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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%
*Performance is net of rebalancing costs, fixed fees (0% annually) and performance fees (0% over high watermark).