COPT Defense Properties

10-Year Study

CDP.US · Real Estate · US · Common Stock

Executive Summary: COPT Defense Properties has compounded at 6.2% annually over the last 10 years, with a maximum drawdown of 36.2% and an annualized volatility of 24.4%.

1Y CAGR
+25.1%
3Y CAGR
+17.9%
5Y CAGR
+7.9%
10Y CAGR
+6.2%

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 →
36.2%
Sharpe RatioSharpe RatioRisk-adjusted return: how much excess return you earn per unit of total risk (volatility).Click for full definition →
0.20
Sortino RatioSortino RatioLike Sharpe, but only penalizes downside volatility — a more accurate risk measure for asymmetric return distributions.Click for full definition →
0.38
Ann. VolatilityAnnualized VolatilityThe annualized standard deviation of an asset's returns — a measure of how much prices fluctuate.Click for full definition →
22.7%
Best YearBest & Worst YearThe single calendar year with the highest and lowest return in the measured period.Click for full definition →
2019 · +45.3%
Worst YearBest & Worst YearThe single calendar year with the highest and lowest return in the measured period.Click for full definition →
2018 · -24.8%
% 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.
202610.83.1-3.76.6————————17.4%
2025-4.9-8.22.0-4.35.11.6-1.15.52.0-3.19.1-8.5-6.2%
2024-8.12.81.0-0.82.92.715.72.82.86.22.3-5.226.2%
20238.2-9.4-5.6-3.5-0.35.39.5-0.5-6.8-4.36.17.13.7%
2022-9.73.89.9-6.53.6-4.37.5-8.2-9.014.74.2-5.6-3.3%
20210.7-1.02.36.5-1.62.45.2-4.3-3.30.5-5.410.111.6%
20201.3-14.9-11.619.4-5.52.64.5-6.9-2.6-5.418.7-1.0-7.1%
201917.45.36.12.1-0.1-4.35.93.54.0-0.5-1.61.645.3%
2018-6.5-8.64.66.51.44.92.63.5-2.2-13.4-5.3-12.9-24.8%
20171.97.1-2.1-1.13.04.7-5.00.2-0.8-2.7-5.0-2.8-3.2%
2016———-2.15.310.51.3-4.80.4-5.97.210.122.4%

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 24.4%. The dominant macroeconomic risk driver is VNQ.US, accounting for 37.4% of variance. Idiosyncratic stock-specific factors contribute 22.4%.

10-Year Historical Price Series (Growth of $10,000)
DateSimulated Value
2016-03-0110000
2016-04-019786.587811894693
2016-05-0110301.09227612924
2016-06-0111379.442744329448
2016-07-0111529.473117170397
2016-08-0110975.369345207395
2016-09-0111015.312496418297
2016-10-0110370.319430595195
2016-11-0111120.24206581164
2016-12-0112239.051450446423
2017-01-0112474.297699687102
2017-02-0113364.164632259397
2017-03-0113085.422182489197
2017-04-0112943.070980756225
2017-05-0113334.479478274823
2017-06-0113956.778874256437
2017-07-0113263.533106396635
2017-08-0113291.384428474827
2017-09-0113189.205606941054
2017-10-0112827.654185148254
2017-11-0112188.850302009194
2017-12-0111842.026842714531
2018-01-0111071.473598551274
2018-02-0110122.522894245205
2018-03-0110591.353482561406
2018-04-0111280.24389964355
2018-05-0111440.188426228382
2018-06-0112002.830978005479
2018-07-0112313.378949902006
2018-08-0112743.985604419535
2018-09-0112469.311969191625
2018-10-0110801.441850336392
2018-11-0110228.770530321264
2018-12-018907.38002727825
2019-01-0110457.598367889605
2019-02-0111008.26370502814
2019-03-0111679.618104505496
2019-04-0111927.75848433793
2019-05-0111910.623617462663
2019-06-0111400.932961982373
2019-07-0112071.083909271167
2019-08-0112490.458343362101
2019-09-0112993.902508911277
2019-10-0112932.812983529897
2019-11-0112732.123004275121
2019-12-0112940.434847390801
2020-01-0113112.184666872974
2020-02-0111160.987518481586
2020-03-019867.16180128139
2020-04-0111779.963094132885
2020-05-0111133.422732638772
2020-06-0111425.861614459765
2020-07-0111939.850313470644
2020-08-0111110.213297573613
2020-09-0110820.353241870966
2020-10-0110231.865121663284
2020-11-0112147.818313103875
2020-12-0112024.95157537622
2021-01-0112112.517048906004
2021-02-0111988.045708260266
2021-03-0112264.897018877007
2021-04-0113061.410445964995
2021-05-0112856.47973042671
2021-06-0113168.059232770576
2021-07-0113850.244701945006
2021-08-0113257.458538206742
2021-09-0112820.032321287348
2021-10-0112886.508727893728
2021-11-0112192.80450205733
2021-12-0113420.554963380671
2022-01-0112120.253527261058
2022-02-0112576.075370491353
2022-03-0113822.851837843413
2022-04-0112926.795722587076
2022-05-0113386.915609347958
2022-06-0112816.880422698256
2022-07-0113776.08912423065
2022-08-0112645.646368439753
2022-09-0111502.424096551249
2022-10-0113195.853247601692
2022-11-0113750.41547754129
2022-12-0112983.3006682025
2023-01-0114049.387385528773
2023-02-0112727.996882485759
2023-03-0112016.4701028092
2023-04-0111600.877947025181
2023-05-0111565.404761086087
2023-06-0112183.921878760788
2023-07-0113338.147142087588
2023-08-0113276.599158729614
2023-09-0112372.921179612373
2023-10-0111838.129949913466
2023-11-0112565.015071805981
2023-12-0113457.5181377437
2024-01-0112370.628889729396
2024-02-0112722.380772272461
2024-03-0112851.264770942935
2024-04-0112744.902520372725
2024-05-0113117.113090121376
2024-06-0113469.151508899815
2024-07-0115589.347728913799
2024-08-0116030.613531387178
2024-09-0116480.131577439282
2024-10-0117496.246375316623
2024-11-0117903.758209263146
2024-12-0116979.449621199095
2025-01-0116151.073364737706
2025-02-0114828.88056023565
2025-03-0115129.62899288244
2025-04-0114486.011300989123
2025-05-0115229.458217286157
2025-06-0115471.524028928698
2025-07-0115303.212644270996
2025-08-0116144.654953065365
2025-09-0116473.942394755242
2025-10-0115969.40939151165
2025-11-0117420.658116425406
2025-12-0115931.414686701282
2026-01-0117656.362823642678
2026-02-0118212.24312026499
2026-03-0117536.017604786302
2026-04-0118699.354720397943
Annual Return Matrix
YearAnnual Return
2017-0.03243916486006859
2018-0.2478162610517758
20190.45277677698286056
2020-0.07074594345638774
20210.11605896117388603
2022-0.03258093993663158
20230.036525185826020934
20240.2617073555024676
2025-0.06172372826439132
20260.17374100719424468
Total Factor Risk
0.24382107663480979
VTI.US Exposure
0.041828269361174265
VEA.US Exposure
-0.09476390020939941
VWO.US Exposure
0.08240106210356946
QQQ.US Exposure
-0.030765074790562383
VTV.US Exposure
-0.04541181373401441
IJR.US Exposure
0.03759872638862282
QUAL.US Exposure
-0.02351341991115079
SHV.US Exposure
0.07992706457221178
TLT.US Exposure
0.03484431563254816
LQD.US Exposure
0.09885836427634703
HYG.US Exposure
0.0510845012985828
GLD.US Exposure
0.0017212901053677144
USO.US Exposure
0.005012333007395969
VNQ.US Exposure
0.37380705727660185
BTC-USD.CC Exposure
-0.006133770502553043
CPER.US Exposure
-0.020750678100841774
VIX.INDX Exposure
0.04262778515330069
UUP.US Exposure
0.03131658497708939
TIP.US Exposure
0.11616152778826284
Idiosyncratic Exposure
0.22414977530744704
Value Score
40.6
Growth Score
50
Profit Score
37.5
Health Score
23.6
Yield Score
47.9
Moat Score
40

Factor Risk Decomposition

Share of annualised volatility attributable to each macro factor.

Total Est. Vol
24.4%

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 →23.4x
Dividend YieldDividend YieldAnnual dividend paid per share divided by the current share price — expressed as a percentage income return.Click for full definition →3.99%
Market Cap$3.6B
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
$183
Avg Yield on Cost
1.83%
Annual Income Simulation Table
Historical Realised Yields
YearAnnual PayoutYield on CostQuality
2026$183.381.83%Solid

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 →
+2.6%
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 →
+11.1%
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 →
0.0% 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 →
0.88
Market sensitivity coefficient

Frequently Asked Questions & Methodology

Is COPT Defense Properties a high-risk investment?

COPT Defense Properties (CDP.US) has an annualized volatility of 24.4% and experienced a maximum drawdown of 36.2% over the last 10 years. Its primary macro risk driver is VNQ.US.

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

Over the past 10 years, CDP.US has generated a Compound Annual Growth Rate (CAGR) of 6.2%. 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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