ASX Ltd

10-Year Study

ASX.AU · Financial Services · AU · Common Stock

Executive Summary: ASX Ltd has compounded at 6.6% annually over the last 10 years, with a maximum drawdown of 36.7% and an annualized volatility of 65.2%.

1Y CAGR
-15.3%
3Y CAGR
-0.9%
5Y CAGR
-1.8%
10Y CAGR
+6.6%

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 →
36.7%
Sharpe RatioSharpe RatioRisk-adjusted return: how much excess return you earn per unit of total risk (volatility).Click for full definition →
0.25
Sortino RatioSortino RatioLike Sharpe, but only penalizes downside volatility — a more accurate risk measure for asymmetric return distributions.Click for full definition →
0.43
Ann. VolatilityAnnualized VolatilityThe annualized standard deviation of an asset's returns — a measure of how much prices fluctuate.Click for full definition →
18.5%
Best YearBest & Worst YearThe single calendar year with the highest and lowest return in the measured period.Click for full definition →
2019 · +36.9%
Worst YearBest & Worst YearThe single calendar year with the highest and lowest return in the measured period.Click for full definition →
2022 · -24.5%
% 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.
202611.4-5.8-1.213.0————————17.0%
2025-2.57.3-2.78.60.8-2.20.4-9.2-6.3-3.73.1-11.6-18.2%
20244.10.22.6-4.2-2.0-3.88.3-4.24.41.71.6-1.56.6%
20231.4-1.3-2.85.3-1.5-6.6-1.4-7.31.2-1.73.58.6-3.8%
2022-10.5-1.00.86.0-6.81.18.0-11.1-7.1-5.74.1-3.5-24.5%
2021-0.3-5.86.92.74.51.9-1.114.2-6.52.58.92.732.9%
20209.3-13.55.65.88.1-3.2-3.25.7-5.9-1.7-3.2-6.6-5.4%
20196.39.51.86.71.78.77.9-2.9-3.31.5-0.7-4.036.9%
2018-0.26.7-2.24.63.46.22.03.0-4.3-7.11.9-0.613.2%
20170.32.70.50.50.84.9-2.44.6-2.33.05.9-4.014.7%
2016———5.61.82.88.62.9-4.0-2.13.22.222.5%

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 65.2%. The dominant macroeconomic risk driver is SHV.US, accounting for 87.7% of variance. Idiosyncratic stock-specific factors contribute 4.8%.

10-Year Historical Price Series (Growth of $10,000)
DateSimulated Value
2016-03-0110000
2016-04-0110555.147815350847
2016-05-0110743.39803827423
2016-06-0111045.133411070718
2016-07-0111996.12456272721
2016-08-0112346.11427395569
2016-09-0111856.746004527058
2016-10-0111603.162082447356
2016-11-0111979.868303724534
2016-12-0112245.764455723986
2017-01-0112282.666849578161
2017-02-0112612.593456341312
2017-03-0112677.927155497633
2017-04-0112738.185060703752
2017-05-0112838.63776665066
2017-06-0113463.989299677616
2017-07-0113134.988682351328
2017-08-0113732.73201179779
2017-09-0113418.20426641059
2017-10-0113814.87070443789
2017-11-0114623.60244186844
2017-12-0114040.091913025582
2018-01-0114009.36278208382
2018-02-0114943.514644351464
2018-03-0114616.331709993827
2018-04-0115286.405103230674
2018-05-0115807.840043898757
2018-06-0116788.18849029426
2018-07-0117127.134920090542
2018-08-0117635.53741683243
2018-09-0116874.854242403457
2018-10-0115684.683448796215
2018-11-0115981.548803072912
2018-12-0115888.778379861444
2019-01-0116888.126757665137
2019-02-0118494.4783592839
2019-03-0118819.432059812058
2019-04-0120075.142328006037
2019-05-0120411.962411688044
2019-06-0122195.829617943615
2019-07-0123941.971328623364
2019-08-0123257.527951162632
2019-09-0122485.561423965977
2019-10-0122832.258728307836
2019-11-0122663.077028602784
2019-12-0121747.787914123055
2020-01-0123761.40338843542
2020-02-0120563.44742437753
2020-03-0121723.266341998766
2020-04-0122980.074079154947
2020-05-0124848.34350778517
2020-06-0124059.331915769257
2020-07-0123290.04046916798
2020-08-0124611.633170999383
2020-09-0123161.019274298647
2020-10-0122763.66691816997
2020-11-0122043.281432196996
2020-12-0120582.48165169079
2021-01-0120522.463817820153
2021-02-0119324.679333287604
2021-03-0120649.255778860006
2021-04-0121210.16530626243
2021-05-0122163.419987653473
2021-06-0122584.848069140546
2021-07-0122346.525824816516
2021-08-0125508.57397626723
2021-09-0123845.942794430342
2021-10-0124440.63378832567
2021-11-0126622.09342204541
2021-12-0127349.235201316962
2022-01-0124490.671513821246
2022-02-0124237.499142602373
2022-03-0124425.440702380136
2022-04-0125879.621373208036
2022-05-0124126.86055284999
2022-06-0124398.587008711158
2022-07-0126354.41388298237
2022-08-0123425.13203923451
2022-09-0121773.406955209546
2022-10-0120541.498045133412
2022-11-0121381.987790657793
2022-12-0120638.589752383567
2023-01-0120926.846834487966
2023-02-0120644.660127580766
2023-03-0120074.69648124014
2023-04-0121139.85870087112
2023-05-0120818.78043761575
2023-06-0119451.025447561562
2023-07-0119176.246656149255
2023-08-0117780.71198298923
2023-09-0117991.63179916318
2023-10-0117679.779134371354
2023-11-0118294.018794155978
2023-12-0119862.610604293848
2024-01-0120681.562521434942
2024-02-0120716.201385554563
2024-03-0121247.856505933192
2024-04-0120348.96083407641
2024-05-0119945.88106180122
2024-06-0119194.114822690168
2024-07-0120784.00438987585
2024-08-0119921.11941834145
2024-09-0120802.970025378967
2024-10-0121157.65827560189
2024-11-0121496.090266822142
2024-12-0121177.172645586114
2025-01-0120656.526510734617
2025-02-0122156.183551683927
2025-03-0121547.534124425543
2025-04-0123396.632142122227
2025-05-0123585.19102819123
2025-06-0123075.759654297275
2025-07-0123171.685300775083
2025-08-0121051.10089855271
2025-09-0119721.517250840247
2025-10-0119001.166060772342
2025-11-0119590.232526236367
2025-12-0117314.802112627753
2026-01-0119280.574799368955
2026-02-0118163.111324507852
2026-03-0117936.758351052882
2026-04-0120262.02071472666
Annual Return Matrix
YearAnnual Return
20170.1465263735709763
20180.13167196328114894
20190.36875141651467236
2020-0.05358274906090621
20210.32876276360340184
2022-0.24536866934437196
2023-0.037598457908205596
20240.06618274241393474
2025-0.182383673099222
20260.17021381953591552
Total Factor Risk
0.6515538350175463
VTI.US Exposure
-0.005694528454851456
VEA.US Exposure
0.01835361414320913
VWO.US Exposure
-0.0003032072984774102
QQQ.US Exposure
0.0006766043040034478
VTV.US Exposure
-0.0028883629126465957
IJR.US Exposure
0.010103801814567088
QUAL.US Exposure
0.010900446981966039
SHV.US Exposure
0.8770740621371369
TLT.US Exposure
-0.0030927897515843302
LQD.US Exposure
0.04480192654011149
HYG.US Exposure
-0.000008372166760001113
GLD.US Exposure
0.000845159697136502
USO.US Exposure
0.00041020664052138944
VNQ.US Exposure
0.0006482885867178988
BTC-USD.CC Exposure
0.0011027478148524562
CPER.US Exposure
0.0006403972411563053
VIX.INDX Exposure
-0.0024627568089526574
UUP.US Exposure
0.0010160891087768415
TIP.US Exposure
-0.00003247058842150597
Idiosyncratic Exposure
0.04790914297153857
Value Score
42.2
Growth Score
50
Profit Score
37.5
Health Score
23.6
Yield Score
48.1
Moat Score
40

Factor Risk Decomposition

Share of annualised volatility attributable to each macro factor.

Total Est. Vol
65.2%

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 →19.6x
Dividend YieldDividend YieldAnnual dividend paid per share divided by the current share price — expressed as a percentage income return.Click for full definition →4.01%
Market Cap$10.3B
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
$349
Avg Yield on Cost
3.49%
Annual Income Simulation Table
Historical Realised Yields
YearAnnual PayoutYield on CostQuality
2026$349.133.49%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 →
+11.5%
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 →
+3.4%
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 →
16.9% 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 →
0.33
Market sensitivity coefficient

Frequently Asked Questions & Methodology

Is ASX Ltd a high-risk investment?

ASX Ltd (ASX.AU) has an annualized volatility of 65.2% and experienced a maximum drawdown of 36.7% over the last 10 years. Its primary macro risk driver is SHV.US.

What is the 10-year return of ASX.AU?

Over the past 10 years, ASX.AU has generated a Compound Annual Growth Rate (CAGR) of 6.6%. 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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