US Mid Cap (USMIDCAP.X)

New York Stock Exchange
USD
30 June 1926  –  25 January 2022

Performance

Annualized Return
11.05%
Sharpe Ratio
0.94
Maximum Drawdown
-86.76%

Metrics

Metric US Mid Cap
Initial Balance $10,000
Final Balance $224,730,622
Returns
Month-To-Date -8.64%
Year-To-Date -8.64%
3M -6.9%
6M -2.3%
Annual Return (1Y) 6.67%
Annual Return (3Y) 14.29%
Annual Return (5Y) 10.33%
Annual Return (10Y) 12.31%
Annual Return (All) 11.05%
Enh Ann Return 13.01%
Best Year 83.22%
Worst Year -50.29%
Risk
Annual Volatility 11.79%
Max Drawdown -86.76%
Sharpe Ratio 0.94
Sortino Ratio 1.32
Adjusted Sortino (S/√2) 0.93
Ulcer Index 0.22
Gain to Pain Ratio 0.26

  • 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 January 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 96 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.

Chart

Table

Year US Mid Cap
1926 8.14%
1927 29.59%
1928 38.87%
1929 -12.62%
1930 -37.33%
1931 -50.29%
1932 -7.91%
1933 83.22%
1934 -1.83%
1935 50.23%
1936 31.94%
1937 -37.83%
1938 25.32%
1939 -2.19%
1940 -6.48%
1941 -8.37%
1942 23.56%
1943 34.77%
1944 24.82%
1945 52.2%
1946 -6.06%
1947 -0.4%
1948 1.22%
1949 21.95%
1950 31.86%
1951 21.11%
1952 12.66%
1953 0.76%
1954 53.51%
1955 15.44%
1956 12.4%
1957 -10.13%
1958 50.68%
1959 10.64%
1960 7.68%
1961 25.46%
1962 -9.59%
1963 19.55%
1964 15.94%
1965 22.06%
1966 -0.26%
1967 19.73%
1968 22.13%
1969 -13.77%
1970 1.54%
1971 21.1%
1972 6.37%
1973 -20.13%
1974 -26.45%
1975 45.93%
1976 35.64%
1977 -1.65%
1978 13.6%
1979 27.6%
1980 31.84%
1981 2.95%
1982 25.6%
1983 25.67%
1984 -0.4%
1985 32.2%
1986 17.37%
1987 0.43%
1988 22.35%
1989 18.48%
1990 -6.23%
1991 39.8%
1992 14.7%
1993 16.09%
1994 -1.95%
1995 31.27%
1996 17.53%
1997 31.49%
1998 17.08%
1999 15.43%
2000 18.67%
2001 -1.24%
2002 -14.07%
2003 34.96%
2004 16.09%
2005 12.88%
2006 9.96%
2007 7.3%
2008 -36.18%
2009 37.81%
2010 26.72%
2011 -2.18%
2012 17.79%
2013 33.46%
2014 9.71%
2015 -2.33%
2016 20.73%
2017 16.26%
2018 -11.18%
2019 26.1%
2020 13.58%
2021 24.71%
2022 -8.64%

US Mid Cap had 69 positive years and 28 negative years. That's a positive ratio of 71%.

Table

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec YTD
1926 0% 0% 0% 0% 0% 0% 2% 1.9% 0.2% 0.3% 0.3% 3.1% 7.8%
1927 0.9% 4.4% -1.5% 2.9% 3% -2.5% 4.1% 4.3% 4.1% -3.6% 8.2% 2.6% 26%
1928 2.5% -2.6% 7.3% 6.5% 1.7% -2% -2.1% 7.6% 1.8% 2.1% 9.9% 1.5% 32.9%
1929 4.9% 0.2% -0.3% -0.3% -4.2% 6.8% 7.3% 2.2% 2% -19.3% -4.4% -5.2% -13.3%
1930 4.8% 2.3% 5.7% -5.3% -8.6% -9% 4.8% -6.9% -7.8% -10.6% -5.9% -7.2% -46.6%
1931 3.7% 3.3% 3.5% -11.4% -0.9% -0.9% -7.8% -0.7% -31.7% -1.5% -1.5% -15% -69.4%
1932 3.3% 3.2% -10.5% -19.1% -24.7% 1.6% 46.5% 34.8% -2.4% -15.3% -7% 2.6% -7.3%
1933 2.5% -16.8% 4.8% 37.2% 31.2% 14.9% -10.7% 15% -8.7% -10% 8.4% 8.3% 61.3%
1934 8.4% -2.7% -0.2% -0.2% -7.9% -5.6% -6.2% 5.9% -0.7% -0.9% 9.2% 0.9% -1.8%
1935 -4.8% -1.7% 1.9% 1.9% 4.4% 7.3% 7.8% 3.2% 2.9% 9.2% 5.1% 5.1% 40.8%
1936 8.5% 2.1% 2.3% -10.2% 3.1% 3.2% 6.1% 1.4% 2% 5.1% 4.7% 1% 27.8%
1937 2.2% 2% 2.3% -8.2% -2.4% -4.7% 2.3% 2.2% -16.3% -8.6% -9.9% -5.4% -47.4%
1938 -0.6% 9.3% -25% 4.8% 4.7% 26.5% 1.5% 1.7% 0.4% 11% -1.9% -1.8% 22.9%
1939 -1.8% 4.8% -16.1% 3.6% 4% -7.6% 12.5% -10.2% 9.7% 9.2% -6% -0% -2%
1940 -0% 0.8% 0.9% 0.9% -23.8% 4.9% 5.4% 3.1% 2.9% 4.5% -1.1% -1.2% -6.5%
1941 -3% -1.9% 1.5% -4.7% 3.8% 3.5% 7.8% -0.5% -0.5% -5% -4% -4.7% -8.7%
1942 -1.3% -1.2% -1.3% -5.2% 3.8% 3.9% 4.7% 2.3% 2.9% 3.5% 3.2% 6.7% 21.2%
1943 9.3% 8.1% 8.6% 1.3% 5.3% 1.8% -2.1% -2.2% 2.5% -4.3% -4.8% 8.1% 29.9%
1944 2.3% 0.8% 2.9% 1.5% 1.7% 7% -1.3% 2% 0% 0% 1.9% 3.8% 22.2%
1945 4% 7.5% 2.1% 1.9% 1.4% -1.2% -1.3% 7.3% 5.3% 5.8% 8.9% 1.7% 42.1%
1946 7% -6.1% 5.8% 5.7% 5.9% -4.2% -5.1% -8.8% -9.2% -1.3% 3% 3.1% -6.2%
1947 0.8% -1.4% -1.4% -7% 1.5% 1.4% 5.2% -1% -1% 2.4% 0.3% 0.3% -0.4%
1948 0.4% 0.4% 0.4% 4.2% 7.8% -0.9% -2.4% -2.4% -3.8% -2.4% -2.5% 3% 1.2%
1949 1.3% -1.9% 4.3% -2.2% -2.3% 0.5% 3.8% 4% 3.9% 2.7% 2.1% 4.2% 19.9%
1950 4% 1.8% 0.9% 3.5% 3.9% -7.1% 2.7% 4.2% 2.3% 2.3% 3.9% 6.3% 27.7%
1951 6.5% 2.1% 0.9% 0.9% -1.9% 2% 2.1% 3.7% -0.1% -0.2% 1.3% 2.3% 19.2%
1952 1.9% -2.1% 4.1% -4.8% 3.2% 2.9% 1.3% -0.8% -0.9% -1.1% 4.2% 4.6% 11.9%
1953 -0% -0% -0% -2.3% -1% -1.1% 1.8% -4.3% 0.2% 3.9% 3.6% 0.3% 0.8%
1954 3.8% 3.5% 3.9% 2.5% 4% 1.8% 2.1% 2% 4.9% 4.4% 4.4% 6.3% 42.9%
1955 0.5% 3.3% 0.1% 1.7% 1.8% 4.6% 0.4% 0.4% -2.2% -2.1% 6.5% -0.4% 14.4%
1956 -0.4% 3.7% 3.1% 2.9% -3.6% 4.1% 4.2% -1.9% -1.8% -2.1% 1.1% 2.9% 11.7%
1957 -1.5% -1.8% 2.8% 2.9% 3.3% -1.1% -1.3% -5% -5.1% -4.2% 0.4% 0.5% -10.7%
1958 6.5% -0.5% 3.2% 3.8% 3.1% 2.8% 4.8% 3.2% 3.3% 3.2% 4% 4.4% 41%
1959 1.4% 1.3% 1.4% 3% 0.4% 0.4% 2.9% -1.9% -5% 2.6% 2.4% 1.4% 10.1%
1960 -1.7% -1.7% -1.3% 1.3% 1.3% 2.5% 0.8% 0.9% -5.5% -1.1% 6.4% 6% 7.4%
1961 5.7% 5% 3.2% 1.6% 1.8% -3.1% 2.4% 4.2% 0.3% 0.3% 3.7% -1.6% 22.7%
1962 -1.8% 1.3% -3.6% -3.6% -8.9% -1.1% -1.2% 2.6% -3% -3.5% 13.1% 1.2% -10%
1963 5.2% -1.6% 3.8% 3.9% 2.7% -1% -1.2% 1.8% 1.7% 1.5% 0.6% 0.6% 17.9%
1964 1.3% 2.3% 2.5% -0.8% 1.4% 1.4% 3% -0.7% 3.4% 0.8% 0.7% -0.4% 14.8%
1965 2.4% 2.2% 2.5% 2.9% -0.5% -6.4% 3.4% 3.3% 3% 3% 3.1% 1.7% 20%
1966 3.2% -0.2% -1.1% -1.7% -1.8% 0.4% -4.4% -5.1% -1.3% 4.2% 2.4% 5.6% -0.2%
1967 5.3% 0.7% 4.9% 0.6% 0.7% 3.1% 5.7% -0.3% -1.4% -1.5% 0.8% -0.1% 18%
1968 -0.1% -4.1% 4.8% 4.8% 3.9% -0.7% -0.8% 4.1% 3.8% 1.1% 1.9% 2% 20%
1969 -0.3% -7.2% 1.9% 1.5% -4% -3.9% -6.8% 1.7% 1.7% 7.4% -2.6% -3.1% -14.8%
1970 -0.7% -0.6% -0.7% -11.7% -5.9% -6.6% 8.2% 5.8% 5.9% 1% 1% 7.9% 1.6%
1971 4.9% 4.5% 4.9% 3.8% -3.2% 0.4% 0.2% 0.2% -0.4% -2.5% -2.7% 10.1% 19.2%
1972 2.7% 2.4% 0.9% 0.3% 0.3% -3.7% -2.5% 3.8% -0.6% -0.6% 7.2% -3.2% 6.2%
1973 -3.7% -5% -3.8% -3.8% -3.4% 2.5% 2.6% -1.9% 4.3% 4.7% -15.9% 3.2% -22.4%
1974 2.2% 0.7% -4.5% -4.9% -6.6% -4% -4.8% -8.5% -8.9% 15.6% -2.1% -2.3% -30.6%
1975 17.7% 3.9% 5% 4.7% 6.9% 6.1% -6.2% -3.3% -3.6% 6% 1.5% 1.7% 37.9%
1976 6.7% 5.7% 6.2% -1.5% -1.4% 5.4% -0.3% -0.3% 2.4% 0.6% 0.7% 7.3% 30.5%
1977 -2.6% -2.3% 0.1% 0.4% 0.5% 5.4% -1.7% -1.9% 0.5% -3.5% 6.4% -2.5% -1.6%
1978 -2.6% -0.6% 5% 5.1% 5.6% -0.4% 6.2% 5.7% -7.8% -8.8% 3.2% 3.7% 12.8%
1979 3.9% -3.6% 4.9% 4.4% -1.3% 4.5% 4.5% 6.9% -4.4% -5.3% 7.7% 3.6% 24.4%
1980 6.4% -2.8% -13.7% 6.7% 6.7% 6% 7.9% 2.9% 3% 1% 2.8% 3.1% 27.8%
1981 2.7% 2.4% 2.6% 0.8% 0.4% 0.4% -1.6% -5.9% -6.3% 5.5% 5% -2.3% 2.9%
1982 -2.7% -2.6% -3.1% 4.9% -3.4% -2.2% 4.6% 4.4% 3.1% 10.8% 10.2% 0.6% 22.9%
1983 3.4% 4.6% 3.7% 5.2% 5.2% 4.1% -2% -2.3% 3.5% -3.9% 4.8% -2.7% 22.9%
1984 -2.8% -5.5% 0.4% 0.4% -5.1% 0.1% 0.1% 11.8% -0.3% -0.4% -0.7% 2.6% -0.4%
1985 10.6% 1.2% -0.6% -0.6% 5.2% 1.4% 1.5% -2.6% -2.6% 4.4% 5.6% 5.6% 28%
1986 1.9% 7.6% 6.2% -0.6% 3.4% 3.1% -6.8% -0.2% -0.2% 5% -1.2% -1.3% 16.1%
1987 6.9% 5.9% 6.1% -2.3% 2.2% 2.3% 4.4% 3.5% -1.7% -14.9% -16.7% 8.7% 0.6%
1988 5.8% 5.5% 0.7% 0.2% 0.2% 6.7% -1.8% -2% 3.3% 0.4% -2.1% 4% 20.2%
1989 3.9% -0.1% 1.4% 4.4% 4.9% -0.1% 6.9% 3.3% -2.6% -2.8% 1.3% -2.8% 17%
1990 -3.1% 1.8% -1.1% -1% 9.3% -1.6% -1.7% -10.3% -4.6% -5.5% 9.1% 4.1% -6.3%
1991 6.2% 8.2% 2.3% 2.6% 5.1% -0.1% -0.1% 0.9% 0.9% 2% 3.2% 3.2% 33.5%
1992 1.3% -0.5% -0.6% 1% -0.5% -0.6% 4.2% -2.2% 1.5% 3.9% 3.6% 2.9% 13.7%
1993 1.9% 1.8% 2% -2.8% 3.5% 1.6% 2.4% 2.4% 0.4% -1% -1.1% 4.1% 14.9%
1994 3% -1.5% -4.5% 0.2% 0.2% -3.3% 4.2% 4.4% -1.9% 0.5% -4.2% 1.4% -1.9%
1995 1.4% 4.6% 2.5% 2.1% 2% 4.6% 4.8% 1.9% 2.8% -3.2% 4.2% 0% 27.8%
1996 0.1% 4.8% -0.1% 4.1% 0.3% -2% -7% 8.7% 2.9% 0.1% 6.3% -0.9% 17.7%
1997 4.5% -1% -4.1% 2.3% 8.5% 3% 9.6% 0.2% 5.3% -3.7% 1.5% 2.4% 28.8%
1998 -1.4% 7.8% 4.9% 1.5% -5% 1.5% -4.3% -20% 12.5% 7.9% 3.6% 11.4% 19%
1999 -2.5% -4.9% 2.5% 7.9% 0.5% 5.2% -2.3% -3.4% -2.7% 4.9% 5.3% 5.1% 15.8%
2000 -2.2% 7.8% 6.9% -3.1% -1% 2.4% 0.9% 11.2% -1.1% -3.2% -7% 7.3% 20.9%
2001 1.7% -5.7% -7.2% 11.3% 2.2% -0.4% -1.9% -2.8% -12.4% 4.3% 7.3% 4.8% 1.4%
2002 0.1% -0.4% 7.3% -0.3% -1.8% -7.3% -9.6% 0.7% -8.3% 4.3% 5.9% -4% -11.9%
2003 -3.3% -2.3% 1% 6.9% 8.3% 1.3% 3.6% 4.5% -1.6% 7.9% 3.3% 1.5% 31.3%
2004 2.1% 2.6% 0.6% -3.6% 2.2% 2.2% -4.7% 0.1% 2.8% 1.3% 6% 3.9% 15.8%
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 5.4% -0.4% 2.5% 1.5% -4.5% -0.2% -3% 1.2% 0.9% 4.3% 3.1% -0.7% 10.5%
2007 3.7% 0.9% 1.3% 2.8% 5% -2% -4.9% 1.4% 2.7% 2.5% -4.8% -0.9% 8.5%
2008 -5.7% -1.8% -0.9% 7.5% 5.4% -7% -1.7% 1.4% -10.8% -21.3% -9.6% 4.4% -36.1%
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% 37.1%
2010 -3.2% 5.2% 7% 4.4% -7.1% -6.6% 6.7% -4.9% 11.3% 3.4% 3% 6.7% 25.9%
2011 1.8% 4.6% 2.5% 2.7% -1.3% -2.1% -3.6% -7% -10.6% 13.7% -0.2% -0.5% 1.8%
2012 6.6% 4.5% 1.9% -0.4% -6.4% 2.1% -0.2% 3.5% 1.8% -0.7% 2.2% 2.2% 17.5%
2013 7.3% 0.9% 4.9% 0.6% 2.2% -2% 6.5% -4% 5.5% 3.5% 1.5% 3% 29.8%
2014 -2.2% 5% 0.4% -1.6% 1.7% 4.2% -4.4% 5% -4.5% 3.5% 1.9% 0.8% 10.1%
2015 -1.1% 5.1% 1.3% -1.4% 1.7% -1.2% 0% -5.6% -3.2% 5.6% 1.4% -4.2% -1.3%
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% 20.1%
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% 15.5%
2018 2.8% -4.4% 1% -0.3% 4.2% 0.4% 1.7% 3.2% -1.1% -9.6% 3.2% -11.3% -10.6%
2019 10.3% 4.4% -0.6% 4% -8% 7.7% 1% -4.1% 3.1% 1.1% 3% 2.8% 24.2%
2020 -2.6% -9.5% -20.3% 14.1% 7.3% 1.3% 4.6% 3.6% -3.3% 2.2% 14.3% 6.5% 21.3%
2021 1.5% 6.8% 4.7% 4.4% 0.3% -1.1% 0.4% 2% -4% 5.9% -3% 5.1% 23.7%
2022 -8.6% 0% 0% 0% 0% 0% 0% 0% 0% 0% 0% 0% -8.9%
Pos 65.6% 58.9% 69.5% 65.3% 65.3% 57.9% 60.4% 60.4% 51% 58.3% 72.9% 71.9% 73.2%
Avg 1.8% 0.9% 1% 1.3% 0.8% 0.9% 1.5% 1% -0.7% 0.3% 1.9% 1.8% 11%

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 Drawdown days
1929-10-01 1932-05-31 1944-12-19 -86.76% 5558
2007-06-05 2009-03-09 2010-12-02 -55.07% 1276
1972-12-01 1974-09-30 1976-06-21 -48.59% 1298
2020-02-21 2020-03-23 2020-11-09 -42.18% 262
1969-01-01 1970-06-30 1971-03-26 -34.4% 814

The US Mid Cap took approximately 61 months on average to recover from a major drawdown.

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.

End of: