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Performance
Performance Chart
The chart shows the growth of an initial investment of $10,000 in iShares Edge MSCI USA Value Factor UCITS ETF USD (Acc), comparing it to the performance of the S&P 500 index or another benchmark. All prices have been adjusted for splits and dividends.
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Returns By Period
iShares Edge MSCI USA Value Factor UCITS ETF USD (Acc) (IUVL.L) has returned 1.70% so far this year and 34.39% over the past 12 months.
iShares Edge MSCI USA Value Factor UCITS ETF USD (Acc)
- 1D
- -0.26%
- 1M
- -6.93%
- YTD
- 1.70%
- 6M
- 13.54%
- 1Y
- 34.39%
- 3Y*
- 17.30%
- 5Y*
- 8.70%
- 10Y*
- —
Benchmark (S&P 500 Index)
- 1D
- 2.91%
- 1M
- -5.09%
- YTD
- -4.63%
- 6M
- -2.39%
- 1Y
- 16.33%
- 3Y*
- 16.69%
- 5Y*
- 10.18%
- 10Y*
- 12.16%
Monthly Returns
Based on dividend-adjusted daily data since Oct 17, 2016, IUVL.L's average daily return is +0.05%, while the average monthly return is +0.99%. At this rate, your investment would double in approximately 5.9 years.
Historically, 60% of months were positive and 40% were negative. The best month was Nov 2020 with a return of +17.0%, while the worst month was Mar 2020 at -15.5%. The longest winning streak lasted 10 consecutive months, and the longest losing streak was 4 months.
On a daily basis, IUVL.L closed higher 54% of trading days. The best single day was Mar 24, 2020 with a return of +9.8%, while the worst single day was Mar 12, 2020 at -11.6%.
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Total | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2026 | 7.17% | 1.96% | -6.93% | 1.70% | |||||||||
| 2025 | 5.05% | -0.87% | -3.30% | -4.08% | 5.02% | 6.62% | 0.24% | 5.35% | 4.37% | 4.61% | 2.78% | 3.83% | 33.07% |
| 2024 | -0.49% | 1.39% | 6.38% | -6.27% | 0.70% | 1.58% | 4.24% | -0.82% | 2.33% | -0.65% | 6.21% | -7.30% | 6.49% |
| 2023 | 6.49% | -2.71% | -1.29% | -0.97% | -3.74% | 7.07% | 3.81% | -2.59% | -3.04% | -4.55% | 8.34% | 8.23% | 14.53% |
| 2022 | -3.12% | -0.87% | 1.29% | -5.20% | 1.48% | -10.47% | 4.57% | -1.98% | -9.63% | 11.08% | 3.06% | -4.19% | -14.87% |
| 2021 | 5.38% | 6.10% | 6.98% | 1.65% | 2.89% | -1.97% | -0.36% | 0.98% | -2.51% | 1.37% | -0.94% | 7.47% | 29.80% |
Benchmark Metrics
iShares Edge MSCI USA Value Factor UCITS ETF USD (Acc) has an annualized alpha of 5.57%, beta of 0.54, and R² of 0.28 versus S&P 500 Index. Calculated based on daily prices since October 18, 2016.
- This ETF participated in 93.95% of S&P 500 Index downside but only 92.31% of its upside — more exposed to losses than it benefited from rallies.
- Beta of 0.54 may look defensive, but with R² of 0.28 this ETF is largely uncorrelated with S&P 500 Index — low beta reflects independence, not downside protection. See the Volatility section for a true picture of this ETF's risk.
- R² of 0.28 means this ETF moves largely independently of S&P 500 Index — capture ratios reflect limited market correlation rather than active downside protection. Consider using a more representative benchmark.
- Alpha
- 5.57%
- Beta
- 0.54
- R²
- 0.28
- Upside Capture
- 92.31%
- Downside Capture
- 93.95%
Expense Ratio
IUVL.L has an expense ratio of 0.20%, which is considered low.
Return for Risk
Risk / Return Rank
IUVL.L ranks 87 for risk / return — in the top 87% of ETFs on our site. This means strong returns relative to risk — exactly what professional investors look for. Well-suited for investors who want to maximize return per unit of risk.
Return / Risk — by metrics
The table below present risk-adjusted performance metrics for iShares Edge MSCI USA Value Factor UCITS ETF USD (Acc) (IUVL.L) and compare them to a chosen benchmark (S&P 500 Index).
| IUVL.L | Benchmark | Difference | |
|---|---|---|---|
Sharpe ratioReturn per unit of total volatility | 1.93 | 0.90 | +1.04 |
Sortino ratioReturn per unit of downside risk | 2.59 | 1.39 | +1.20 |
Omega ratioGain probability vs. loss probability | 1.36 | 1.21 | +0.15 |
Calmar ratioReturn relative to maximum drawdown | 2.50 | 1.40 | +1.10 |
Martin ratioReturn relative to average drawdown | 11.40 | 6.61 | +4.80 |
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month. | |||
Explore IUVL.L risk-adjusted metrics in detail
Dive deeper into individual metrics with historical trends, benchmark comparisons, and performance across different time periods.
Dividends
Dividend History
Drawdowns
Drawdowns Chart
The Drawdowns chart displays portfolio losses from any high point along the way. Drawdowns are calculated considering price movements and all distributions paid, if any.
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Worst Drawdowns
The table below displays the maximum drawdowns of the iShares Edge MSCI USA Value Factor UCITS ETF USD (Acc). A maximum drawdown is a measure of risk, indicating the largest reduction in portfolio value due to a series of losing trades.
The maximum drawdown for the iShares Edge MSCI USA Value Factor UCITS ETF USD (Acc) was 39.73%, occurring on Mar 23, 2020. Recovery took 199 trading sessions.
The current iShares Edge MSCI USA Value Factor UCITS ETF USD (Acc) drawdown is 8.47%.
Depth | Start | To Bottom | Bottom | To Recover | End | Total |
|---|---|---|---|---|---|---|
| -39.73% | Feb 13, 2020 | 28 | Mar 23, 2020 | 199 | Jan 6, 2021 | 227 |
| -26.7% | Jan 18, 2022 | 176 | Sep 29, 2022 | 452 | Jul 16, 2024 | 628 |
| -20.93% | Sep 24, 2018 | 66 | Dec 24, 2018 | 218 | Nov 5, 2019 | 284 |
| -18.88% | Nov 26, 2024 | 94 | Apr 9, 2025 | 55 | Jul 1, 2025 | 149 |
| -10.38% | Jan 30, 2018 | 9 | Feb 9, 2018 | 137 | Aug 28, 2018 | 146 |
Volatility
Volatility Chart
The chart below shows the rolling one-month volatility.
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