BAE Systems PLC

10-Year Study

BAESF.US · Industrials · US · Common Stock

Executive Summary: BAE Systems PLC has compounded at 20.1% annually over the last 10 years, with a maximum drawdown of 34.6% and an annualized volatility of 31.9%.

1Y CAGR
+19.8%
3Y CAGR
+42.2%
5Y CAGR
+36.5%
10Y CAGR
+20.1%

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 →
34.6%
Sharpe RatioSharpe RatioRisk-adjusted return: how much excess return you earn per unit of total risk (volatility).Click for full definition →
0.70
Sortino RatioSortino RatioLike Sharpe, but only penalizes downside volatility — a more accurate risk measure for asymmetric return distributions.Click for full definition →
1.28
Ann. VolatilityAnnualized VolatilityThe annualized standard deviation of an asset's returns — a measure of how much prices fluctuate.Click for full definition →
28.1%
Best YearBest & Worst YearThe single calendar year with the highest and lowest return in the measured period.Click for full definition →
2025 · +62.8%
Worst YearBest & Worst YearThe single calendar year with the highest and lowest return in the measured period.Click for full definition →
2018 · -21.2%
% 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.
202616.15.72.64.3————————31.3%
20253.922.78.917.411.1-1.2-7.70.116.4-9.5-12.46.662.8%
20246.85.48.4-1.58.9-7.2-1.88.6-8.1-1.5-3.5-6.26.3%
20231.43.312.56.3-9.92.31.47.8-5.411.50.34.139.0%
20228.721.6-2.80.83.25.5-6.3-4.3-2.55.86.85.146.6%
2021-8.510.11.84.65.1-2.110.3-2.4-3.42.2-4.30.012.2%
202013.6-6.7-18.95.0-4.0-3.06.99.9-9.4-17.031.31.6-1.0%
201914.8-8.42.16.3-14.411.87.0-1.56.310.4-1.5-0.432.5%
20189.8-3.60.04.94.5-1.51.3-8.33.1-16.3-8.6-6.0-21.2%
20171.49.01.34.75.0-3.7-3.0-2.06.6-3.9-5.51.610.7%
2016———-1.70.70.4-0.41.0-5.0-1.014.8-4.92.7%

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 31.9%. The dominant macroeconomic risk driver is SHV.US, accounting for 16.6% of variance. Idiosyncratic stock-specific factors contribute 30.6%.

10-Year Historical Price Series (Growth of $10,000)
DateSimulated Value
2016-03-0110000
2016-04-019828.866515882388
2016-05-019899.521626868956
2016-06-019941.954724685254
2016-07-019899.521626868956
2016-08-019998.598907147574
2016-09-019503.612817998039
2016-10-019411.941314225096
2016-11-0110805.628390144313
2016-12-0110274.013730709954
2017-01-0110417.925982266168
2017-02-0111351.65429034647
2017-03-0111495.366385780908
2017-04-0112037.589319669341
2017-05-0112638.858309481395
2017-06-0112169.492203919057
2017-07-0111803.006344949059
2017-08-0111568.423370228778
2017-09-0112331.01819419147
2017-10-0111853.845999879906
2017-11-0111199.535637797482
2017-12-0111378.074898420768
2018-01-0112493.544965072755
2018-02-0112047.196813514542
2018-03-0112047.196813514542
2018-04-0112641.06002682092
2018-05-0113203.899041252176
2018-06-0113006.144792938492
2018-07-0113173.475310742377
2018-08-0112078.221012389662
2018-09-0112458.517643762134
2018-10-0110432.13706691219
2018-11-019535.83795360381
2018-12-018963.99191369268
2019-01-0110286.823722503554
2019-02-019427.553491723544
2019-03-019628.510237985629
2019-04-0110231.580632893656
2019-05-018756.229859290246
2019-06-019787.434198674966
2019-07-0110469.566261684113
2019-08-0110310.842457116549
2019-09-0110961.149696763474
2019-10-0112104.841776585736
2019-11-0111927.303296571325
2019-12-0111878.86551510178
2020-01-0113492.924481095255
2020-02-0112589.019435159424
2020-03-0110206.761273793558
2020-04-0110721.56281899882
2020-05-0110292.628250035024
2020-06-019979.383919457177
2020-07-0110672.124256920397
2020-08-0111733.752326814914
2020-09-0110629.290846860551
2020-10-018818.078100918716
2020-11-0111576.229458978003
2020-12-0111757.370749184363
2021-01-0110754.588579091691
2021-02-0111843.838193791156
2021-03-0112051.400092071815
2021-04-0112600.828646344147
2021-05-0113240.727767658773
2021-06-0112965.312944096395
2021-07-0114298.152558996018
2021-08-0113960.489181561617
2021-09-0113489.721983146854
2021-10-0113790.356478052881
2021-11-0113194.091391285201
2021-12-0113194.091391285201
2022-01-0114347.991433317988
2022-02-0117446.007886151197
2022-03-0116962.430695942836
2022-04-0117097.1357658974
2022-05-0117650.567442605232
2022-06-0118628.12994135426
2022-07-0117447.6091351254
2022-08-0116700.626488661153
2022-09-0116285.702848221612
2022-10-0117226.036308320487
2022-11-0118393.747122755747
2022-12-0119337.283080803027
2023-01-0119617.501651288003
2023-02-0120262.20451952523
2023-03-0122793.779147735233
2023-04-0124234.703068393348
2023-05-0121832.028982606433
2023-06-0122335.421628870517
2023-07-0122639.258621724948
2023-08-0124405.63639638918
2023-09-0123097.015672224334
2023-10-0125754.088188787257
2023-11-0125821.34064570365
2023-12-0126883.96949620704
2024-01-0128720.201757370745
2024-02-0130275.214667440603
2024-03-0132818.99881907888
2024-04-0132316.807109545443
2024-05-0135198.05448249634
2024-06-0132676.887972618642
2024-07-0132083.024759312262
2024-08-0134847.581113268345
2024-09-0132024.77932787574
2024-10-0131558.015251896475
2024-11-0130457.75705049939
2024-12-0128567.282480334663
2025-01-0129671.743960289023
2025-02-0136411.60104881808
2025-03-0139663.73771541803
2025-04-0146566.121574828365
2025-05-0151742.15888392946
2025-06-0151145.89379716179
2025-07-0147220.03162466724
2025-08-0147269.67034286743
2025-09-0155036.92880446748
2025-10-0149798.84309761614
2025-11-0143634.03454694661
2025-12-0146496.267088328896
2026-01-0153962.09043053582
2026-02-0157044.49470587057
2026-03-0158525.65000700545
2026-04-0161047.61714137027
Annual Return Matrix
YearAnnual Return
20170.10746152347555027
2018-0.21216972170425352
20190.32517584012504175
2020-0.010227808856237752
20210.12219744301254654
20220.46560172332711347
20230.3902661187649441
20240.06261400439265907
20250.6276055351199858
20260.3129573826947911
Total Factor Risk
0.31923978636807654
VTI.US Exposure
0.11875775645652224
VEA.US Exposure
0.05713648859056624
VWO.US Exposure
0.002712070986404743
QQQ.US Exposure
0.0177958164091314
VTV.US Exposure
0.005879986249967433
IJR.US Exposure
0.019563980958867362
QUAL.US Exposure
0.03705704678464505
SHV.US Exposure
0.16581832825247775
TLT.US Exposure
0.013530520278792495
LQD.US Exposure
0.06470720856024095
HYG.US Exposure
-0.00029841904718223215
GLD.US Exposure
-0.0020943944127397285
USO.US Exposure
0.003644730426856676
VNQ.US Exposure
0.0011056910119911364
BTC-USD.CC Exposure
0.028506367052049734
CPER.US Exposure
-0.0028238167874764367
VIX.INDX Exposure
-0.00374995398724441
UUP.US Exposure
0.018971925412165577
TIP.US Exposure
0.14760909478597076
Idiosyncratic Exposure
0.3061695720179932
Value Score
36.5
Growth Score
50
Profit Score
37.5
Health Score
23.6
Yield Score
14.9
Moat Score
40

Factor Risk Decomposition

Share of annualised volatility attributable to each macro factor.

Total Est. Vol
31.9%

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 →33.9x
Dividend YieldDividend YieldAnnual dividend paid per share divided by the current share price — expressed as a percentage income return.Click for full definition →1.24%
Market Cap$89.4B
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 →
+4.5%
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 →
+17.8%
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 →
1.9% 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 (BAESF.US) has an annualized volatility of 31.9% and experienced a maximum drawdown of 34.6% over the last 10 years. Its primary macro risk driver is SHV.US.

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

Over the past 10 years, BAESF.US has generated a Compound Annual Growth Rate (CAGR) of 20.1%. 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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