ABB Ltd

10-Year Study

ABBNY.US · Industrials · US · Common Stock

Executive Summary: ABB Ltd has compounded at 20.7% annually over the last 10 years, with a maximum drawdown of 31.0% and an annualized volatility of 22.4%.

1Y CAGR
+70.5%
3Y CAGR
+39.6%
5Y CAGR
+26.1%
10Y CAGR
+20.7%

History & Riski10-year historical performance analysis including CAGR, Max Drawdown, Sharpe & Sortino ratios, annual returns, and rolling volatility — all computed from daily market data.

10-Year Growth of $10,000

Max DrawdownMax DrawdownThe largest peak-to-trough decline in the asset's value over the measurement period.Click for full definition →
31.0%
Sharpe RatioSharpe RatioRisk-adjusted return: how much excess return you earn per unit of total risk (volatility).Click for full definition →
0.82
Sortino RatioSortino RatioLike Sharpe, but only penalizes downside volatility — a more accurate risk measure for asymmetric return distributions.Click for full definition →
1.45
Ann. VolatilityAnnualized VolatilityThe annualized standard deviation of an asset's returns — a measure of how much prices fluctuate.Click for full definition →
24.7%
Best YearBest & Worst YearThe single calendar year with the highest and lowest return in the measured period.Click for full definition →
2023 · +49.7%
Worst YearBest & Worst YearThe single calendar year with the highest and lowest return in the measured period.Click for full definition →
2018 · -26.4%
% Positive Years% Positive YearsThe percentage of calendar years in the measurement period where the asset delivered a positive return.Click for full definition →
80%

Annual Returns

Rolling 12-Month Returns

Rolling 12-Month Annualised Volatility

Historical Drawdowns

Monthly Returns

Monthly Returns Heatmap

YearJanFebMarAprMayJunJulAugSepOctNovDecAnn.
202616.57.6-13.314.8————————24.9%
20251.6-2.7-2.62.97.75.39.82.57.23.1-3.23.139.3%
2024-3.58.12.75.211.91.5-0.23.41.3-4.63.0-5.124.8%
202314.4-4.46.05.20.88.12.3-5.2-6.0-6.719.311.049.7%
2022-8.9-3.1-1.4-7.63.7-13.713.6-9.2-6.914.113.1-3.3-13.9%
20215.5-2.58.96.45.3-0.47.71.0-9.8-1.04.610.540.4%
2020-3.8-6.6-16.78.74.814.810.82.0-0.2-4.68.46.221.3%
20190.72.9-4.39.5-8.210.2-6.11.23.46.74.010.432.1%
20183.9-12.8-2.31.8-2.3-4.35.72.10.5-15.11.1-6.3-26.4%
201713.1-5.33.88.82.2-0.9-5.6-1.46.85.6-1.54.231.7%
2016———8.7-1.6-4.611.82.03.9-8.3-1.13.113.2%

Risk X-RayiA 19-factor macroeconomic risk decomposition showing exactly which market forces (equity beta, rates, inflation, credit, commodity, crypto) drive this asset's volatility. Powered by multivariate regression against daily factor returns.

Risk Profile Insight: This asset has an estimated annualized volatility of 22.4%. The dominant macroeconomic risk driver is VEA.US, accounting for 53.5% of variance. Idiosyncratic stock-specific factors contribute 23.8%.

10-Year Historical Price Series (Growth of $10,000)
DateSimulated Value
2016-03-0110000
2016-04-0110870.274232881016
2016-05-0110700.318666686615
2016-06-0110211.172783172004
2016-07-0111414.401340494607
2016-08-0111640.011370266753
2016-09-0112091.156625424515
2016-10-0111092.069238940172
2016-11-0110973.878308223995
2016-12-0111317.679268712318
2017-01-0112794.841489504945
2017-02-0112112.70028874493
2017-03-0112569.231459732799
2017-04-0113669.454376804655
2017-05-0113963.959246570219
2017-06-0113836.193354378302
2017-07-0113058.227734474349
2017-08-0112880.41770769438
2017-09-0113752.786463398214
2017-10-0114519.68103409584
2017-11-0114302.972726320671
2017-12-0114903.053515058122
2018-01-0115486.527729986086
2018-02-0113497.179874627847
2018-03-0113191.603955655959
2018-04-0113430.753579389895
2018-05-0113124.80363848536
2018-06-0112564.967609700632
2018-07-0113286.45591777502
2018-08-0113569.216498855494
2018-09-0113638.485360781557
2018-10-0111577.998533834025
2018-11-0111705.016382160651
2018-12-0110972.008198560763
2019-01-0111052.796936012328
2019-02-0111376.026690205113
2019-03-0110891.219461109198
2019-04-0111924.342843464341
2019-05-0110941.862030789487
2019-06-0112055.325324277015
2019-07-0111315.061115183795
2019-08-0111447.464879340525
2019-09-0111838.617016501848
2019-10-0112633.114405828757
2019-11-0113138.642449993267
2019-12-0114498.885414640714
2020-01-0113945.183345551382
2020-02-0113024.34134737661
2020-03-0110853.293637138884
2020-04-0111796.502146885894
2020-05-0112362.39733097949
2020-06-0114185.978665788962
2020-07-0115714.007869421463
2020-08-0116034.694274472256
2020-09-0116003.27643212998
2020-10-0115273.858859083495
2020-11-0116562.88804775512
2020-12-0117581.57418351012
2021-01-0118556.200535599408
2021-02-0118097.200819856076
2021-03-0119709.98339342619
2021-04-0120977.842940710045
2021-05-0122084.05020870424
2021-06-0121986.954114989305
2021-07-0123688.23027782349
2021-08-0123927.604314717013
2021-09-0121579.49462156461
2021-10-0121372.436079651714
2021-11-0122349.231758950344
2021-12-0124690.90827486124
2022-01-0122491.509702128933
2022-02-0121786.478359090976
2022-03-0121474.91808919675
2022-04-0119834.75711015694
2022-05-0120565.147140228306
2022-06-0117749.659640041293
2022-07-0120166.738977573645
2022-08-0118307.47595038973
2022-09-0117039.167576786705
2022-10-0119433.431576427643
2022-11-0121981.268981613084
2022-12-0121262.24921829416
2023-01-0124326.68571685044
2023-02-0123244.715070091712
2023-03-0124633.982136712493
2023-04-0125919.570323603777
2023-05-0126130.74310677578
2023-06-0128241.498481470953
2023-07-0128882.123247707244
2023-08-0127394.03958648135
2023-09-0125750.81162759384
2023-10-0124022.830298768717
2023-11-0128668.107897847134
2023-12-0131828.892446253052
2024-01-0130717.074849269164
2024-02-0133212.100357564974
2024-03-0134116.85941263596
2024-04-0135904.53464191141
2024-05-0140168.758696009936
2024-06-0140751.93369339179
2024-07-0140651.47140228303
2024-08-0142045.226732095565
2024-09-0142602.743824897894
2024-10-0140636.061698658006
2024-11-0141866.294639517655
2024-12-0139719.857572448054
2025-01-0140352.179051779596
2025-02-0139278.2124743795
2025-03-0138263.19175356443
2025-04-0139354.58775302584
2025-05-0142376.68496880657
2025-06-0144635.7774419892
2025-07-0148989.39273799015
2025-08-0150193.74336111069
2025-09-0153821.75610777816
2025-10-0155474.933050074054
2025-11-0153679.62777337263
2025-12-0155332.80471566853
2026-01-0164488.86162684579
2026-02-0169410.99026046888
2026-03-0160202.57027872114
2026-04-0169134.21403031074
Annual Return Matrix
YearAnnual Return
20170.3167941201742268
2018-0.26377448839765694
20190.321443180888489
20200.21261556876341414
20210.4043627730456021
2022-0.13886322116622685
20230.4969673301951183
20240.24791830691312478
20250.3930766145055491
20260.2494254427470597
Total Factor Risk
0.22381715831770954
VTI.US Exposure
0.09186291724343647
VEA.US Exposure
0.5345852653163045
VWO.US Exposure
-0.07429137936502954
QQQ.US Exposure
-0.07543474166640289
VTV.US Exposure
0.00254646912942749
IJR.US Exposure
-0.0020113832563026326
QUAL.US Exposure
0.1300865585926649
SHV.US Exposure
0.04380186632735672
TLT.US Exposure
0.03127888837444271
LQD.US Exposure
-0.03376700256888723
HYG.US Exposure
0.195327274293793
GLD.US Exposure
0.021850918677146478
USO.US Exposure
-0.0014919240283081687
VNQ.US Exposure
-0.06788789886818672
BTC-USD.CC Exposure
-0.008070977582738956
CPER.US Exposure
-0.015801258786218526
VIX.INDX Exposure
-0.006473563749635691
UUP.US Exposure
-0.015856537268483784
TIP.US Exposure
0.011928006037048274
Idiosyncratic Exposure
0.23781850314857353
Value Score
36.8
Growth Score
50
Profit Score
37.5
Health Score
23.6
Yield Score
17.8
Moat Score
40

Factor Risk Decomposition

Share of annualised volatility attributable to each macro factor.

Total Est. Vol
22.4%

FundamentalsiCompany financial health metrics: P/E valuation, dividend yield, Piotroski F-Score (9-point profitability signal), Altman Z-Score (bankruptcy risk proxy), and a radar chart across 6 fundamental dimensions. Note: ETFs may show N/A for some metrics.

Fundamental Dimensions

Core Valuation

P/E Ratio (TTM)P/E RatioPrice-to-Earnings ratio — the market price of a stock divided by its earnings per share, a key valuation measure.Click for full definition →33.0x
Dividend YieldDividend YieldAnnual dividend paid per share divided by the current share price — expressed as a percentage income return.Click for full definition →1.48%
Market Cap$150.5B
Piotroski F-ScorePiotroski F-ScoreA 9-point scoring system evaluating a company's financial strength across profitability, leverage, and operating efficiency.Click for full definition →
9-point profitability signal
0.0/ 9
Weak
Altman Z-ScoreAltman Z-ScoreA bankruptcy prediction model that combines 5 financial ratios into a single score indicating financial distress risk.Click for full definition →
Bankruptcy risk proxy
1.18
Distress Zone
Income Simulation

Based on $10,000 initial investment.

Total Income Generated
$910
Avg Yield on Cost
9.10%
Annual Income Simulation Table
Historical Realised Yields
YearAnnual PayoutYield on CostQuality
2026$909.629.10%Solid

Momentum & MacroiPrice momentum indicators relative to key technical levels: distance from 50-Day SMA (intermediate trend), 200-Day SMA (long-term trend), 52-Week High (bullish proximity), and Beta (market sensitivity coefficient).

vs 50-Day SMAMoving Averages (SMA)A rolling average of an asset's price over a defined window — used to identify trends and momentum signals.Click for full definition →
+6.5%
Above/below 50-day moving average
vs 200-Day SMAMoving Averages (SMA)A rolling average of an asset's price over a defined window — used to identify trends and momentum signals.Click for full definition →
+23.6%
Above/below 200-day moving average
vs 52-Week High52-Week HighThe highest price an asset reached in the past 52 weeks — a key reference for momentum and valuation context.Click for full definition →
0.4% from high
Distance from 52-week high
BetaBetaA measure of an asset's sensitivity to broad market movements relative to a benchmark (e.g. S&P 500).Click for full definition →
0.93
Market sensitivity coefficient

Frequently Asked Questions & Methodology

Is ABB Ltd a high-risk investment?

ABB Ltd (ABBNY.US) has an annualized volatility of 22.4% and experienced a maximum drawdown of 31.0% over the last 10 years. Its primary macro risk driver is VEA.US.

What is the 10-year return of ABBNY.US?

Over the past 10 years, ABBNY.US has generated a Compound Annual Growth Rate (CAGR) of 20.7%. It has had a positive return in 80% of the years measured.

Data Methodology & Trust

The risk and return information on this page is pre-calculated mathematically using daily market data spanning a 10-year period. Fundamentals (such as P/E Ratio, Market Cap, and Dividend Yield) represent trailing averages and may not immediately reflect real-time live market fluctuations. Advanced scoring models like the Piotroski F-Score and Altman Z-Score are proxies applied to publicly available trailing-twelve-month financial statements and may not account for recent off-balance-sheet events, qualitative company shifts, or sector-specific capital structures. Macroeconomic factor exposures are estimated via multivariate regression against standard market indices. This data is provided for quantitative insight and backtesting research, and should not be misconstrued as tailored financial advice.

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