Alibaba Group Holding Ltd

10-Year Study

BABAF.US · Consumer Cyclical · US · Common Stock

Executive Summary: Alibaba Group Holding Ltd has compounded at -7.9% annually over the last 10 years, with a maximum drawdown of 78.4% and an annualized volatility of 49.4%.

1Y CAGR
-9.4%
3Y CAGR
+5.2%
5Y CAGR
-9.8%
10Y CAGR
-7.9%

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 →
78.4%
Sharpe RatioSharpe RatioRisk-adjusted return: how much excess return you earn per unit of total risk (volatility).Click for full definition →
-0.06
Sortino RatioSortino RatioLike Sharpe, but only penalizes downside volatility — a more accurate risk measure for asymmetric return distributions.Click for full definition →
-0.13
Ann. VolatilityAnnualized VolatilityThe annualized standard deviation of an asset's returns — a measure of how much prices fluctuate.Click for full definition →
45.9%
Best YearBest & Worst YearThe single calendar year with the highest and lowest return in the measured period.Click for full definition →
2025 · +77.8%
Worst YearBest & Worst YearThe single calendar year with the highest and lowest return in the measured period.Click for full definition →
2021 · -49.8%
% Positive Years% Positive YearsThe percentage of calendar years in the measurement period where the asset delivered a positive return.Click for full definition →
43%

Annual Returns

Rolling 12-Month Returns

Rolling 12-Month Annualised Volatility

Historical Drawdowns

Monthly Returns

Monthly Returns Heatmap

YearJanFebMarAprMayJunJulAugSepOctNovDecAnn.
202622.8-7.8-22.89.2-4.3-14.1——————-21.5%
202524.328.63.5-10.2-4.23.93.511.034.6-1.1-15.5-6.977.8%
2024-6.83.4-4.99.12.7-6.09.93.625.6-6.7-10.1-7.27.5%
202325.8-19.013.7-20.4-6.07.123.3-7.9-5.2-8.1-8.34.9-11.6%
20222.7-13.56.3-11.2-5.621.2-20.74.5-15.9-17.130.92.5-25.7%
202111.5-8.8-5.83.9-8.76.3-14.7-13.2-11.912.1-23.7-6.9-49.8%
2020-6.01.4-2.60.40.44.519.213.62.43.7-11.8-11.99.3%
2019———————————7.87.8%

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 49.4%. The dominant macroeconomic risk driver is VWO.US, accounting for 62.6% of variance. Idiosyncratic stock-specific factors contribute 32.9%.

10-Year Historical Price Series (Growth of $10,000)
DateSimulated Value
2019-11-0110000
2019-12-0110778.440320282283
2020-01-0110135.712831648232
2020-02-0110279.441202415688
2020-03-0110007.973128859334
2020-04-0110045.887901201058
2020-05-0110083.845083802675
2020-06-0110540.518762298976
2020-07-0112566.838569586753
2020-08-0114271.434145348443
2020-09-0114610.758634728913
2020-10-0115149.708217411957
2020-11-0113365.254122277262
2020-12-0111776.438556015471
2021-01-0113129.749949107687
2021-02-0111976.021239058153
2021-03-0111285.41256700821
2021-04-0111720.541833480356
2021-05-0110700.575083124111
2021-06-0111377.230779670217
2021-07-019704.570129605754
2021-08-018423.14412702721
2021-09-017424.764198955012
2021-10-018323.35278550587
2021-11-016347.289136187827
2021-12-015908.1733052860145
2022-01-016067.847933772138
2022-02-015247.082174119563
2022-03-015576.821944764877
2022-04-014950.083124109385
2022-05-014674.628486123363
2022-06-015666.646875212052
2022-07-014493.027753274073
2022-08-014695.791205808509
2022-09-013948.9041188844403
2022-10-013273.435909615254
2022-11-014283.436248897333
2022-12-014391.200719278007
2023-01-015522.960914704486
2023-02-014475.045803080681
2023-03-015089.824930447175
2023-04-014050.307050281604
2023-05-013808.3989278686304
2023-06-014079.8245911650943
2023-07-015029.941643482392
2023-08-014630.733867137138
2023-09-014391.200719278007
2023-10-014036.735767116781
2023-11-013700.592047228065
2023-12-013883.719549433399
2024-01-013620.7335278550586
2024-02-013742.111691660447
2024-03-013560.0444459523646
2024-04-013883.719549433399
2024-05-013988.8969939607787
2024-06-013750.805794937911
2024-07-014123.8040306711
2024-08-014271.731017167673
2024-09-015365.703671032096
2024-10-015005.216461966478
2024-11-014500.958471873516
2024-12-014175.883829816109
2025-01-015188.598425731152
2025-02-016672.2365474655635
2025-03-016908.546515573047
2025-04-016201.313021646197
2025-05-015937.945307728845
2025-06-016170.692814005565
2025-07-016384.8646264504305
2025-08-017087.6026328289345
2025-09-019542.308475266336
2025-10-019439.67564633236
2025-11-017973.12885933365
2025-12-017426.036506751714
2026-01-019118.20587636561
2026-02-018409.106331003597
2026-03-016490.890276175613
2026-04-017087.6026328289345
2026-05-016785.641582411617
2026-06-015831.410734884983
Annual Return Matrix
YearAnnual Return
20200.09259208253491091
2021-0.49830559747046055
2022-0.256758308807695
2023-0.11556774611023657
20240.07522795522795511
20250.7783149171270722
2026-0.2147344374643062
Total Factor Risk
0.4940645186222193
VTI.US Exposure
-0.02654698586464247
VEA.US Exposure
-0.015775561889790395
VWO.US Exposure
0.6262550062687993
QQQ.US Exposure
-0.05630328811063372
VTV.US Exposure
-0.04120147818296588
IJR.US Exposure
-0.017710516590798614
QUAL.US Exposure
0.10062864717400855
SHV.US Exposure
0.010167434840883862
TLT.US Exposure
-0.02468772713700981
LQD.US Exposure
0.1127419207295592
HYG.US Exposure
-0.014095182990933559
GLD.US Exposure
0.01911889902849388
USO.US Exposure
-0.0004234594628256065
VNQ.US Exposure
0.023819968201456692
BTC-USD.CC Exposure
0.009750611081829333
CPER.US Exposure
-0.014475683565381122
VIX.INDX Exposure
-0.00416366487162604
UUP.US Exposure
-0.013683310164339513
TIP.US Exposure
-0.002741466841310983
Idiosyncratic Exposure
0.32932583834722695
Value Score
40.6
Growth Score
50
Profit Score
37.5
Health Score
23.6
Yield Score
100
Moat Score
40

Factor Risk Decomposition

Share of annualised volatility attributable to each macro factor.

Total Est. Vol
49.4%

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 →23.5x
Forward P/EForward P/E RatioA valuation metric that compares the current stock price to estimated future earnings per share.Click for full definition →No estimate availableN/A
Dividend YieldDividend YieldAnnual dividend paid per share divided by the current share price — expressed as a percentage income return.Click for full definition →34.06%
Squeeze RiskShort Squeeze RiskA situation where a sharp rise in the price of a stock forces short sellers to buy shares to cover their positions, further driving up the price.Click for full definition →Low
Market Cap$427.2B
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
$56
Avg Yield on Cost
0.56%
Annual Income Simulation Table
Historical Realised Yields
YearAnnual PayoutYield on CostQuality
2026$55.660.56%Solid

Momentum & MacroiPrice momentum indicators: distance from 50/200-Day SMA, 52-Week High proximity, Golden Cross trend signal, RSI momentum gauge, Fibonacci retracement levels, and Beta (market sensitivity).

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 →
-16.3%
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 →
-27.1%
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 →
41.8% 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 →
0.39
Market sensitivity coefficient
Trend SignalGolden Cross & Death CrossTechnical chart patterns that occur when a short-term moving average crosses over a long-term moving average.Click for full definition →
✦ Death Cross
Bearish — 50 SMA below 200 SMA
RSI (14-Day)Relative Strength Index (RSI)A momentum oscillator that measures the speed and change of price movements to identify overbought or oversold conditions.Click for full definition →
34
OversoldNeutralOverbought
Neutral
Fibonacci LevelsFibonacci RetracementTechnical levels based on mathematical ratios that indicate potential support and resistance areas.Click for full definition →
38.2% retracement-29.7%
50.0% retracement-24.8%
61.8% retracement-19.3%
% distance of current price from each 52-week Fibonacci support level.

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Frequently Asked Questions & Methodology

Is Alibaba Group Holding Ltd a high-risk investment?

Alibaba Group Holding Ltd (BABAF.US) has an annualized volatility of 49.4% and experienced a maximum drawdown of 78.4% over the last 10 years. Its primary macro risk driver is VWO.US.

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

Over the past 10 years, BABAF.US has generated a Compound Annual Growth Rate (CAGR) of -7.9%. It has had a positive return in 43% 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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