Frasers Group PLC

10-Year Study

FRAS.LSE · Consumer Cyclical · GB · Common Stock

Executive Summary: Frasers Group PLC has compounded at 6.1% annually over the last 10 years, with a maximum drawdown of 61.3% and an annualized volatility of 85.3%.

1Y CAGR
-8.7%
3Y CAGR
+0.1%
5Y CAGR
+3.1%
10Y CAGR
+6.1%

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 →
61.3%
Sharpe RatioSharpe RatioRisk-adjusted return: how much excess return you earn per unit of total risk (volatility).Click for full definition →
0.27
Sortino RatioSortino RatioLike Sharpe, but only penalizes downside volatility — a more accurate risk measure for asymmetric return distributions.Click for full definition →
0.41
Ann. VolatilityAnnualized VolatilityThe annualized standard deviation of an asset's returns — a measure of how much prices fluctuate.Click for full definition →
43.1%
Best YearBest & Worst YearThe single calendar year with the highest and lowest return in the measured period.Click for full definition →
2019 · +92.9%
Worst YearBest & Worst YearThe single calendar year with the highest and lowest return in the measured period.Click for full definition →
2018 · -36.9%
% 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.
20262.61.4-9.65.7————————-0.7%
20254.4-1.5-0.76.410.6-7.01.2-1.89.9-1.95.5-11.811.3%
2024-11.0-0.10.20.78.00.11.5-3.6-3.4-8.7-3.2-17.3-33.1%
202310.32.4-3.1-1.1-12.54.415.8-0.8-0.1-0.310.13.028.2%
2022-5.1-13.0-0.47.11.8-3.734.7-10.2-15.8-4.538.8-21.0-7.9%
2021-5.49.8-1.811.912.34.10.210.92.2-5.95.713.470.8%
20202.8-18.6-52.442.417.9-0.3-17.639.0-1.58.812.57.0-1.6%
201917.0-3.08.31.9-3.5-3.9-17.99.912.010.79.136.092.9%
2018-1.3-1.30.19.61.0-1.83.5-7.7-10.6-4.3-11.2-17.9-36.9%
20171.94.63.8-0.5-2.9-2.230.22.35.8-3.7-4.3-0.435.3%
2016———1.9-2.7-14.8-9.42.7-3.4-3.714.2-11.8-26.3%

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 85.3%. The dominant macroeconomic risk driver is SHV.US, accounting for 88.0% of variance. Idiosyncratic stock-specific factors contribute 4.3%.

10-Year Historical Price Series (Growth of $10,000)
DateSimulated Value
2016-03-0110000
2016-04-0110187.781010314731
2016-05-019915.36630521026
2016-06-018450.145464162919
2016-07-017656.704575509125
2016-08-017862.999206559111
2016-09-017598.518910341179
2016-10-017318.169796350171
2016-11-018357.577360486643
2016-12-017368.42105263158
2017-01-017511.240412589262
2017-02-017855.064797672573
2017-03-018151.282729436656
2017-04-018111.610685003966
2017-05-017873.578418407828
2017-06-017701.666225866172
2017-07-0110026.448029621793
2017-08-0110261.83549325575
2017-09-0110856.916159746097
2017-10-0110457.550912457022
2017-11-0110010.579211848715
2017-12-019970.907167416026
2018-01-019841.311822269241
2018-02-019717.006083046812
2018-03-019722.295688971171
2018-04-0110653.266331658291
2018-05-0110756.413647183284
2018-06-0110563.343030944194
2018-07-0110936.260248611477
2018-08-0110095.212906638455
2018-09-019024.067706955831
2018-10-018632.636868553293
2018-11-017664.638984395662
2018-12-016289.341444062417
2019-01-017357.84184078286
2019-02-017135.678391959799
2019-03-017728.114255487965
2019-04-017876.223221370008
2019-05-017601.163713303358
2019-06-017304.945781539275
2019-07-015998.413118222692
2019-08-016590.848981750859
2019-09-017384.289870404655
2019-10-018172.441153134091
2019-11-018918.275588468658
2019-12-0112129.06638455435
2020-01-0112467.601163713302
2020-02-0110150.75376884422
2020-03-014829.410208939434
2020-04-016876.487701666225
2020-05-018108.965882041787
2020-06-018082.517852419995
2020-07-016659.613858767521
2020-08-019256.810367627611
2020-09-019113.991007669929
2020-10-019912.721502248081
2020-11-0111155.778894472362
2020-12-0111938.64057127744
2021-01-0111298.598254430044
2021-02-0112409.415498545357
2021-03-0112187.252049722294
2021-04-0113633.959270034382
2021-05-0115313.40915101825
2021-06-0115934.937847130388
2021-07-0115961.385876752182
2021-08-0117693.731816979634
2021-09-0118077.228246495637
2021-10-0117019.307061623906
2021-11-0117984.66014281936
2021-12-0120391.43083840254
2022-01-0119359.957683152603
2022-02-0116834.170854271357
2022-03-0116768.050780216872
2022-04-0117958.212113197565
2022-05-0118275.588468659083
2022-06-0117601.16371330336
2022-07-0123710.65855593758
2022-08-0121290.663845543506
2022-09-0117931.76408357577
2022-10-0117125.09918011108
2022-11-0123763.55461518117
2022-12-0118778.101031473154
2023-01-0120708.807193864053
2023-02-0121198.09574186723
2023-03-0120550.119016133296
2023-04-0120325.310764348058
2023-05-0117786.29992065591
2023-06-0118566.51679449881
2023-07-0121502.248082517854
2023-08-0121330.3358899762
2023-09-0121303.887860354404
2023-10-0121237.76778629992
2023-11-0123380.058185665166
2023-12-0124080.930970642687
2024-01-0121422.90399365247
2024-02-0121396.45596403068
2024-03-0121449.352023274267
2024-04-0121594.816186194126
2024-05-0123313.938111610685
2024-06-0123340.38614123248
2024-07-0123684.210526315786
2024-08-0122824.649563607512
2024-09-0122044.43268976461
2024-10-0120126.950542184608
2024-11-0119478.973816450674
2024-12-0116106.850039672043
2025-01-0116820.94683946046
2025-02-0116569.690558053426
2025-03-0116450.674424755354
2025-04-0117508.595609627082
2025-05-0119359.957683152603
2025-06-0117997.884157630255
2025-07-0118209.4683946046
2025-08-0117878.868024332187
2025-09-0119650.88600899233
2025-10-0119280.613594287224
2025-11-0120338.53477915895
2025-12-0117931.76408357577
2026-01-0118394.604601957155
2026-02-0118645.86088336419
2026-03-0116847.394869082254
2026-04-0117812.747950277702
Annual Return Matrix
YearAnnual Return
20170.35319454414931784
2018-0.36923076923076925
20190.9285113540790579
2020-0.015699956389010117
20210.7080194949047409
2022-0.079118028534371
20230.28239436619718306
2024-0.3311367380560132
20250.11330049261083741
2026-0.006637168141592875
Total Factor Risk
0.8532575054852468
VTI.US Exposure
-0.012042991793314606
VEA.US Exposure
0.022674057126531075
VWO.US Exposure
0.0023261434686156473
QQQ.US Exposure
-0.0012597541969450903
VTV.US Exposure
0.0006911941031759513
IJR.US Exposure
0.0023351843293451155
QUAL.US Exposure
0.016007938335504072
SHV.US Exposure
0.879676744762992
TLT.US Exposure
-0.008536061401069935
LQD.US Exposure
0.04294539878628988
HYG.US Exposure
0.012920085523585638
GLD.US Exposure
0.0007540530924998844
USO.US Exposure
0.003006105293584611
VNQ.US Exposure
0.003650272109924572
BTC-USD.CC Exposure
0.0004108022743247593
CPER.US Exposure
-0.0025510131264133416
VIX.INDX Exposure
-0.004236024208970455
UUP.US Exposure
-0.0025999996258459454
TIP.US Exposure
0.0010537902399961648
Idiosyncratic Exposure
0.04277407490619006
Value Score
47.4
Growth Score
50
Profit Score
37.5
Health Score
23.6
Yield Score
0
Moat Score
40

Factor Risk Decomposition

Share of annualised volatility attributable to each macro factor.

Total Est. Vol
85.3%

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 →6.5x
Dividend YieldDividend YieldAnnual dividend paid per share divided by the current share price — expressed as a percentage income return.Click for full definition →0.00%
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
$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 →
-0.4%
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 →
-2.5%
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 →
12.5% 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 →
1.26
Market sensitivity coefficient

Frequently Asked Questions & Methodology

Is Frasers Group PLC a high-risk investment?

Frasers Group PLC (FRAS.LSE) has an annualized volatility of 85.3% and experienced a maximum drawdown of 61.3% over the last 10 years. Its primary macro risk driver is SHV.US.

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

Over the past 10 years, FRAS.LSE has generated a Compound Annual Growth Rate (CAGR) of 6.1%. 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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