ABC arbitrage SA

10-Year Study

ABCA.PA · Financial Services · FR · Common Stock

Executive Summary: ABC arbitrage SA has compounded at 3.9% annually over the last 10 years, with a maximum drawdown of 44.8% and an annualized volatility of 17.9%.

1Y CAGR
-10.8%
3Y CAGR
+0.9%
5Y CAGR
+0.3%
10Y CAGR
+3.9%

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 →
44.8%
Sharpe RatioSharpe RatioRisk-adjusted return: how much excess return you earn per unit of total risk (volatility).Click for full definition →
0.16
Sortino RatioSortino RatioLike Sharpe, but only penalizes downside volatility — a more accurate risk measure for asymmetric return distributions.Click for full definition →
0.22
Ann. VolatilityAnnualized VolatilityThe annualized standard deviation of an asset's returns — a measure of how much prices fluctuate.Click for full definition →
17.8%
Best YearBest & Worst YearThe single calendar year with the highest and lowest return in the measured period.Click for full definition →
2025 · +19.6%
Worst YearBest & Worst YearThe single calendar year with the highest and lowest return in the measured period.Click for full definition →
2023 · -19.9%
% Positive Years% Positive YearsThe percentage of calendar years in the measurement period where the asset delivered a positive return.Click for full definition →
60%

Annual Returns

Rolling 12-Month Returns

Rolling 12-Month Annualised Volatility

Historical Drawdowns

Monthly Returns

Monthly Returns Heatmap

YearJanFebMarAprMayJunJulAugSepOctNovDecAnn.
20261.34.9-8.40.4————————-2.2%
20256.51.89.87.41.73.6-0.9-4.8-1.5-6.74.7-2.019.6%
2024-7.9-18.66.46.36.5-9.14.97.75.39.6-0.90.66.7%
20230.5-1.2-5.21.51.8-3.61.72.7-4.9-15.24.9-3.3-19.9%
2022-0.6-1.05.7-0.4-1.0-2.91.20.4-9.03.82.3-2.1-4.3%
20211.90.5-2.60.00.6-1.34.91.1-3.33.21.8-0.16.7%
2020-0.9-1.8-4.92.39.00.62.0-1.98.1-2.32.01.613.6%
20191.50.6-1.57.7-4.11.12.20.25.42.3-0.42.017.7%
20186.17.4-6.02.1-0.74.43.20.0-12.62.23.4-4.92.7%
2017-5.3-1.61.0-4.0-1.20.5-4.5-1.31.80.66.1-1.3-9.3%
2016———9.29.8-5.40.0-2.37.918.32.4-4.837.9%

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 17.9%. The dominant macroeconomic risk driver is QUAL.US, accounting for 21.5% of variance. Idiosyncratic stock-specific factors contribute 54.5%.

10-Year Historical Price Series (Growth of $10,000)
DateSimulated Value
2016-03-0110000
2016-04-0110921.988171971561
2016-05-0111988.836467539371
2016-06-0111337.962655325937
2016-07-0111337.962655325937
2016-08-0111076.483487274903
2016-09-0111954.282676589806
2016-10-0114139.809954149778
2016-11-0114478.370655857532
2016-12-0113787.959332846036
2017-01-0113059.33949099608
2017-02-0112848.362017409796
2017-03-0112982.59020532926
2017-04-0112464.947837065587
2017-05-0112311.449265731942
2017-06-0112368.928167984583
2017-07-0111808.425809023856
2017-08-0111653.930493720514
2017-09-0111866.236959266396
2017-10-0111943.31849292312
2017-11-0112669.280350853878
2017-12-0112509.80131570204
2018-01-0113266.66223669347
2018-02-0114242.806831018675
2018-03-0113386.271513057347
2018-04-0113665.359824573065
2018-05-0113565.685427603164
2018-06-0114163.067313442756
2018-07-0114617.582563625492
2018-08-0114617.582563625492
2018-09-0112774.93521164197
2018-10-0113061.665226925375
2018-11-0113501.893813542427
2018-12-0112847.033025450197
2019-01-0113037.078875672803
2019-02-0113121.802113097216
2019-03-0112931.424014884711
2019-04-0113924.513256694798
2019-05-0113354.043458037082
2019-06-0113501.893813542427
2019-07-0113801.581500431923
2019-08-0113823.5098677653
2019-09-0114568.40986112034
2019-10-0114901.322346999803
2019-11-0114834.872749019869
2019-12-0115126.25423616187
2020-01-0114990.697056282808
2020-02-0114719.914944514585
2020-03-0113997.275566482826
2020-04-0114313.575652867301
2020-05-0115598.046381819391
2020-06-0115689.746827031697
2020-07-0116011.030633264669
2020-08-0115711.342946375175
2020-09-0116978.536779852482
2020-10-0116582.164927902188
2020-11-0116909.096949963452
2020-12-0117187.52076549937
2021-01-0117518.772011429333
2021-02-0117613.462688550735
2021-03-0117163.931158216496
2021-04-0117168.58263007509
2021-05-0117264.60229915609
2021-06-0117048.641105721315
2021-07-0117881.254568409862
2021-08-0118080.93561033956
2021-09-0117481.56023656057
2021-10-0118034.420891753605
2021-11-0118364.010897734068
2021-12-0118342.08253040069
2022-01-0118239.417901521698
2022-02-0118059.67173898598
2022-03-0119086.98252375573
2022-04-0119001.262542361623
2022-05-0118818.858395906707
2022-06-0118272.310452521764
2022-07-0118482.62343012825
2022-08-0118561.69845172437
2022-09-0116898.132766296763
2022-10-0117532.061931025317
2022-11-0117934.081998803907
2022-12-0117552.6613063991
2023-01-0117634.394311914413
2023-02-0117416.771878530137
2023-03-0116518.705561831353
2023-04-0116761.246594458105
2023-05-0117065.585753206193
2023-06-0116456.907435710014
2023-07-0116739.318227124728
2023-08-0117190.178749418566
2023-09-0116344.93986311383
2023-10-0113861.053890623962
2023-11-0114534.852814140475
2023-12-0114054.422220745566
2024-01-0112943.0526945312
2024-02-0110529.935543889958
2024-03-0111202.737723436772
2024-04-0111908.432453983654
2024-05-0112688.21848627816
2024-06-0111533.324473386936
2024-07-0112103.462024054756
2024-08-0113033.091899794006
2024-09-0113723.1709748156
2024-10-0115045.850222606154
2024-11-0114907.967306797796
2024-12-0114999.335504020202
2025-01-0115969.831882517114
2025-02-0116251.910425941922
2025-03-0117848.694265399692
2025-04-0119172.038009170046
2025-05-0119490.33158349392
2025-06-0120191.042594192306
2025-07-0120000.332247989903
2025-08-0119038.806565220282
2025-09-0118750.415309987377
2025-10-0117491.19542826766
2025-11-0118306.86424347133
2025-12-0117941.391454581702
2026-01-0118173.96504751146
2026-02-0119071.03462024055
2026-03-0117476.244268722174
2026-04-0117542.69386670211
Annual Return Matrix
YearAnnual Return
2017-0.09270102894045629
20180.02695739934133634
20190.17741226368738205
20200.13627078436971463
20210.06717442152674424
2022-0.043038800130420496
2023-0.19929964035585845
20240.06723245313349557
20250.19614575257503608
2026-0.022222222222222254
Total Factor Risk
0.17939739702040125
VTI.US Exposure
0.0022979014252262836
VEA.US Exposure
0.02239893900602506
VWO.US Exposure
0.030802969577807527
QQQ.US Exposure
-0.020503219601986304
VTV.US Exposure
0.027284294068279924
IJR.US Exposure
-0.00008191595085019756
QUAL.US Exposure
0.21543291435720663
SHV.US Exposure
0.003992630871988608
TLT.US Exposure
0.01398464843556111
LQD.US Exposure
0.08669114787782675
HYG.US Exposure
-0.0003990131657121791
GLD.US Exposure
0.010251683985149068
USO.US Exposure
0.00021606134539178083
VNQ.US Exposure
0.05038910425862188
BTC-USD.CC Exposure
-0.00048135574412317263
CPER.US Exposure
0.0030757247554317967
VIX.INDX Exposure
0.00415519862274261
UUP.US Exposure
0.006379832289250285
TIP.US Exposure
-0.0012417296919897975
Idiosyncratic Exposure
0.5453541832781523
Value Score
45
Growth Score
50
Profit Score
37.5
Health Score
23.6
Yield Score
76.3
Moat Score
40

Factor Risk Decomposition

Share of annualised volatility attributable to each macro factor.

Total Est. Vol
17.9%

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 →12.6x
Dividend YieldDividend YieldAnnual dividend paid per share divided by the current share price — expressed as a percentage income return.Click for full definition →6.36%
Market Cap$315.1M
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
$664
Avg Yield on Cost
3.32%
Annual Income Simulation Table
Historical Realised Yields
YearAnnual PayoutYield on CostQuality
2025$332.253.32%Solid
2026$332.253.32%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 →
-4.4%
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 →
-5.2%
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 →
15.3% 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 →
0.34
Market sensitivity coefficient

Frequently Asked Questions & Methodology

Is ABC arbitrage SA a high-risk investment?

ABC arbitrage SA (ABCA.PA) has an annualized volatility of 17.9% and experienced a maximum drawdown of 44.8% over the last 10 years. Its primary macro risk driver is QUAL.US.

What is the 10-year return of ABCA.PA?

Over the past 10 years, ABCA.PA has generated a Compound Annual Growth Rate (CAGR) of 3.9%. It has had a positive return in 60% 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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