City Of London Investment Trust

10-Year Study

CTY.LSE · Financial Services · GB · Common Stock

Executive Summary: City Of London Investment Trust has compounded at 9.1% annually over the last 10 years, with a maximum drawdown of 26.7% and an annualized volatility of 13.8%.

1Y CAGR
+26.1%
3Y CAGR
+18.3%
5Y CAGR
+13.2%
10Y CAGR
+9.1%

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 →
26.7%
Sharpe RatioSharpe RatioRisk-adjusted return: how much excess return you earn per unit of total risk (volatility).Click for full definition →
0.45
Sortino RatioSortino RatioLike Sharpe, but only penalizes downside volatility — a more accurate risk measure for asymmetric return distributions.Click for full definition →
0.61
Ann. VolatilityAnnualized VolatilityThe annualized standard deviation of an asset's returns — a measure of how much prices fluctuate.Click for full definition →
13.0%
Best YearBest & Worst YearThe single calendar year with the highest and lowest return in the measured period.Click for full definition →
2025 · +28.2%
Worst YearBest & Worst YearThe single calendar year with the highest and lowest return in the measured period.Click for full definition →
2020 · -11.8%
% 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.
20265.06.4-7.96.5————————9.6%
20253.01.02.04.12.82.02.90.51.71.72.90.628.2%
2024-0.8-2.73.83.22.5-0.77.6-1.90.5-3.32.9-0.310.6%
20233.71.3-2.83.4-5.4-0.82.7-2.51.1-4.34.74.34.8%
20223.6-0.13.21.21.6-5.23.6-2.7-5.64.75.30.29.4%
2021-4.11.17.13.01.4-0.41.41.5-2.51.8-2.13.511.8%
2020-3.9-9.4-14.86.2-1.91.6-6.02.4-2.2-0.914.45.1-11.8%
20193.02.63.03.0-3.14.21.1-3.92.8-0.22.74.120.5%
2018-2.5-3.3-1.15.92.1-0.51.1-2.70.8-4.7-0.1-3.5-8.5%
2017-1.84.80.62.04.3-3.31.60.4-0.51.6-1.43.912.6%
2016———3.11.1-0.86.22.10.0-1.5-2.04.713.3%

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 13.8%. The dominant macroeconomic risk driver is VEA.US, accounting for 53.7% of variance. Idiosyncratic stock-specific factors contribute 12.5%.

10-Year Historical Price Series (Growth of $10,000)
DateSimulated Value
2016-03-0110000
2016-04-0110311.082293214335
2016-05-0110428.687784835574
2016-06-0110341.164208517328
2016-07-0110977.159659776256
2016-08-0111206.481956027688
2016-09-0111209.247266182458
2016-10-0111037.3925152847
2016-11-0110816.922662773663
2016-12-0111330.420482449555
2017-01-0111123.207725267084
2017-02-0111655.972120841898
2017-03-0111729.259311027938
2017-04-0111960.061328625836
2017-05-0112472.635940231336
2017-06-0112059.728973720494
2017-07-0112255.500853320358
2017-08-0112310.151319842418
2017-09-0112252.62337769909
2017-10-0112444.642028227734
2017-11-0112276.156555381267
2017-12-0112752.562118098156
2018-01-0112438.943159718447
2018-02-0112028.22341980428
2018-03-0111896.204665738282
2018-04-0112603.852279806248
2018-05-0112870.758635446704
2018-06-0112811.444673952246
2018-07-0112947.182144638231
2018-08-0112602.523550433909
2018-09-0112707.41983188985
2018-10-0112111.60981603138
2018-11-0112096.45022182878
2018-12-0111672.011782550851
2019-01-0112023.79288387768
2019-02-0112330.522294180684
2019-03-0112698.597586544285
2019-04-0113073.571055097404
2019-05-0112670.349145212866
2019-06-0113197.63468915498
2019-07-0113345.749187663181
2019-08-0112828.230667419039
2019-09-0113188.924609275911
2019-10-0113164.243892590348
2019-11-0113513.173402634335
2019-12-0114068.293238493117
2020-01-0113516.01205174797
2020-02-0112249.387835396315
2020-03-0110437.630823760443
2020-04-0111089.126679677862
2020-05-0110877.75085806582
2020-06-0111056.607322506778
2020-07-0110392.083016250188
2020-08-0110639.511407227945
2020-09-0110408.57565388153
2020-10-0110315.71990384831
2020-11-0111806.140110198257
2020-12-0112409.00792233318
2021-01-0111895.018300227264
2021-02-0112030.768713082463
2021-03-0112879.201243828742
2021-04-0113261.978840416154
2021-05-0113450.943139010978
2021-06-0113399.407421212389
2021-07-0113588.376033863618
2021-08-0113787.150496720455
2021-09-0113439.428922469506
2021-10-0113676.438867232326
2021-11-0113394.81295114245
2021-12-0113870.058032686742
2022-01-0114373.378993306309
2022-02-0114355.57056847184
2022-03-0114818.650010957703
2022-04-0114998.490080258704
2022-05-0115232.842566276848
2022-06-0114439.651527779935
2022-07-0114962.437510892994
2022-08-0114561.217323179771
2022-09-0113740.097083525308
2022-10-0114379.453184722719
2022-11-0115137.238762314473
2022-12-0115174.20591163777
2023-01-0115729.78735153175
2023-02-0115935.529015480559
2023-03-0115486.638504506465
2023-04-0116012.237252394734
2023-05-0115141.595959282211
2023-06-0115028.032738511236
2023-07-0115426.470359844074
2023-08-0115043.205274883045
2023-09-0115215.672621790127
2023-10-0114566.83853867379
2023-11-0115246.625976486668
2023-12-0115906.99153237009
2024-01-0115774.977092360496
2024-02-0115342.247036674657
2024-03-0115932.332299685419
2024-04-0116437.081212974612
2024-05-0116855.47997328736
2024-06-0116735.93747034086
2024-07-0118010.52112075734
2024-08-0117667.657174016957
2024-09-0117748.33002876613
2024-10-0117169.452684292177
2024-11-0117659.4259543987
2024-12-0117598.179295635382
2025-01-0118121.37080005039
2025-02-0118307.33682944464
2025-03-0118679.268888233153
2025-04-0119441.795613812574
2025-05-0119985.332208227424
2025-06-0120382.527381315995
2025-07-0120964.329656031656
2025-08-0121069.998153583856
2025-09-0121429.26414277111
2025-10-0121784.487861108093
2025-11-0122425.20720412907
2025-12-0122553.351935544546
2026-01-0123684.169656307757
2026-02-0125194.08939760242
2026-03-0123209.62345190086
2026-04-0124719.543193195525
Annual Return Matrix
YearAnnual Return
20170.12551534498224948
2018-0.08473201898885974
20190.20530149391423702
2020-0.11794503341882756
20210.11774108933591942
20220.09402612994679749
20230.048291530047731346
20240.10631726054696089
20250.2815730284744924
20260.09604741964040464
Total Factor Risk
0.13770495594736615
VTI.US Exposure
-0.1304136199766932
VEA.US Exposure
0.5369977445713293
VWO.US Exposure
0.0015862080975701162
QQQ.US Exposure
0.028429920264738544
VTV.US Exposure
0.05138444569939432
IJR.US Exposure
0.054314838193829096
QUAL.US Exposure
-0.05031166269752023
SHV.US Exposure
0.2848812824305608
TLT.US Exposure
0.026431390447475563
LQD.US Exposure
-0.030478088078061606
HYG.US Exposure
0.06907558645461945
GLD.US Exposure
0.025944918428401638
USO.US Exposure
-0.002316436696326565
VNQ.US Exposure
0.027549842122685318
BTC-USD.CC Exposure
-0.0023219124908670304
CPER.US Exposure
-0.02637990830612549
VIX.INDX Exposure
0.03630970988548156
UUP.US Exposure
-0.020724088989263666
TIP.US Exposure
-0.0046254640967722475
Idiosyncratic Exposure
0.12466529473554429
Value Score
48.1
Growth Score
50
Profit Score
37.5
Health Score
23.6
Yield Score
46.9
Moat Score
40

Factor Risk Decomposition

Share of annualised volatility attributable to each macro factor.

Total Est. Vol
13.8%

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 →4.8x
Dividend YieldDividend YieldAnnual dividend paid per share divided by the current share price — expressed as a percentage income return.Click for full definition →3.91%
Market Cap$2.8B
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
$2
Avg Yield on Cost
0.02%
Annual Income Simulation Table
Historical Realised Yields
YearAnnual PayoutYield on CostQuality
2026$2.330.02%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 →
+2.9%
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 →
+10.7%
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 →
0.48
Market sensitivity coefficient

Frequently Asked Questions & Methodology

Is City Of London Investment Trust a high-risk investment?

City Of London Investment Trust (CTY.LSE) has an annualized volatility of 13.8% and experienced a maximum drawdown of 26.7% over the last 10 years. Its primary macro risk driver is VEA.US.

What is the 10-year return of CTY.LSE?

Over the past 10 years, CTY.LSE has generated a Compound Annual Growth Rate (CAGR) of 9.1%. 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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