iShares Edge MSCI USA Momentum Factor UCITS ETF

ISINIE00BD1F4N50
TickerIUMF
Backtest this ETF
Category
ETF
Data available from
Oct 31, 2016
Underlying assets
126

Metrics at a glance

CAGR
+15.32%
Volatility
17.53%
Sharpe
0.76
Sortino
0.85
Calmar
0.64
Ulcer Index
8.03
Max Drawdown
20.80%
VaR 95%
7.62%
VaR 99%
9.92%
% Positive Months
59.83%

Performance over time

Rolling returns

Return computed over every rolling window of the selected length.

Fund composition

Estimated country, currency, and sector allocation from the underlying holdings.

iShares Edge MSCI USA Momentum Factor UCITS ETF

Click a row name to exclude it from the calculation (remaining slices are renormalized).

99.1%
0.6%
0.2%
0.1%

Top holdings

Top 10 Weight

35.6%

Total Assets

126

HHI

0.000

  1. NVIDIA
    5.0%
  2. Broadcom
    4.9%
  3. Micron Technology
    4.1%
  4. Tesla
    4.0%
  5. GE Vernova
    3.2%
  6. Johnson & Johnson
    3.1%
  7. Lam Research
    2.9%
  8. GE Aerospace
    2.9%
  9. Advanced Micro Devices
    2.8%
  10. Caterpillar
    2.7%

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