Performance
 Annualized Return

6.46%
 Sharpe Ratio

0.07
 Maximum Drawdown

99%
Metrics
Metric  Commerzbank AG 

Initial Balance  $10,000 
Final Balance  $1,549 
Returns [View more details]  
MonthToDate  3.21% 
YearToDate  50.66% 
3M  24.55% 
6M  12.17% 
Annualized Return (3Y)  34.49% 
Annualized Return (5Y)  24.32% 
Annualized Return (All)  6.46% 
Risk [View more details]  
Annual Volatility  44.62% 
Max Drawdown  99% 
Sharpe Ratio  0.07 
Sortino Ratio  0.11 
Adjusted Sortino (S/√2)  0.08 
 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 December 1996.
 Final balance: The amount of capital we've accrued over time as of November 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 28 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 riskfree 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  

Commerzbank AG  54.84  34.49  24.32  4.06  8.8  6.46 
Annual Returns
Year  Commerzbank AG 

1996  2.52% 
1997  95.6% 
1998  21.37% 
1999  39.84% 
2000  12.96% 
2001  43.09% 
2002  56.45% 
2003  110.89% 
2004  2.51% 
2005  74.27% 
2006  12.79% 
2007  7.05% 
2008  73.58% 
2009  11.37% 
2010  5.62% 
2011  70.72% 
2012  10.05% 
2013  18.34% 
2014  6.23% 
2015  12.82% 
2016  22.42% 
2017  72.58% 
2018  53.75% 
2019  1.84% 
2020  4.55% 
2021  27.02% 
2022  32.1% 
2023  24.42% 
2024  50.66% 
Commerzbank AG had 12 positive years and 17 negative years. That's a positive ratio of 41%.
Monthly Returns
Jan  Feb  Mar  Apr  May  Jun  Jul  Aug  Sep  Oct  Nov  Dec  YTD  

1996                        2.5%  2.5% 
1997  7.2%  2.8%  11.5%  2.7%  3%  10%  27.4%  0.7%  3.1%  8.4%  5.6%  14.6%  95.6% 
1998  6.9%  0.6%  3.2%  3.7%  2.7%  0%  0.8%  25.5%  10.1%  8.8%  13%  5.4%  21.4% 
1999  2%  2.6%  7.8%  10.3%  8.7%  8.9%  7.7%  9.2%  3.6%  0.3%  10.1%  12.8%  39.8% 
2000  11%  16.4%  5.3%  5.4%  3.3%  4.7%  4.2%  7%  7.3%  4.1%  10%  6.2%  13% 
2001  6.8%  13%  9.5%  1.1%  6.7%  1.5%  12.5%  4.5%  34%  2.4%  3.6%  8.6%  43.1% 
2002  9.2%  0.1%  8.5%  3.1%  3.8%  19.5%  24.3%  3.1%  40%  8.2%  29.3%  20.3%  56.5% 
2003  9.7%  12%  4.7%  42.7%  10.2%  26.2%  10.4%  5.4%  1.7%  35.8%  5.1%  3.7%  110.9% 
2004  0.3%  0.8%  11.7%  4.2%  6.7%  7.9%  1.7%  5.2%  10.9%  4.3%  4.8%  1%  2.5% 
2005  7.7%  3.6%  1%  1.3%  6.1%  1.4%  2.6%  14.4%  7.7%  3.8%  15%  3.6%  74.3% 
2006  7.6%  9.1%  7.7%  0.1%  9.3%  2.9%  3.5%  0.5%  2.8%  4.8%  2.3%  6.2%  12.8% 
2007  12.4%  3.8%  6.2%  11%  1.6%  2.9%  10.7%  5%  5.7%  3.1%  7.5%  3.1%  7.1% 
2008  22.9%  0.9%  1.4%  17.7%  1.7%  17%  10.3%  3.3%  48.2%  18.9%  14.4%  8%  73.6% 
2009  46.5%  21.5%  44.1%  28.4%  7.2%  19.9%  24.2%  17.1%  34.6%  18.1%  12.4%  5.4%  11.4% 
2010  4.2%  2.8%  15.8%  6.4%  2.1%  0.6%  20.2%  10.5%  2.1%  6.5%  13.4%  1%  5.6% 
2011  0.2%  12.2%  12%  21.8%  7.7%  6.6%  10.5%  22.2%  8.2%  6.1%  22.1%  6.2%  70.7% 
2012  40.4%  3.1%  0.6%  13.8%  18.4%  0.2%  5.2%  0.6%  10.2%  6.4%  6.6%  3.8%  10.1% 
2013  12.6%  12.5%  19%  10.8%  20.9%  17.1%  4%  36.8%  3.3%  11.3%  15.5%  7%  18.3% 
2014  7.8%  4.1%  1.5%  4%  9.1%  1.4%  5.7%  6.4%  2.8%  1.5%  2.4%  10.8%  6.2% 
2015  2.8%  13%  6.6%  5.5%  0.3%  5.4%  2.8%  15.2%  5.7%  6.2%  4.1%  8.1%  12.8% 
2016  22%  0.4%  1.9%  9.4%  5.6%  24.4%  1.2%  7%  9%  7.8%  6.2%  10.2%  22.4% 
2017  10.6%  10.1%  17.7%  6.1%  4.4%  11.1%  6.2%  5.8%  10.3%  2.2%  3.3%  2.9%  72.6% 
2018  6%  3.9%  17.2%  1.6%  18.4%  6.1%  12.5%  11.8%  10.2%  7.1%  8.8%  24%  53.8% 
2019  8.3%  15.9%  4.9%  16.1%  19.1%  0.3%  2.5%  16.3%  3.2%  0.8%  1.9%  4.9%  1.8% 
2020  5.7%  0.2%  36.5%  2%  3.8%  13.3%  9.6%  11.8%  13.8%  3.5%  28.8%  1.1%  4.6% 
2021  4.1%  0.9%  3.7%  5%  20.2%  9.3%  9.1%  2.4%  8.4%  9.8%  1.3%  7.3%  27% 
2022  13.4%  0.7%  8.1%  9.3%  28.6%  17.2%  0.1%  0.7%  10.7%  10.3%  1.1%  10.4%  32.1% 
2023  18.4%  10.1%  15.8%  3.7%  6.6%  10.3%  7.1%  6.7%  6.3%  5.9%  10.8%  4.3%  24.4% 
2024  0.7%  0.1%  19%  9.7%  14.2%  8.7%  6.4%  11.3%  23.5%  1.2%  3.2%    50.7% 
Pos  57.1%  50%  60.7%  64.3%  42.9%  42.9%  53.6%  28.6%  50%  60.7%  46.4%  53.6%  41.4% 
Avg  1.3%  0.2%  1.4%  3.6%  1.5%  2.6%  2.2%  1.9%  1.7%  1.6%  0.8%  0.5%  4.4% 
Other Return Metrics
Metric  Commerzbank AG 

Cumulative Return  84.51% 
Enh Ann Return  3.36% 
Best Year  110.89% 
Worst Year  73.58% 
Best Month  44.09% 
Worst Month  48.23% 
Best Day  22.73% 
Worst Day  24.01% 
Win Ratio (Yearly)  41.38% 
Win Ratio (Quarterly)  56.64% 
Win Ratio (Monthly)  50.89% 
Win Ratio (Daily)  50.07% 
Annual Volatility
Annual Volatility 1y  Annual Volatility 3y  Annual Volatility 5y  Annual Volatility 10y  Annual Volatility 20y  Annual Volatility  

Commerzbank AG  32.42  42.39  46.29  41.53  46.48  44.62 
Sharpe Ratio
Sharpe Ratio 1y  Sharpe Ratio 3y  Sharpe Ratio 5y  Sharpe Ratio 10y  Sharpe Ratio 20y  Sharpe Ratio  

Commerzbank AG  1.49  0.9  0.7  0.3  0.04  0.07 
3Year Rolling Sharpe Ratio
The rolling Sharpe Ratio gives a clue about the continued consistency or stability of the riskadjusted 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.
Commerzbank AG
Start  Valley  End  Days  Drawdown 

20000323  20200515    8996  99% 
19980722  19981001  19990907  412  44.66% 
19970822  19971028  19971218  118  21.03% 
19971222  19980126  19980603  163  15.14% 
20000120  20000208  20000214  25  14.52% 
The Commerzbank AG took approximately 65 months on average to recover from a major drawdown. The longest drawdown lasted 300 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  Commerzbank AG 

Sharpe Ratio  0.07 
Sortino Ratio  0.11 
Adjusted Sortino (S/√2)  0.08 
Calmar Ratio  0.07 
Omega Ratio  1.01 
Gain to Pain Ratio  0.01 
Ulcer Index  0.78 
Kelly Criterion  0.69% 
Skew  0.17 
Kurtosis  7.17 