iShares MSCI USA Momentum Factor ETF
Provider: iShares
iShares MSCI USA Momentum Factor ETF is an exchange traded fund incorporated in the USA. The Fund seeks to track the performance of an index that measures the performance of U.S. large and mid capitalization stocks exhibiting relatively higher momentum characteristics before fees and expenses.
| Annualised Return | 13.8% |
| Realised Volatility | 15.38% |
| Downside Volatility | 10.2% |
| Max Drawdown | -30.17% |
| Winning months | 60.99% |
| Sharpe Ratio | 0.9 |
| Sortino Ratio | 1.35 |
| Calmar Ratio | 0.46 |
| Viking Ratio | 0.26 |
Monthly performance
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | YTD | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2024 | 5.58% | 10% | 2.91% | -5.47% | 5.36% | 4.54% | -2% | 3.35% | 2.95% | -0.17% | 6.97% | -4.9% | 31.78% |
| 2023 | -0.55% | -4.04% | 0.43% | 2.39% | -4.83% | 6.88% | 1.73% | 0.31% | -4.82% | -1.62% | 9.23% | 4.76% | 9.15% |
| 2022 | -9.03% | -2.68% | 4.77% | -12.68% | -0.6% | -6.39% | 5.17% | -1.99% | -5.96% | 12.55% | 3.47% | -3.93% | -18.27% |
| 2021 | 1.59% | -0.59% | -1.19% | 7.06% | -1.06% | 1.86% | 0.92% | 4.12% | -3.47% | 8.59% | -3.95% | -0.48% | 13.36% |
| 2020 | 3.74% | -7.19% | -11.53% | 11.7% | 5.87% | 4.32% | 7.02% | 9.48% | -3.8% | -4.19% | 10.63% | 3.44% | 29.86% |
| 2019 | 6.46% | 3.39% | 2.12% | 2.26% | -2.2% | 6.12% | 1.8% | 0.27% | -1.14% | 0.65% | 3.29% | 1.7% | 27.25% |
| 2018 | 8.22% | -1.46% | -3.45% | 0.5% | 3.45% | -0.07% | 1.76% | 5.87% | 0.92% | -9.86% | 1.42% | -7.51% | -1.67% |
| 2017 | 3.15% | 3.8% | 2.05% | 2.58% | 4.77% | 0.35% | 3.48% | 1.47% | 2.81% | 5.04% | 2.8% | 0.12% | 37.5% |
| 2016 | -3.81% | -1.28% | 5.31% | -0.63% | 2.45% | 2.95% | 2.68% | -1.49% | 0.49% | -1.94% | -0.59% | 1.1% | 5% |
| 2015 | -0.68% | 5.43% | -1.05% | -1.02% | 3.35% | -0.34% | 3.79% | -6% | -1.89% | 7.32% | 0.53% | -0.13% | 8.93% |
| 2014 | -2.25% | 6.72% | -3.42% | -0.99% | 4.07% | 2.07% | -1.04% | 4.6% | -0.67% | 2.3% | 3.75% | -0.82% | 14.68% |
| 2013 | 0.59% | 0.31% | -0.83% | 5.98% | -3.57% | 3.02% | 5.57% | 3.15% | 2.61% | 17.7% |