BAE Systems PLC

10-Year Study

BAESY.US · Industrials · US · Common Stock

Executive Summary: BAE Systems PLC has compounded at 20.0% annually over the last 10 years, with a maximum drawdown of 33.5% and an annualized volatility of 33.1%.

1Y CAGR
+20.0%
3Y CAGR
+41.6%
5Y CAGR
+36.1%
10Y CAGR
+20.0%

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 →
33.5%
Sharpe RatioSharpe RatioRisk-adjusted return: how much excess return you earn per unit of total risk (volatility).Click for full definition →
0.71
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 →
27.2%
Best YearBest & Worst YearThe single calendar year with the highest and lowest return in the measured period.Click for full definition →
2025 · +64.5%
Worst YearBest & Worst YearThe single calendar year with the highest and lowest return in the measured period.Click for full definition →
2018 · -21.7%
% 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.
202617.06.70.43.3————————29.6%
20255.716.413.716.410.70.8-7.7-0.516.7-10.1-13.38.464.5%
20245.94.88.5-0.76.2-5.9-0.27.5-7.3-2.2-3.0-7.84.1%
20232.43.111.86.6-9.72.41.76.5-4.611.2-0.86.541.3%
20224.024.7-2.20.42.65.8-7.1-3.6-2.47.84.55.143.1%
2021-5.06.63.03.46.5-3.411.1-2.3-2.60.9-4.12.716.4%
202011.2-6.6-16.72.0-4.3-2.67.711.1-10.4-16.031.1-0.7-3.7%
201915.1-7.91.45.2-11.510.66.5-1.15.77.9-0.50.933.5%
20189.0-5.52.25.41.10.40.3-8.14.3-16.9-6.7-6.7-21.7%
20170.27.12.52.95.9-4.2-3.6-1.38.2-5.6-5.23.79.7%
2016———-2.10.7-0.51.2-0.5-3.5-1.013.3-2.64.1%

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 33.1%. The dominant macroeconomic risk driver is SHV.US, accounting for 19.3% of variance. Idiosyncratic stock-specific factors contribute 27.9%.

10-Year Historical Price Series (Growth of $10,000)
DateSimulated Value
2016-03-0110000
2016-04-019789.65272997536
2016-05-019855.09631979569
2016-06-019807.510050978162
2016-07-019926.824888516445
2016-08-019874.699468270834
2016-09-019530.272648370395
2016-10-019430.211793812789
2016-11-0110682.019972266284
2016-12-0110406.17923163639
2017-01-0110425.034168337672
2017-02-0111161.823242450544
2017-03-0111438.761360348768
2017-04-0111775.606300940753
2017-05-0112471.642773770687
2017-06-0111945.799539101547
2017-07-0111511.736948692624
2017-08-0111363.690779038101
2017-09-0112299.254781073234
2017-10-0111604.914254930716
2017-11-0111002.304492263493
2017-12-0111413.122636897815
2018-01-0112437.574197667576
2018-02-0111754.706252057584
2018-03-0112009.098255170145
2018-04-0112660.042498428757
2018-05-0112799.16000758188
2018-06-0112846.19758776524
2018-07-0112889.444228294375
2018-08-0111848.83129320923
2018-09-0112355.021498618304
2018-10-0110270.902542922418
2018-11-019582.946757250173
2018-12-018940.482247428647
2019-01-0110292.301399654827
2019-02-019475.553427308734
2019-03-019609.732738754377
2019-04-0110108.789991919313
2019-05-018950.358642843605
2019-06-019896.896417562028
2019-07-0110543.949959596566
2019-08-0110429.772842905459
2019-09-0111025.848222747634
2019-10-0111894.671734554417
2019-11-0111832.47039575415
2019-12-0111936.571593890601
2020-01-0113278.21506599228
2020-02-0112397.220642664033
2020-03-0110321.68118197508
2020-04-0110524.247049551572
2020-05-0110067.588463572063
2020-06-019802.52197248576
2020-07-0110559.113718213472
2020-08-0111735.651792216604
2020-09-0110511.028641546702
2020-10-018834.286056325382
2020-11-0111580.123504823472
2020-12-0111498.817825397302
2021-01-0110920.599766557927
2021-02-0111643.372340107146
2021-03-0111991.041411027645
2021-04-0112396.771715599716
2021-05-0113206.885543550914
2021-06-0112755.414559203504
2021-07-0114165.5942297908
2021-08-0113837.029499496206
2021-09-0113479.733437085368
2021-10-0113599.39744011812
2021-11-0113040.233841119725
2021-12-0113389.050170093476
2022-01-0113923.472899769551
2022-02-0117359.859934755936
2022-03-0116983.160247009648
2022-04-0117046.259439938545
2022-05-0117481.519169185645
2022-06-0118498.438731431877
2022-07-0117192.110855056417
2022-08-0116571.494129031616
2022-09-0116176.089146938817
2022-10-0117443.260607148917
2022-11-0118224.094414349704
2022-12-0119155.66795359092
2023-01-0119622.60198126478
2023-02-0120224.862578437536
2023-03-0122601.432576143015
2023-04-0124090.07472141582
2023-05-0121744.87973742755
2023-06-0122276.010335298637
2023-07-0122651.66252656152
2023-08-0124130.727561128908
2023-09-0123019.782719300874
2023-10-0125608.046768223947
2023-11-0125409.22195951676
2023-12-0127060.824629136365
2024-01-0128651.22357565419
2024-02-0130031.325132932296
2024-03-0132587.066910084897
2024-04-0132364.94777481819
2024-05-0134366.065104400484
2024-06-0132355.27090254292
2024-07-0132303.84381328625
2024-08-0134734.983389698624
2024-09-0132187.02301499417
2024-10-0131470.23613563583
2024-11-0130540.55806622173
2024-12-0128167.180438751384
2025-01-0129782.719300870922
2025-02-0134680.81285727112
2025-03-0139418.34016700087
2025-04-0145889.92308382965
2025-05-0150791.80757988408
2025-06-0151206.316902602775
2025-07-0147287.3332734764
2025-08-0147032.34270094475
2025-09-0154905.87495884836
2025-10-0149337.084368359625
2025-11-0142752.82075838746
2025-12-0146329.273037440515
2026-01-0154210.43705543751
2026-02-0157861.71051187662
2026-03-0158111.11443649678
2026-04-0160056.46504853401
Annual Return Matrix
YearAnnual Return
20170.09676398828497601
2018-0.21664889339533588
20190.3351149595228664
2020-0.03667332491997555
20210.16438492838118024
20220.43069655503854043
20230.41267977157975033
20240.04088403900388937
20250.6447962598948094
20260.2962962962962965
Total Factor Risk
0.33130031167159624
VTI.US Exposure
0.17544017639783022
VEA.US Exposure
0.06288307133576777
VWO.US Exposure
0.001717891176316461
QQQ.US Exposure
0.004416943050064396
VTV.US Exposure
0.011274083266337803
IJR.US Exposure
0.011963336254563181
QUAL.US Exposure
0.035545659287226895
SHV.US Exposure
0.19274909081638636
TLT.US Exposure
0.013073067662793588
LQD.US Exposure
0.05525713761287138
HYG.US Exposure
-0.00033418840071914175
GLD.US Exposure
0.0011652380692882673
USO.US Exposure
0.005134973369177898
VNQ.US Exposure
0.0017480064955711424
BTC-USD.CC Exposure
0.024712530684829398
CPER.US Exposure
-0.0009722264731925166
VIX.INDX Exposure
-0.0029256364857749013
UUP.US Exposure
0.012180048775859527
TIP.US Exposure
0.11599261845474852
Idiosyncratic Exposure
0.2789781786500538
Value Score
36.5
Growth Score
50
Profit Score
37.5
Health Score
23.6
Yield Score
3.7
Moat Score
40

Factor Risk Decomposition

Share of annualised volatility attributable to each macro factor.

Total Est. Vol
33.1%

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 →33.8x
Dividend YieldDividend YieldAnnual dividend paid per share divided by the current share price — expressed as a percentage income return.Click for full definition →0.31%
Market Cap$89.1B
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 →
+3.3%
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 →
+16.4%
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 →
3.2% 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 (BAESY.US) has an annualized volatility of 33.1% and experienced a maximum drawdown of 33.5% over the last 10 years. Its primary macro risk driver is SHV.US.

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

Over the past 10 years, BAESY.US has generated a Compound Annual Growth Rate (CAGR) of 20.0%. 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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