Zentek Ltd. Common Stock (ZTEK)

Nasdaq Stock Exchange
USD
CA98942X1024
2 April 2012  –  7 February 2023

Performance

Annualized Return
14.63%
Sharpe Ratio
0.59
Maximum Drawdown
-96.24%

Metrics

Metric Zentek Ltd. Common Stock
Initial Balance $10,000
Final Balance $44,054
Returns   [View more details]
Month-To-Date 12.41%
Year-To-Date 5.17%
3M 1.88%
6M -27.39%
Annual Return (3Y) 82.13%
Annual Return (5Y) 26.03%
Annual Return (All) 14.63%
Risk   [View more details]
Annual Volatility 89.86%
Max Drawdown -96.24%
Sharpe Ratio 0.59
Sortino Ratio 0.97
Adjusted Sortino (S/√2) 0.68

  • 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 April 2012.
  • Final balance: The amount of capital we've accrued over time as of February 2023.
  • 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 11 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
Zentek Ltd. Common Stock -38.26% 82.13% 26.03% 1.61% 14.63% 14.63%

Annual Returns

Year Zentek Ltd. Common Stock
2012 91.89%
2013 200%
2014 -39.91%
2015 -54.69%
2016 10%
2017 -15.44%
2018 -45.32%
2019 -5.08%
2020 910.71%
2021 37.1%
2022 -60.05%
2023 5.17%

Zentek Ltd. Common Stock had 6 positive years and 6 negative years. That's a positive ratio of 50%.

Monthly Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec YTD
2012 0% 0% 0% 45.9% -38.9% -21.2% -19.2% 38.1% 51.7% 25% 10.9% 16.4% 127.9%
2013 35.2% 103.1% 2.1% -1% 20.8% 18.5% 42.6% -7% -18.4% -22.6% 17.8% -23.4% 165%
2014 -19.2% 27.9% 30.9% 4.2% -1.7% -35.6% -7.9% -0% -3.4% 14.8% -14.9% -22.4% -23.3%
2015 -8.6% -2.6% 30.7% -1.3% 35.4% -42.7% -12.3% 12% -23.2% -14% -29.7% 11.5% -52.8%
2016 4% 1.1% 14.8% -7.1% -6.2% -8.2% -3.6% 16.7% 57.8% -16.5% -7.2% -17.1% 32.9%
2017 11.3% 14.1% -11.1% -6.9% 25.4% -9.5% 17.1% -10.1% -8.8% -19.2% -1.1% -7.5% -1%
2018 5.7% -6.1% -0.6% -22.8% 5.8% -14.5% 7.8% -4.1% -11.5% -2.9% -18.2% 9.3% -34.3%
2019 39% -2.7% -29.8% 2.1% -3.8% -16.6% 4.6% 4.3% 19.6% -2.3% -7.7% 3.7% 24.2%
2020 -13% 41.7% -36.8% 30.3% 47.4% 7.5% 0% -22.5% 70.2% 41.4% 59.8% 111% 315.4%
2021 -17.5% -3.2% -8% -11.5% 11.4% 35.6% -14.6% 6.5% 70% -0% 18.6% -23.9% 62.8%
2022 -27.6% -1.8% 10.5% -15.1% -13.9% -18.8% 28.2% -23% -7.1% 1.2% -4.8% -3.1% -52.9%
2023 -6.4% 12.4% 0% 0% 0% 0% 0% 0% 0% 0% 0% 0% 6%
Pos 45.5% 54.5% 50% 36.4% 54.5% 27.3% 54.5% 45.5% 45.5% 36.4% 36.4% 45.5% 58.3%
Avg 0.3% 16.7% 0.3% 1.5% 7.4% -9.6% 3.9% 1% 17.9% 0.4% 2.1% 4.9% 47.5%

Other Return Metrics

Metric Zentek Ltd. Common Stock
Cumulative Return 340.54%
Enh Ann Return 18.37%
Best Year 910.71%
Worst Year -60.05%
Best Month 111.02%
Worst Month -42.71%
Best Day 52.63%
Worst Day -31.97%
Win Ratio (Yearly) 50%
Win Ratio (Quarterly) 40.91%
Win Ratio (Monthly) 44.27%
Win Ratio (Daily) 47.5%

Annual Volatility

Annual Volatility 1y Annual Volatility 3y Annual Volatility 5y Annual Volatility 10y Annual Volatility 20y Annual Volatility
Zentek Ltd. Common Stock 85.47% 104.03% 92.79% 84.67% 89.86% 89.86%

Sharpe Ratio

Sharpe Ratio 1y Sharpe Ratio 3y Sharpe Ratio 5y Sharpe Ratio 10y Sharpe Ratio 20y Sharpe Ratio
Zentek Ltd. Common Stock -0.14 1.07 0.69 0.43 0.59 0.59

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.

Zentek Ltd. Common Stock

start valley end Drawdown days
2013-07-26 2020-04-02 2021-11-03 -96.24% 3022
2021-11-16 2022-10-20 - -76.65% 448
2012-05-03 2012-07-25 2012-12-03 -73.85% 214
2013-03-05 2013-05-16 2013-05-31 -27.16% 87
2012-04-17 2012-04-25 2012-04-30 -26% 13

The Zentek Ltd. Common Stock took approximately 25 months on average to recover from a major drawdown. The longest drawdown lasted 101 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 Zentek Ltd. Common Stock
Sharpe Ratio 0.59
Sortino Ratio 0.97
Adjusted Sortino (S/√2) 0.68
Calmar Ratio 0.15
Omega Ratio 0.15
Gain to Pain Ratio 0.13
Winckel Ratio 33.33
Ulcer Index 0.73
Kelly Criterion 5.42%
Skew 1.36
Kurtosis 10.11
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