BAE Systems plc

10-Year Study

BA.LSE · Industrials · GB · Common Stock

Executive Summary: BAE Systems plc has compounded at 20.5% annually over the last 10 years, with a maximum drawdown of 34.1% and an annualized volatility of 30.9%.

1Y CAGR
+19.1%
3Y CAGR
+37.2%
5Y CAGR
+37.2%
10Y CAGR
+20.5%

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 →
34.1%
Sharpe RatioSharpe RatioRisk-adjusted return: how much excess return you earn per unit of total risk (volatility).Click for full definition →
0.76
Sortino RatioSortino RatioLike Sharpe, but only penalizes downside volatility — a more accurate risk measure for asymmetric return distributions.Click for full definition →
1.35
Ann. VolatilityAnnualized VolatilityThe annualized standard deviation of an asset's returns — a measure of how much prices fluctuate.Click for full definition →
24.6%
Best YearBest & Worst YearThe single calendar year with the highest and lowest return in the measured period.Click for full definition →
2022 · +60.9%
Worst YearBest & Worst YearThe single calendar year with the highest and lowest return in the measured period.Click for full definition →
2018 · -16.7%
% 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.
202615.27.04.20.8————————29.3%
20256.614.910.912.69.6-0.8-4.4-2.617.2-8.5-11.83.852.1%
20246.05.58.70.24.4-5.2-1.75.1-9.22.0-1.8-6.45.9%
20230.14.89.44.9-8.5-0.10.58.2-1.011.8-4.95.833.3%
20225.024.7-0.35.22.29.8-7.30.81.84.51.04.160.9%
2021-5.54.74.43.04.0-0.910.3-1.3-0.6-0.7-0.70.317.6%
202011.8-3.6-14.2-2.6-2.4-2.61.48.9-7.2-15.927.0-3.0-9.3%
201911.5-8.93.55.1-8.49.510.7-0.54.52.8-0.5-1.528.4%
20183.7-2.50.37.44.61.21.0-7.23.9-15.1-6.6-6.5-16.7%
2017-1.68.22.0-0.46.1-4.8-5.11.04.0-4.7-7.03.80.3%
2016———-3.91.38.41.90.8-2.75.210.7-1.521.0%

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 30.9%. The dominant macroeconomic risk driver is VTI.US, accounting for 28.1% of variance. Idiosyncratic stock-specific factors contribute 30.9%.

10-Year Historical Price Series (Growth of $10,000)
DateSimulated Value
2016-03-0110000
2016-04-019612.581361485358
2016-05-019739.461893292122
2016-06-0110553.097672285185
2016-07-0110754.492197472266
2016-08-0110845.118757287273
2016-09-0110553.097672285185
2016-10-0111098.115345887276
2016-11-0112284.64194808322
2016-12-0112100.526232234673
2017-01-0111906.17938545695
2017-02-0112888.133590055575
2017-03-0113143.850482079617
2017-04-0113090.437673105462
2017-05-0113894.238508950077
2017-06-0113226.145938280082
2017-07-0112558.053367610084
2017-08-0112683.31845769119
2017-09-0113184.389978234783
2017-10-0112570.75648708665
2017-11-0111691.758094437217
2017-12-0112136.55141973333
2018-01-0112581.34753508424
2018-02-0112272.10902194908
2018-03-0112314.470423884653
2018-04-0113227.831131375588
2018-05-0113842.678296359061
2018-06-0114002.883242624002
2018-07-0114141.440153743179
2018-08-0113119.58537553719
2018-09-0113634.841534652896
2018-10-0111569.230048108913
2018-11-0110810.12310000756
2018-12-0110103.823518990088
2019-01-0111261.185678425538
2019-02-0110253.445787421817
2019-03-0110614.294734134282
2019-04-0111157.641164914838
2019-05-0110218.048362251786
2019-06-0111189.26085589395
2019-07-0112390.853753976873
2019-08-0112323.094483252557
2019-09-0112874.200056414908
2019-10-0113238.288256743073
2019-11-0113173.95796336044
2019-12-0112976.371862967015
2020-01-0114506.518823523173
2020-02-0113978.09081572553
2020-03-0111988.441360999888
2020-04-0111680.572764768527
2020-05-0111400.275490010348
2020-06-0111106.195344570371
2020-07-0111262.424462754023
2020-08-0112260.287559787386
2020-09-0111373.091986153517
2020-10-019560.778414127275
2020-11-0112137.611640555007
2020-12-0111771.556451597151
2021-01-0111128.55205363378
2021-02-0111653.551084089739
2021-03-0112161.695393535832
2021-04-0112531.006576438152
2021-05-0113036.009284186332
2021-06-0112922.135987828664
2021-07-0114258.909830730165
2021-08-0114070.770855868837
2021-09-0113991.555620160823
2021-10-0113890.569586896116
2021-11-0113799.945817135904
2021-12-0113840.223048140444
2022-01-0114529.969234065788
2022-02-0118114.631633250643
2022-03-0118059.2518356468
2022-04-0119005.998338801375
2022-05-0119416.937139228477
2022-06-0121322.675696027993
2022-07-0119776.511030900136
2022-08-0119935.750618206388
2022-09-0120285.051528126958
2022-10-0121189.06276200358
2022-11-0121402.40988192767
2022-12-0122271.41150825061
2023-01-0122292.225317013
2023-02-0123364.16715887883
2023-03-0125565.291606761864
2023-04-0126818.718142805603
2023-05-0124549.44102647232
2023-06-0124517.704153191862
2023-07-0124634.077338644853
2023-08-0126646.803336570723
2023-09-0126390.252218163314
2023-10-0129515.562786137558
2023-11-0128071.865673369957
2023-12-0129689.338558919957
2024-01-0131467.225644844435
2024-02-0133205.00569310681
2024-03-0136079.029976069694
2024-04-0136144.4707112603
2024-05-0137744.26580963623
2024-06-0135791.97518860073
2024-07-0135168.328190797336
2024-08-0136957.92513669176
2024-09-0133554.97621617791
2024-10-0134214.59818049366
2024-11-0133585.047426746416
2024-12-0131436.370428878847
2025-01-0133502.933324107544
2025-02-0138498.26416740998
2025-03-0142686.13083292342
2025-04-0148044.32225244471
2025-05-0152670.09359796817
2025-06-0152254.60700822703
2025-07-0149969.41820940421
2025-08-0148681.40336408066
2025-09-0157032.72371566104
2025-10-0152201.92519360888
2025-11-0146049.854373090035
2025-12-0147821.5391672077
2026-01-0155075.681631311556
2026-02-0158925.95724687437
2026-03-0161381.20546549414
2026-04-0161841.564506485345
Annual Return Matrix
YearAnnual Return
20170.002977158745599784
2018-0.1674880969431024
20190.28430309957195776
2020-0.09284686228885441
20210.17573433088898072
20220.6091800999726642
20230.33306946207344446
20240.05884374508687085
20250.5212169380494609
20260.293173862310385
Total Factor Risk
0.30927380726604814
VTI.US Exposure
0.2811625836275121
VEA.US Exposure
0.0020490064999308414
VWO.US Exposure
0.020200496430069815
QQQ.US Exposure
0.02115927851020272
VTV.US Exposure
-0.0043049819464704535
IJR.US Exposure
0.02803133456018405
QUAL.US Exposure
-0.0006841943523478257
SHV.US Exposure
0.12959900117805853
TLT.US Exposure
0.0024153275197173574
LQD.US Exposure
0.09740488711523271
HYG.US Exposure
0.004734462562109441
GLD.US Exposure
0.0009754733481101425
USO.US Exposure
0.017100003338338957
VNQ.US Exposure
-0.001502791297647912
BTC-USD.CC Exposure
0.01996955040251224
CPER.US Exposure
-0.0006666250538977667
VIX.INDX Exposure
-0.011287663529078439
UUP.US Exposure
0.004443111825069533
TIP.US Exposure
0.07998750969406594
Idiosyncratic Exposure
0.30921422956832806
Value Score
36.5
Growth Score
50
Profit Score
37.5
Health Score
23.6
Yield Score
19
Moat Score
40

Factor Risk Decomposition

Share of annualised volatility attributable to each macro factor.

Total Est. Vol
30.9%

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 →33.7x
Dividend YieldDividend YieldAnnual dividend paid per share divided by the current share price — expressed as a percentage income return.Click for full definition →1.58%
Market Cap$67.1B
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
$0
Avg Yield on Cost
0.00%

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 →
+2.8%
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 →
+15.3%
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 →
4.9% 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 →
-0.01
Market sensitivity coefficient

Frequently Asked Questions & Methodology

Is BAE Systems plc a high-risk investment?

BAE Systems plc (BA.LSE) has an annualized volatility of 30.9% and experienced a maximum drawdown of 34.1% over the last 10 years. Its primary macro risk driver is VTI.US.

What is the 10-year return of BA.LSE?

Over the past 10 years, BA.LSE has generated a Compound Annual Growth Rate (CAGR) of 20.5%. 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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