Pennon Group Plc

10-Year Study

PNN.LSE · Utilities · GB · Common Stock

Executive Summary: Pennon Group Plc has compounded at -2.9% annually over the last 10 years, with a maximum drawdown of 65.4% and an annualized volatility of 48.5%.

1Y CAGR
+15.4%
3Y CAGR
-6.0%
5Y CAGR
-12.6%
10Y CAGR
-2.9%

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 →
65.4%
Sharpe RatioSharpe RatioRisk-adjusted return: how much excess return you earn per unit of total risk (volatility).Click for full definition →
-0.15
Sortino RatioSortino RatioLike Sharpe, but only penalizes downside volatility — a more accurate risk measure for asymmetric return distributions.Click for full definition →
-0.23
Ann. VolatilityAnnualized VolatilityThe annualized standard deviation of an asset's returns — a measure of how much prices fluctuate.Click for full definition →
24.7%
Best YearBest & Worst YearThe single calendar year with the highest and lowest return in the measured period.Click for full definition →
2019 · +54.5%
Worst YearBest & Worst YearThe single calendar year with the highest and lowest return in the measured period.Click for full definition →
2022 · -21.5%
% Positive Years% Positive YearsThe percentage of calendar years in the measurement period where the asset delivered a positive return.Click for full definition →
20%

Annual Returns

Rolling 12-Month Returns

Rolling 12-Month Annualised Volatility

Historical Drawdowns

Monthly Returns

Monthly Returns Heatmap

YearJanFebMarAprMayJunJulAugSepOctNovDecAnn.
20265.311.5-11.82.3————————6.0%
2025-0.5-27.57.011.81.6-1.53.1-5.0-1.310.96.4-4.4-5.8%
2024-4.6-6.3-2.12.8-6.5-7.812.3-2.7-1.9-8.010.7-1.6-16.7%
20234.4-10.15.9-1.6-10.1-8.12.1-8.3-9.124.0-2.76.3-11.7%
2022-6.4-4.03.43.4-10.0-4.87.7-7.0-15.76.49.4-3.0-21.5%
2021-1.1-6.511.66.12.27.4-9.0-2.3-9.22.95.1-4.7-0.1%
20209.2-2.80.71.04.0-1.8-2.7-5.62.5-3.7-4.70.4-4.3%
201911.62.0-4.40.7-2.01.3-0.55.39.58.61.512.454.5%
2018-7.0-15.35.77.67.96.4-2.92.3-7.24.6-3.5-3.8-8.0%
2017-4.110.51.8-2.87.5-10.4-0.10.9-1.8-0.40.1-1.4-1.9%
2016———0.16.39.6-2.7-2.71.7-6.4-2.01.14.0%

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 48.5%. The dominant macroeconomic risk driver is SHV.US, accounting for 60.3% of variance. Idiosyncratic stock-specific factors contribute 17.5%.

10-Year Historical Price Series (Growth of $10,000)
DateSimulated Value
2016-03-0110000
2016-04-0110012.330096099224
2016-05-0110641.184173047935
2016-06-0111658.445865066353
2016-07-0111343.120509984221
2016-08-0111035.020039540681
2016-09-0111217.365035305022
2016-10-0110494.27179343379
2016-11-0110286.775407719948
2016-12-0110399.955924958553
2017-01-019972.388196090273
2017-02-0111018.418145582458
2017-03-0111215.51529962989
2017-04-0110897.615950326777
2017-05-0111711.440644652059
2017-06-0110497.061147629705
2017-07-0110486.046812473236
2017-08-0110577.229635833659
2017-09-0110381.839135834174
2017-10-0110342.760150793285
2017-11-0110349.274052500927
2017-12-0110199.47201404501
2018-01-019480.86297987107
2018-02-018029.575709872942
2018-03-018488.711375889152
2018-04-019132.55362205239
2018-05-019852.919462597209
2018-06-0110480.932750602677
2018-07-0110179.380108438172
2018-08-0110412.392225976928
2018-09-019661.875988941118
2018-10-0110108.933795541076
2018-11-019753.996955753997
2018-12-019385.511613434155
2019-01-0110472.47913405229
2019-02-0110681.161474696606
2019-03-0110208.882949936033
2019-04-0110277.528204412607
2019-05-0110068.847338836615
2019-06-0110197.899591214316
2019-07-0110146.183695863334
2019-08-0110683.766445352332
2019-09-0111699.51619234124
2019-10-0112706.779871276687
2019-11-0112902.006638692486
2019-12-0114500.610457024843
2020-01-0115835.53696248326
2020-02-0115399.826856480426
2020-03-0115506.968444010905
2020-04-0115656.966666553577
2020-05-0116285.531630111276
2020-06-0115985.535185025932
2020-07-0115557.49838443142
2020-08-0114688.730345267766
2020-09-0115053.759602510389
2020-10-0114493.077283107059
2020-11-0113809.744507841242
2020-12-0113871.067523170004
2021-01-0113724.500309543086
2021-02-0112831.850914254721
2021-03-0114314.706121400777
2021-04-0115180.929667709881
2021-05-0115518.611158272324
2021-06-0116671.129240028575
2021-07-0115173.194409432055
2021-08-0114817.015562118298
2021-09-0113451.665772529419
2021-10-0113843.461619533564
2021-11-0114543.945014173194
2021-12-0113855.33444445313
2022-01-0112971.206518857936
2022-02-0112456.190839619214
2022-03-0112875.390505899755
2022-04-0113318.543806652766
2022-05-0111989.083904393743
2022-06-0111408.1946240545
2022-07-0112284.06216704942
2022-08-0111427.603573028493
2022-09-019629.04096810504
2022-10-0110246.914636468673
2022-11-0111207.371447427016
2022-12-0110870.905413161474
2023-01-0111347.846628886233
2023-02-0110203.78511381701
2023-03-0110809.828734242397
2023-04-0110636.673414120858
2023-05-019566.822586305141
2023-06-018793.808607230165
2023-07-018976.8055831926
2023-08-018236.188529662222
2023-09-017482.800334604498
2023-10-019276.884632103947
2023-11-019027.882773960382
2023-12-019596.115968101352
2024-01-019157.54275448653
2024-02-018580.332294541053
2024-03-018398.738108552343
2024-04-018632.216347680684
2024-05-018067.977638554274
2024-06-017438.883125469163
2024-07-018354.699943814647
2024-08-018132.356995445136
2024-09-017977.39074279573
2024-10-017337.3128709889015
2024-11-018125.620358420952
2024-12-017997.6036040049285
2025-01-017954.518333402908
2025-02-015763.5846048299345
2025-03-016165.438942718229
2025-04-016894.833676458809
2025-05-017004.929825837208
2025-06-016901.714870178499
2025-07-017118.805100255231
2025-08-016764.577768330784
2025-09-016678.877773921294
2025-10-017405.899122732617
2025-11-017877.248354450657
2025-12-017534.448376812694
2026-01-017935.89559584426
2026-02-018850.40992886188
2026-03-017810.486762220608
2026-04-017987.494960797846
Annual Return Matrix
YearAnnual Return
2017-0.01927738082354835
2018-0.07980417020508557
20190.5449994687843209
2020-0.043414926269525145
2021-0.001134237050651854
2022-0.21539927767578704
2023-0.11726617025999753
2024-0.16657910027453526
2025-0.05791175083500044
20260.060130026954515525
Total Factor Risk
0.48462698316398845
VTI.US Exposure
-0.04287319208769425
VEA.US Exposure
-0.0005369015349148915
VWO.US Exposure
0.00889951941308347
QQQ.US Exposure
0.045911253943955496
VTV.US Exposure
0.013179793762248182
IJR.US Exposure
0.03925588723724854
QUAL.US Exposure
-0.004809418394705186
SHV.US Exposure
0.6032235152424976
TLT.US Exposure
-0.018356066726938947
LQD.US Exposure
0.09002612907586478
HYG.US Exposure
-0.002628426848749945
GLD.US Exposure
0.03834474433907244
USO.US Exposure
0.010876663528669877
VNQ.US Exposure
0.026797420639579236
BTC-USD.CC Exposure
0.0022974807726465415
CPER.US Exposure
-0.010107063653016175
VIX.INDX Exposure
0.01645739043698588
UUP.US Exposure
0.00009155370563405283
TIP.US Exposure
0.009103578423594405
Idiosyncratic Exposure
0.17484613872493893
Value Score
5.6
Growth Score
50
Profit Score
37.5
Health Score
23.6
Yield Score
57.6
Moat Score
40

Factor Risk Decomposition

Share of annualised volatility attributable to each macro factor.

Total Est. Vol
48.5%

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 →110.9x
Dividend YieldDividend YieldAnnual dividend paid per share divided by the current share price — expressed as a percentage income return.Click for full definition →4.80%
Market Cap$2.6B
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
$3
Avg Yield on Cost
0.03%
Annual Income Simulation Table
Historical Realised Yields
YearAnnual PayoutYield on CostQuality
2026$2.730.03%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 →
-2.0%
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 →
+7.4%
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 →
9.8% 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 →
0.56
Market sensitivity coefficient

Frequently Asked Questions & Methodology

Is Pennon Group Plc a high-risk investment?

Pennon Group Plc (PNN.LSE) has an annualized volatility of 48.5% and experienced a maximum drawdown of 65.4% over the last 10 years. Its primary macro risk driver is SHV.US.

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

Over the past 10 years, PNN.LSE has generated a Compound Annual Growth Rate (CAGR) of -2.9%. It has had a positive return in 20% 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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