Alibaba Group Holding Ltd

10-Year Study

BABA.US · Consumer Cyclical · US · Common Stock

Executive Summary: Alibaba Group Holding Ltd has compounded at 5.8% annually over the last 10 years, with a maximum drawdown of 79.1% and an annualized volatility of 52.8%.

1Y CAGR
+25.0%
3Y CAGR
+22.2%
5Y CAGR
-7.9%
10Y CAGR
+5.8%

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 →
79.1%
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 →
0.52
Ann. VolatilityAnnualized VolatilityThe annualized standard deviation of an asset's returns — a measure of how much prices fluctuate.Click for full definition →
41.2%
Best YearBest & Worst YearThe single calendar year with the highest and lowest return in the measured period.Click for full definition →
2017 · +96.4%
Worst YearBest & Worst YearThe single calendar year with the highest and lowest return in the measured period.Click for full definition →
2021 · -49.0%
% Positive Years% Positive YearsThe percentage of calendar years in the measurement period where the asset delivered a positive return.Click for full definition →
50%

Annual Returns

Rolling 12-Month Returns

Rolling 12-Month Annualised Volatility

Historical Drawdowns

Monthly Returns

Monthly Returns Heatmap

YearJanFebMarAprMayJunJulAugSepOctNovDecAnn.
202615.7-15.0-12.910.5————————-5.5%
202516.634.1-0.2-9.7-4.70.46.411.932.4-4.6-7.7-6.874.2%
2024-6.92.6-2.33.44.7-7.39.55.727.3-7.7-10.8-3.010.3%
202325.1-20.316.4-17.1-6.14.822.6-9.1-6.6-4.8-9.34.9-10.8%
20225.9-16.43.4-10.8-1.118.4-21.46.8-16.2-20.537.70.6-25.8%
20219.1-6.3-4.61.9-7.46.0-13.9-14.4-11.311.4-22.7-6.9-49.0%
2020-2.60.7-6.54.22.34.016.414.32.43.6-13.6-11.69.7%
201922.98.6-0.31.7-19.613.52.21.1-4.55.613.26.054.7%
201818.5-8.9-1.4-2.710.9-6.30.9-6.5-5.9-13.613.1-14.8-20.5%
201715.41.64.87.16.015.110.010.80.67.1-4.2-2.696.4%
2016———-2.66.6-3.03.717.88.8-3.9-7.5-6.611.1%

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 52.8%. The dominant macroeconomic risk driver is VWO.US, accounting for 59.1% of variance. Idiosyncratic stock-specific factors contribute 24.2%.

10-Year Historical Price Series (Growth of $10,000)
DateSimulated Value
2016-03-0110000
2016-04-019735.542641418922
2016-05-0110375.79616173783
2016-06-0110063.262757489721
2016-07-0110436.543009028599
2016-08-0112297.860303108519
2016-09-0113386.050125274078
2016-10-0112867.264227928428
2016-11-0111896.735573927348
2016-12-0111110.963371997528
2017-01-0112819.17514645726
2017-02-0113020.369747548619
2017-03-0113644.172083043286
2017-04-0114614.700737044366
2017-05-0115495.373593110839
2017-06-0117828.665211870924
2017-07-0119606.462108828106
2017-08-0121730.972288487563
2017-09-0121853.717420266505
2017-10-0123394.9014362849
2017-11-0122406.67016026218
2017-12-0121818.286104614937
2018-01-0125849.66067801825
2018-02-0123553.064847911275
2018-03-0123224.08025883893
2018-04-0122591.413576529296
2018-05-0125055.024129273464
2018-06-0123475.87985160041
2018-07-0123690.98365570877
2018-08-0122144.741747684187
2018-09-0120847.770486417994
2018-10-0118003.27980832154
2018-11-0120354.287084907406
2018-12-0117344.03312137116
2019-01-0121319.74481109816
2019-02-0123159.53999254352
2019-03-0123086.161451041433
2019-04-0123480.93774360659
2019-05-0118886.4816103911
2019-06-0121441.21243407142
2019-07-0121904.322411936628
2019-08-0122147.270693687286
2019-09-0121160.303890666102
2019-10-0122354.78765978637
2019-11-0125306.836757839083
2019-12-0126837.89195404097
2020-01-0126140.685005435935
2020-02-0126319.106056695317
2020-03-0124608.365336232502
2020-04-0125644.67265792225
2020-05-0126241.921060384455
2020-06-0127293.415093896896
2020-07-0131762.597149330355
2020-08-0136319.09302089118
2020-09-0137198.51443976025
2020-10-0138553.69056650998
2020-11-0133324.03880498176
2020-12-0129448.298697201735
2021-01-0132118.161743043445
2021-02-0130084.758798516003
2021-03-0128689.09346410852
2021-04-0129223.066073276863
2021-05-0127073.253397782348
2021-06-0128695.41582911625
2021-07-0124698.19506255883
2021-08-0121129.943502824863
2021-09-0118733.37609077091
2021-10-0120870.54403624996
2021-11-0116136.904622235434
2021-12-0115030.98610643995
2022-01-0115916.729890316745
2022-02-0113310.129601964758
2022-03-0113766.917214822231
2022-04-0112285.20253728892
2022-05-0112153.606094499151
2022-06-0114384.39718530917
2022-07-0111308.35151828011
2022-08-0112072.627679183648
2022-09-0110121.46762297326
2022-10-018045.046524784975
2022-11-0111079.325475350599
2022-12-0111146.394687649097
2023-01-0113944.060757275933
2023-02-0111108.434425994436
2023-03-0112929.262512416604
2023-04-0110716.174043628229
2023-05-0110065.791703492812
2023-06-0110546.617339183804
2023-07-0112926.733566413513
2023-08-0111755.023347125212
2023-09-0110975.573510203125
2023-10-0110444.129847037873
2023-11-019474.878701842481
2023-12-019939.500832987884
2024-01-019254.730041532071
2024-02-019493.246149875247
2024-03-019279.093959469079
2024-04-019598.392946065665
2024-05-0110045.938173788127
2024-06-019311.683469818205
2024-07-0110197.583683344676
2024-08-0110778.263578745382
2024-09-0113724.381385914554
2024-10-0112671.648951008843
2024-11-0111299.461099856866
2024-12-0110965.796657098386
2025-01-0112782.870431928335
2025-02-0117137.363482541146
2025-03-0117101.16305444534
2025-04-0115445.746286751191
2025-05-0114722.793624970343
2025-06-0114783.905474777024
2025-07-0115725.09053365975
2025-08-0117598.33558852745
2025-09-0123298.892738796378
2025-10-0122216.920995205433
2025-11-0120505.319911669394
2025-12-0119107.881707898916
2026-01-0122103.50949919048
2026-02-0118785.897345649562
2026-03-0116354.719873604843
2026-04-0118066.320957140884
Annual Return Matrix
YearAnnual Return
20170.9636718594179332
2018-0.20506894821117028
20190.5473847268529235
20200.09726571474507018
2021-0.48958049288367755
2022-0.2584388935817403
2023-0.10827661216756723
20240.10325426209577482
20250.7424982703404401
2026-0.05450948287624513
Total Factor Risk
0.527535423786007
VTI.US Exposure
-0.06487976590704517
VEA.US Exposure
-0.09746940460863368
VWO.US Exposure
0.5909066749763163
QQQ.US Exposure
0.007883672700304245
VTV.US Exposure
0.054191148469878714
IJR.US Exposure
-0.010630581827108125
QUAL.US Exposure
0.09446615353630093
SHV.US Exposure
0.08911856962671591
TLT.US Exposure
0.010551946728414198
LQD.US Exposure
0.09434695534172197
HYG.US Exposure
-0.008855718676977892
GLD.US Exposure
-0.003183100589358269
USO.US Exposure
-0.0017506283488383457
VNQ.US Exposure
-0.008725939013346435
BTC-USD.CC Exposure
0.002876488663443916
CPER.US Exposure
-0.00470877393770786
VIX.INDX Exposure
-0.0024326028769014563
UUP.US Exposure
0.00046864799712900517
TIP.US Exposure
0.01606514393310208
Idiosyncratic Exposure
0.24176111381259008
Value Score
41.3
Growth Score
50
Profit Score
37.5
Health Score
23.6
Yield Score
10.3
Moat Score
40

Factor Risk Decomposition

Share of annualised volatility attributable to each macro factor.

Total Est. Vol
52.8%

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 →21.8x
Dividend YieldDividend YieldAnnual dividend paid per share divided by the current share price — expressed as a percentage income return.Click for full definition →0.86%
Market Cap$291.4B
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 →
-0.1%
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 →
-5.6%
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 →
26.8% 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 →
0.49
Market sensitivity coefficient

Frequently Asked Questions & Methodology

Is Alibaba Group Holding Ltd a high-risk investment?

Alibaba Group Holding Ltd (BABA.US) has an annualized volatility of 52.8% and experienced a maximum drawdown of 79.1% over the last 10 years. Its primary macro risk driver is VWO.US.

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

Over the past 10 years, BABA.US has generated a Compound Annual Growth Rate (CAGR) of 5.8%. It has had a positive return in 50% 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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