Western Digital Corporation (WDC)

Nasdaq Stock Exchange
USD
US9581021055
2 January 1987  –  27 March 2024

Performance

Annualized Return
6.06%
Sharpe Ratio
0.4
Maximum Drawdown
-96.2%

Metrics

Metric Western Digital Corporation
Initial Balance $10,000
Final Balance $89,438
Returns   [View more details]
Month-To-Date 13.74%
Year-To-Date 29.16%
3M 28.45%
6M 51.59%
Annual Return (3Y) 0.18%
Annual Return (5Y) 9.01%
Annual Return (All) 6.06%
Risk   [View more details]
Annual Volatility 60.06%
Max Drawdown -96.2%
Sharpe Ratio 0.4
Sortino Ratio 0.6
Adjusted Sortino (S/√2) 0.42

  • 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 1987.
  • Final balance: The amount of capital we've accrued over time as of March 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 37 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
Western Digital Corporation 92.1% 0.18% 9.01% -0.94% 10.61% 6.06%

Annual Returns

Year Western Digital Corporation
1987 -13.88%
1988 -9.23%
1989 -43.25%
1990 -41.76%
1991 -46.15%
1992 228.57%
1993 5.8%
1994 82.25%
1995 7.52%
1996 218.12%
1997 -43.74%
1998 -5.88%
1999 -72.19%
2000 -41.79%
2001 157.18%
2002 1.91%
2003 84.51%
2004 -8.06%
2005 71.68%
2006 9.94%
2007 47.65%
2008 -62.1%
2009 285.59%
2010 -23.22%
2011 -8.7%
2012 39.09%
2013 101.53%
2014 34%
2015 -44.31%
2016 17.48%
2017 19.81%
2018 -51.91%
2019 77.02%
2020 -10.92%
2021 17.73%
2022 -51.62%
2023 65.99%
2024 29.16%

Western Digital Corporation had 21 positive years and 17 negative years. That's a positive ratio of 55%.

Monthly Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec YTD
1987 32.5% 19.5% -24.3% 28.2% 2.6% -13.9% 2.5% 5.3% -14.5% -30.1% -24.2% 30% -13.9%
1988 -27.7% 23.4% 2.6% 2.5% -0% 0.9% -1.7% -9.9% 1.9% -11.7% -3% 24.2% -9.2%
1989 -1.7% -16.4% -4.1% 0% -2.2% -11% -13.5% 4.2% -6.8% -17.7% 17.9% 1.5% -43.3%
1990 4.5% 8.6% 18.4% 3.4% 7.5% 6% -8.5% -20.7% -35.1% -10% -13.3% 0% -41.8%
1991 10.3% -16.3% 19.4% -4.7% -9.8% -13.5% -18.8% 7.7% -14.3% -12.5% -9.5% 10.5% -46.2%
1992 61.9% 5.9% -13.9% 9.7% 29.4% -11.4% -5.1% -5.4% 22.9% 27.9% 5.5% 19% 228.6%
1993 4.4% -9.7% -30.8% -13.3% 5.1% -22% 6.3% 32.4% -11.1% 57.5% 25.4% -7.6% 5.8%
1994 31.5% 26.1% 11.6% -6.7% -11.1% -8.9% 19.6% -1.6% -0.8% 15.1% 8% -10.1% 82.3%
1995 -8.3% -1.6% -8.3% 16.4% 10.2% -0.7% 10.7% 6.5% -23% -2.4% -1.6% 17.3% 7.5%
1996 5.6% 10.6% -12.6% 21.2% 22% -9.7% 13.9% 26.6% 14.2% 17.2% 14.4% 5.8% 218.1%
1997 27.5% -18.6% -4% 8.8% -12.2% 16.9% 21.7% 25% -16.9% -25% -32.7% -20.8% -43.7%
1998 18% -3.3% -3.8% 12.5% -13.6% -30.8% -5.8% -27% 32.3% -2.3% 24.4% 15.3% -5.9%
1999 -9.5% -30.3% -17.1% 2.4% -0.8% -18.8% -25% 25.6% -39.8% -11.9% 19.2% 8.1% -72.2%
2000 13.4% -5.3% 65.3% -7.6% -31.8% 6.7% -17.5% 42.4% 0% 2.1% -45.8% -25% -41.8%
2001 116.6% -22% 15.5% 11.8% -19% -8.4% -11.1% -9.4% -31.8% 54.4% 40.6% 33.1% 157.2%
2002 -0.3% -7% 7.2% -0.6% -25.7% -29.4% 36.6% -8.8% 16.1% 31.7% 36.5% -24.4% 1.9%
2003 24.4% 2.3% 11.4% 3% 34.2% -17.7% -3.3% 15.4% 12.2% 4.3% -7.5% -5.2% 84.5%
2004 -13.2% 11.3% -1.4% -28.1% 13.1% -5.3% -19.1% 6.4% 17.8% -5.2% 17.3% 11% -8.1%
2005 -0.7% 4.6% 13.2% -0.5% 18.3% -10.6% 11.7% -7.6% -6.6% -6.4% 23.3% 24.7% 71.7%
2006 17.5% 1.8% -12.7% 8.3% -3.3% -2.7% -11.5% 4.3% -1.1% 1% 12.3% -0.3% 9.9%
2007 -4.2% -2.2% -12.3% 5.2% 6.4% 2.9% 10.3% 9.4% 8.4% 2.4% 6.6% 9.3% 47.7%
2008 -12.5% 16.7% -12.4% 7.2% 29.5% -8% -16.6% -5.3% -21.8% -22.8% -25.9% -6.2% -62.1%
2009 28.2% -7% 41.6% 21.6% 5.7% 6.6% 14.2% 13.3% 6.6% -7.8% 9.4% 19.8% 285.6%
2010 -14% 1.7% 0.9% 5.4% -15.3% -13.4% -12.5% -8.5% 17.5% 12.8% 4.7% 1.2% -23.2%
2011 0.4% -10.1% 21.9% 6.7% -7.9% -0.7% -5.3% -14.4% -12.8% 3.6% 9.1% 6.5% -8.7%
2012 17.5% 8% 5.5% -6.2% -19.1% -2.9% 30.5% 5.2% -6.8% -11.6% -2.3% 27.9% 39.1%
2013 10.6% 0.3% 7.2% 9.9% 14.5% -1.5% 3.7% -3.7% 2.7% 9.8% 7.8% 12.6% 101.5%
2014 2.7% 1% 5.9% -4.1% -0.3% 5.5% 8.2% 3.1% -5.5% 1.5% 5% 7.6% 34%
2015 -12.2% 10% -14.5% 7.4% -0.4% -18.9% 9.7% -4.8% -2.5% -15.9% -6.6% -3% -44.3%
2016 -20.1% -9.3% 9.7% -13.5% 13.9% 2.7% 0.5% -1.8% 26.4% -0.1% 8.9% 7.5% 17.5%
2017 17.3% -3.6% 8% 7.9% 1.1% -1.1% -3.9% 3.7% -1.6% 3.3% -11.7% 1.5% 19.8%
2018 11.9% -2.2% 6.6% -14.6% 6% -6.7% -9.4% -9.9% -6.6% -26.4% 5.4% -17.5% -51.9%
2019 21.7% 11.8% -3.4% 6.4% -27.2% 29.2% 13.3% 6.3% 4.1% -12.7% -2.6% 26.1% 77%
2020 4% -15.2% -25.1% 12.2% -3.7% -0.5% -2.4% -10.9% -4.9% 3.2% 19% 23.4% -10.9%
2021 1.9% 21.4% -2.6% 5.8% 6.5% -5.4% -8.8% -2.7% -10.7% -7.4% 10.6% 12.7% 17.7%
2022 -20.7% -1.6% -2.5% 6.9% 14.4% -26.1% 9.5% -13.9% -23% 5.6% 6.9% -14.2% -51.6%
2023 39.3% -12.5% -2.1% -8.6% 12.5% -2.1% 12.2% 5.7% 1.4% -12% 20.3% 8.4% 66%
2024 9.3% 3.9% 13.7% - - - - - - - - - 29.2%
Pos 65.8% 50% 50% 66.7% 52.8% 24.3% 48.6% 51.4% 38.9% 45.9% 64.9% 69.4% 55.3%
Avg 10.2% -0.1% 2.1% 3.4% 1.4% -6.1% 1% 2.2% -3.2% 0% 4.6% 6.4% 26.9%

Other Return Metrics

Metric Western Digital Corporation
Cumulative Return 794.38%
Enh Ann Return 22.51%
Best Year 285.59%
Worst Year -72.19%
Best Month 116.57%
Worst Month -45.83%
Best Day 39.75%
Worst Day -32.09%
Win Ratio (Yearly) 55.26%
Win Ratio (Quarterly) 58.39%
Win Ratio (Monthly) 52.36%
Win Ratio (Daily) 50.04%

Annual Volatility

Annual Volatility 1y Annual Volatility 3y Annual Volatility 5y Annual Volatility 10y Annual Volatility 20y Annual Volatility
Western Digital Corporation 37.43% 41.87% 49.42% 44.15% 45.02% 60.06%

Sharpe Ratio

Sharpe Ratio 1y Sharpe Ratio 3y Sharpe Ratio 5y Sharpe Ratio 10y Sharpe Ratio 20y Sharpe Ratio
Western Digital Corporation 1.93 0.21 0.42 0.2 0.45 0.4

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.

Western Digital Corporation

start valley end days Drawdown
1997-08-21 2001-09-27 2013-04-10 5711 -96.2%
1987-05-13 1991-12-12 1996-08-02 3369 -93.75%
2018-03-19 2020-03-18 - 2200 -70.53%
2014-12-23 2016-05-13 2018-03-16 1179 -67.7%
1997-02-20 1997-05-23 1997-07-16 146 -31.22%

The Western Digital Corporation took approximately 84 months on average to recover from a major drawdown. The longest drawdown lasted 190 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 Western Digital Corporation
Sharpe Ratio 0.4
Sortino Ratio 0.6
Adjusted Sortino (S/√2) 0.42
Calmar Ratio 0.06
Omega Ratio 1.08
Gain to Pain Ratio 0.08
Winckel Ratio 52.63
Ulcer Index 0.6
Kelly Criterion 3.59%
Skew 0.66
Kurtosis 9.58
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