iShares Russell 2000 ETF (IWM)

223.44 +1.52 (+0.68%) USD  |  NYSEARCA  |  Dec 24, 13:00
223.33 -0.11 (-0.05%) After-Hours: 13:24
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IWM Max Drawdown (5Y): 41.13% for Nov. 30, 2024

Max Drawdown (5Y) Chart

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Historical Data

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Max Drawdown Definition

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Max drawdown is an indicator of the risk of a portfolio chosen based on a certain strategy. It measures the largest single drop from peak to bottom in the value of a portfolio before a new peak is achieved.

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Max Drawdown (5Y) Range, Past 5 Years

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Max Drawdown (5Y) Benchmarks

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Vanguard Russell 2000 Index Fund ETF 41.18%
iShares Core S&P Small-Cap ETF 44.35%
Invesco S&P SmallCap Momentum ETF 39.39%
Direxion Daily Small Cap Bull 3x Shares 88.09%
Vanguard Small-Cap Index Fund ETF 42.05%

Max Drawdown (5Y) Related Metrics

Alpha (5Y) -8.019
Beta (5Y) 1.154
Alpha (vs YCharts Benchmark) (5Y) -0.0967
Beta (vs YCharts Benchmark) (5Y) 1.000
Annualized Standard Deviation of Monthly Returns (5Y Lookback) 25.98%
Historical Sharpe Ratio (5Y) 0.2845
Historical Sortino (5Y) 0.3536
Monthly Value at Risk (VaR) 5% (5Y Lookback) 9.86%