% -1.1% 6% 2.7% 12.7%
1953 0.6% 0.4% -1% -2.3% 0.7% -2.8% 1.9% -4.3% 0.2% 4.2% 3.3% 0.3% 0.8%
1954 5.3% 2.2% 3.8% 2.5% 4% 1.8% 6.2% -1.9% 4.9% -0.7% 9.8% 6.3% 53.7%
1955 0.6% 3.4% 0.2% 2.3% 1.3% 4.8% 0% 0.7% -2.2% -2% 6.5% 2% 18.7%
1956 -2.8% 3.8% 6% 0% -3.7% 3.3% 5.1% -2% -4.5% 0.6% 1.2% 2.9% 9.6%
1957 -1.6% -1.8% 2.2% 3.5% 3.4% -2.5% 0% -5.1% -5.1% -4.2% 3.5% -2.5% -10.2%
1958 6.5% -0.5% 3.2% 3.8% 2.8% 3.2% 4.8% 2% 4.5% 3.2% 3.9% 4.4% 50.6%
1959 1.4% 2.2% 0.7% 3% 0% 0.8% 2.9% -1.9% -5% 3% 2% 1.4% 10.7%
1960 -4.7% 1.4% -1.3% -0.4% 3% 2.4% -1.5% 3.3% -5.5% -1.1% 6.4% 4.9% 6.4%
1961 6.9% 5% 3.2% -0.2% 3.6% -3.1% 2.4% 4.2% -2.4% 3.1% 3.6% -1.4% 27.3%
1962 -2.1% 1.2% -0.4% -6.7% -9% -7.5% 5.6% 2.6% -5.3% -1.2% 13.1% 1.2% -9.9%
1963 5.2% -1.6% 2.8% 4.9% 2.7% -1.2% -1% 5.6% -2% 1.5% -0.3% 1.6% 19.4%
1964 1.3% 2.3% 2.5% -0.9% 1.1% 1.6% 3.1% -0.7% 3.3% 1.1% 0.4% -0.4% 15.6%
1965 4.5% 2.8% -0.2% 3% -0.5% -6.4% 2.8% 4% 3.1% 3.4% 2.6% 1.7% 22.2%
1966 3.2% -0.2% -1% 2.6% -5.9% 0.5% -1.2% -8.2% -1.3% 4.2% 2.6% 2.3% -3.1%
1967 8.8% 0.6% 4.9% 3.9% -2.5% 3% 5.5% -0.2% 2% -4.9% 0.8% 2.8% 26.8%
1968 -3% -4.1% -0.2% 10.2% 3.8% 1.7% -3.1% 1.7% 6.1% 1% 7.1% -3% 18.5%
1969 -0.3% -7.1% 1.7% 1.6% -0% -7.7% -6.7% 5% -1.5% 7.2% -3.4% -2.2% -13.8%
1970 -7.4% 5.9% -0.1% -11.5% -7.6% -4.8% 8.2% 5.8% 5.9% -3.4% 5.5% 8.1% 1.7%
1971 6.7% 2.7% 5% 3.8% -3% 0.2% -4.2% 4.6% -0.3% -3.7% -1.6% 10.1% 20.9%
1972 2.7% 2.3% 1% 0.2% 0.3% -3.8% -2.3% 3.7% -1.7% 0.6% 7.2% -1.1% 9%
1973 -5.8% -5% -2.1% -5.5% -3.4% -3.2% 8.5% -1.9% 9.6% -0.4% -15.9% 3.2% -21.9%
1974 2.2% 0.7% -3.1% -6.3% -6.5% -3.1% -5.7% -9.2% -8.1% 15.5% -1.6% -2.7% -26.3%
1975 17.7% 3.9% 5% 4.8% 5.5% 7.6% -6.2% -3% -4% 6.1% 3.7% -0.4% 46.2%
1976 14.1% 2.8% 2% -1.5% -1.4% 5.3% -0.1% -0.6% 2.5% -1.7% 3.2% 7.3% 35.7%
1977 -2.6% -2.2% 0% 1.6% -0.7% 5.4% -1.7% -1.8% 0.5% -3.6% 6.5% 0.4% 1.3%
1978 -5.4% -0.6% 5% 6.7% 4% -0.3% 6.3% 5.8% -1.5% -14.6% 3.1% 1.1% 7.7%
1979 6.6% -3.6% 7.8% 1.7% -1.2% 5.9% 3.1% 6.9% -0.7% -8.8% 7.6% 3.5% 31.1%
1980 6.4% -2.8% -13.7% 6.6% 8% 4.8% 8% 2.7% 3.1% 1% 7.9% -1.8% 31.9%
1981 -2.4% 2.1% 8.3% 0.9% 2.6% -1.9% -1.6% -5.9% -6.4% 6.5% 4.2% -2.3% 3%
1982 -3.8% -3.7% -1% 4.9% -3.3% -2.4% -2.3% 11.7% 3.1% 13.3% 8.1% 0.7% 26.1%
1983 3.3% 4.6% 3.8% 6.2% 3.9% 4.2% -2.8% -1.5% 3.5% -3.9% 4.8% -1.7% 26.5%
1984 -3.8% -5.5% 1.7% -0.8% -5.1% 3.5% -3.2% 11.8% -0.1% -0.7% -0.7% 2.6% -1.3%
1985 10.6% 1.2% -0.7% -0.5% 5.2% 2.1% 0.7% -0.4% -4.7% 4.5% 6.9% 4.2% 32.4%
1986 1.9% 7.6% 6.2% -0.6% 5% 1.5% -6.8% 6.5% -6.5% 5% 0.6% -3% 17.3%
1987 11.9% 5.9% 1.4% -2.3% 0.5% 4.1% 4.4% 3.6% -1.7% -24.4% -6.4% 8.8% 0.5%
1988 3.6% 7.7% 0.6% 0.4% 0% 6.7% -1.8% -2% 3.3% 0.4% -2.2% 2.1% 19.9%
1989 5.9% -0.1% 1.4% 5% 4.3% -0.2% 6.9% 3.4% -1.2% -4.2% 1.3% 1.9% 26.9%
1990 -7.6% 1.8% 2.5% -4.5% 9.3% -1% -2.4% -10.4% -6.7% -3.4% 9% 4.1% -10.7%
1991 6.1% 8.2% 3.6% 1.3% 5.1% -4.3% 4.3% 2.4% -0.6% 2% -3.6% 10.5% 39.6%
1992 1.2% 1.8% -2.8% 1% 0.7% -1.8% 4.2% -2.1% 1.6% 2.6% 4.9% 2.9% 14.8%
1993 2.2% 0.2% 3.4% -2.8% 3.3% 1.8% 0.1% 4.7% 0.4% 0.7% -2.7% 4.2% 16.3%
1994 3.2% -1.5% -4.6% 0.8% -0.3% -3.3% 3.3% 5.3% -2% 0.5% -4.2% 1.3% -2%
1995 1.6% 4.6% 2.6% 1.6% 2% 4.6% 4.9% 2% 2.4% -3.2% 4.2% -0.4% 30%
1996 1.7% 3.2% 0.8% 3.3% 0.8% -2% -6.1% 5.4% 4.5% 0.5% 5.9% -2.6% 15.5%
1997 4.6% -1.1% -4.1% 2.4% 8.4% 3.2% 9.6% 0.2% 5.4% -3.8% 1.6% 1.8% 30.8%
1998 -1.4% 7.8% 4.9% 1.5% -5% 1.5% -4.3% -20.1% 12.5% 7.9% 3.6% 11.5% 17.2%
1999 -2.5% -4.9% 2.5% 7.9% 0.5% 5.2% -2.3% -3.4% -2.7% 4.9% 5.3% 5.2% 15.5%
2000 -2.2% 7.8% 6.9% -3.2% -1% 2.4% 0.9% 11.3% -1.1% -3.2% -7% 7.3% 18.7%
2001 1.7% -5.7% -7.2% 11.3% 2.2% -0.4% -2% -2.8% -12.4% 4.3% 7.3% 4.8% -1.3%
2002 0.1% -0.4% 7.3% -0.3% -1.8% -7.3% -9.6% 0.7% -8.3% 4.3% 5.9% -4.1% -14.2%
2003 -3.3% -2.3% 1% 6.9% 8.3% 1.3% 3.7% 4.5% -1.6% 7.9% 3.3% 1.7% 35.2%
2004 2.1% 2.6% 0.6% -3.6% 2.3% 2.2% -4.7% 0.1% 2.8% 1.4% 6% 3.9% 16.1%
2005 -2.3% 3.3% -1.2% -3.6% 5.7% 2.5% 5.5% -1% 0.6% -3.1% 5.7% 0.6% 12.9%
2006 5.5% -0.4% 2.6% 1.5% -4.5% -0.5% -3.1% 1.2% 0.9% 4.3% 3.1% -0.7% 9.7%
2007 3.7% 0.9% 1.3% 2.8% 5% -2% -4.9% 1.4% 2.7% 2.5% -4.8% -0.9% 7.3%
2008 -5.7% -1.8% -0.9% 7.5% 5.4% -7.1% -1.7% 1.5% -10.8% -21.3% -9.6% 4.4% -36.2%
2009 -6.8% -9.4% 8.5% 14.8% 3.3% 0.5% 8.4% 4.4% 5.8% -4.5% 4.2% 6.1% 37.8%
2010 -3.2% 5.2% 7% 4.4% -7.1% -6.6% 6.7% -4.9% 11.3% 3.4% 3% 6.7% 26.7%
2011 1.8% 4.6% 2.5% 2.7% -1.3% -2.1% -3.6% -7% -10.6% 13.7% -0.2% -0.5% -2.2%
2012 6.6% 4.5% 1.9% -0.4% -6.4% 2.1% -0.2% 3.5% 1.8% -0.8% 2.2% 2.2% 17.8%
2013 7.3% 0.9% 4.9% 0.6% 2.2% -2% 6.5% -4% 5.5% 3.5% 1.5% 3% 33.5%
2014 -2.2% 5% 0.4% -1.6% 1.7% 4.2% -4.4% 5.1% -4.5% 3.5% 1.9% 0.8% 9.7%
2015 -1.1% 5.1% 1.3% -1.4% 1.7% -1.2% 0% -5.6% -3.2% 5.6% 1.4% -4.2% -2.3%
2016 -5.6% 1.3% 8.6% 1.1% 2.3% 0.5% 4.1% 0.5% -0.6% -2.7% 7.9% 2.2% 20.7%
2017 1.7% 2.5% -0.4% 0.8% -0.4% 1.6% 0.9% -1.5% 3.9% 2.3% 3.7% 0.3% 16.3%
2018 2.8% -4.4% 1% -0.3% 4.2% 0.4% 1.7% 3.2% -1.1% -9.6% 3.2% -11.3% -11.2%
2019 10.3% 4.4% -0.6% 4% -8% 7.7% 1% -4.1% 3.1% 1.1% 3% 2.8% 26.1%
2020 -2.6% -9.5% -20.2% 14.1% 7.3% 1.3% 4.6% 3.6% -3.3% 2.2% 14.3% 6.5% 13.6%
2021 1.5% 6.9% 4.7% 4.4% 0.3% -1.1% 0.4% 2% -4% 5.9% -3% 5.1% 24.7%
2022 -7.3% 1.2% 1.3% -7.1% 0.8% -9.7% 10.9% -3.2% -9.2% 10.6% 6% -5.5% -13.1%
2023 9.3% -1.9% -3.2% -0.8% -3.2% 9.2% 4.2% -3% -5.2% -5.4% 8.5% 8.7% 16.4%
2024 -1.7% 5.9% 5.6% -5.9% 4.5% -1.7% 5.9% -0.1% 1.1% 1.1% - - 14.8%
Pos 65.3% 62.2% 66.3% 59.2% 61.9% 58.2% 61.6% 58.6% 48% 55.6% 70.4% 73.5% 73.7%
Avg 1.8% 1% 0.8% 1.3% 0.6% 0.9% 1.6% 1.2% -0.7% 0.2% 2% 1.9% 13.1%

Other Return Metrics

Metric US Mid Cap
Cumulative Return 2797059.34%
Enh Ann Return 13.11%
Best Year 71.4%
Worst Year -50.27%
Best Month 46.74%
Worst Month -31.76%
Best Day 10.77%
Worst Day -14.43%
Win Ratio (Yearly) 73.74%
Win Ratio (Quarterly) 65.74%
Win Ratio (Monthly) 61.75%
Win Ratio (Daily) 59.13%

Annual Volatility

Annual Volatility 1y Annual Volatility 3y Annual Volatility 5y Annual Volatility 10y Annual Volatility 20y Annual Volatility
US Mid Cap 16.63% 20.35% 25.3% 20.64% 21.75% 12.38%

Sharpe Ratio

Sharpe Ratio 1y Sharpe Ratio 3y Sharpe Ratio 5y Sharpe Ratio 10y Sharpe Ratio 20y Sharpe Ratio
US Mid Cap 1.56 0.45 0.58 0.61 0.56 0.89

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.

US Mid Cap

Start Valley End Days Drawdown
1929-09-03 1932-05-31 1944-12-29 5596 -87.05%
2007-06-05 2009-03-09 2010-12-02 1276 -55.06%
1972-12-01 1974-09-30 1976-06-21 1298 -48.5%
2020-02-21 2020-03-23 2020-11-09 262 -42.18%
1968-12-03 1970-06-30 1971-04-19 867 -36.27%

The US Mid Cap took approximately 62 months on average to recover from a major drawdown. The longest drawdown lasted 187 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 US Mid Cap
Sharpe Ratio 0.89
Sortino Ratio 1.26
Adjusted Sortino (S/√2) 0.89
Calmar Ratio 0.13
Omega Ratio 1.23
Gain to Pain Ratio 0.23
Ulcer Index 0.22
Kelly Criterion 11.19%
Skew -0.53
Kurtosis 27.16
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