iShares Edge MSCI Europe Value Factor UCITS ETF

ISINIE00BQN1K901
TickerCEMS
Backtest this ETF
Total annual cost
0.27%

TER 0.25% + transaction cost 0.02%

Category
ETF
Data available from
Jan 31, 2015
Underlying assets
146

Metrics at a glance

CAGR
+8.86%
Volatility
16.41%
Sharpe
0.42
Sortino
0.38
Calmar
0.23
Ulcer Index
8.79
Max Drawdown
29.92%
VaR 95%
6.56%
VaR 99%
9.96%
% Positive Months
62.32%

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 Europe Value Factor UCITS ETF

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

23.5%
21.5%
20.0%
6.1%
4.5%
4.4%
4.3%
4.3%
2.3%
2.1%

Top holdings

Top 10 Weight

29.0%

Total Assets

146

HHI

0.000

  1. Novartis AG Registered Shares
    3.9%
  2. British American Tobacco
    3.8%
  3. Siemens
    3.2%
  4. HSBC Holdings
    3.0%
  5. TotalEnergies
    2.9%
  6. Sanofi
    2.8%
  7. GSK
    2.4%
  8. BNP Paribas Act. Cat.A
    2.4%
  9. Nokia Oyj
    2.3%
  10. Vinci
    2.2%

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