EL Estée Lauder...

Fundamental Data

Get detailed Fundamental insights of Estée Lauder Companies Inc. and compare it to the S&P500.
YTD Return
EL -39.76%
vs.
SPY +18.46%
1-Year Return
EL -43.42%
vs.
SPY +27.00%
3-Year Return
EL -26.35%
vs.
SPY +5.68%

Worst 10 Drawdowns of EL

Started Recovered Drawdown Days
Jan 5, 2022 Sep 17, 2024 -77.36% 987
Jan 21, 2020 Aug 27, 2020 -34.34% 220
Jun 18, 2018 Feb 21, 2019 -22.51% 249
May 3, 2016 Jun 13, 2017 -21.92% 407
Aug 6, 2015 Feb 17, 2016 -16.79% 196
Apr 18, 2018 Jun 8, 2018 -13.40% 52
Sep 2, 2021 Nov 4, 2021 -12.89% 64
Sep 9, 2019 Dec 24, 2019 -12.21% 107
Jan 4, 2021 Feb 4, 2021 -11.40% 32
Jul 30, 2019 Aug 16, 2019 -9.11% 18

EL vs. S&P500

Comparison of company stats against the S&P500 Index.

Time Period between January 5, 2015 - September 17, 2024

Annual Return (%)

EL
S&P500
Metric EL S&P500
Cumulative Return +16.55% +174.09%
Compound Annual Growth Rate (CAGR) +1.1% +7.44%
Sharpe 0.21 0.67
Sortino 0.29 0.94
Max Drawdown -77.36% -34.1%
Longest Drawdown Days 987 745
Volatility (ann.) 31.3% 17.83%
Correlation 59.19% -
R^2 0.35 -
Calmar 0.01 0.22
Skew -0.53 -0.55
Kurtosis 11.55 12.49
Expected Daily +0.01% +0.04%
Expected Monthly +0.13% +0.87%
Expected Yearly +1.54% +10.61%
Kelly Criterion -0.2% 5.17%
Risk of Ruin 0% 0%
Daily Value-at-Risk -3.22% -1.80%
Expected Shortfall (cVaR) -3.22% -1.80%
Max Consecutive Wins 12 10
Max Consecutive Losses 8 8
Gain/Pain Ratio 0.04 0.14
Gain/Pain (1M) 0.18 0.78
Payoff Ratio 0.91 0.93
Profit Factor 1.04 1.14
Outlier Win Ratio 3.11 5.47
Outlier Loss Ratio 3.23 5.68
MTD -3.88% -0.11%
3M -22.65% +3.74%
6M -41.17% +10.44%
Best Day +12.52% +9.06%
Worst Day -18.90% -10.94%
Best Month +20.79% +12.70%
Worst Month -25.41% -13.00%
Best Year +66.35% +28.79%
Worst Year -41.05% -19.48%
Avg. Drawdown -3.96% -1.83%
Avg. Drawdown Days 30 22
Recovery Factor 0.82 3.41
Ulcer Index 0.27 0.08
Avg. Up Month +6.51% +3.69%
Avg. Down Month -7.13% -4.40%
Win Days 52.20% 54.39%
Win Month 57.26% 66.67%
Win Quarter 58.97% 76.92%
Win Year 60.00% 70.00%