Amundi Index Solutions - Amundi MSCI Europe Low Size Factor UCITS ETF (CEM.PA)

Euronext Paris
EUR
FR0010612218
9 June 2008  –  21 January 2022

Performance

Annualized Return
6.66%
Sharpe Ratio
0.42
Maximum Drawdown
-51.24%

Metrics

Metric Amundi Index Solutions - Amundi MSCI Europe Low Size Factor UCITS ETF
Initial Balance $10,000
Final Balance $24,076
Returns
Month-To-Date -4.97%
Year-To-Date -4.97%
3M -2.24%
6M -0.32%
Annual Return (1Y) 11.74%
Annual Return (3Y) 13.01%
Annual Return (5Y) 8.98%
Annual Return (10Y) 10.6%
Annual Return (All) 6.66%
Enh Ann Return 9.69%
Best Year 39.17%
Worst Year -42.11%
Risk
Annual Volatility 19.39%
Max Drawdown -51.24%
Sharpe Ratio 0.42
Sortino Ratio 0.58
Adjusted Sortino (S/√2) 0.41
Ulcer Index 0.14
Gain to Pain Ratio 0.08

  • Initial balance: The amount of starting capital used to invest in the asset or portfolio. In this case, we're starting with a $10,000 investment on June 2008.
  • Final balance: The amount of capital we've accrued over time as of January 2022.
  • Annual return: Also known as annualized return, or CAGR (Compound Annual Growth Rate), measures how much an investment has increased on average each year, during a specific time period. The time period in this case is approximately 14 year(s). Even a small difference in return can have a big impact on the final balance over a long period of time.
  • Annual volatility: Basically indicates how much, in percentage points, the investment can deviate from its annual return, under most circumstances. An investment with an annual return of 5% and an annual volatility of 10% would indicate returns from approximately -5% to 15% most of the time. A lower volatility is usually preferred to ensure more steady returns over time.
  • Best year: The best performance attained over its lifetime in a given year.
  • Worst year: The worst performance undergone over its lifetime in a given year.
  • Max drawdown: The largest percentage drop from a peak to a trough of an asset or portfolio, before a new peak is attained. Maximum drawdown is an indicator of downside risk over a specified time period.
  • Sharpe Ratio: The Sharpe ratio measures the performance of an investment compared to a risk-free asset, after adjusting for its risk. A Sharpe Ratio above 1 is considered good.
  • Sortino Ratio: The Sortino Ratio is a variation of the Sharpe ratio that only penalizes the investment for negative volatility/outcomes, and not for positive volatility. A Sortino Ratio above 1 is considered good.
  • Adjusted Sortino Ratio: Sortino Ratio/√2. To allow for comparing the Sortino ratio to the Sharpe ratio, we multiply the risk measure of the Sortino ratio by the square root of 2 (which is the same as dividing the Sortino ratio by the square root of 2).
  • Ulcer Index: The Ulcer Index (UI) is a technical indicator that measures downside risk in terms of both the depth and duration of price declines.
  • Gain to Pain Ratio: The sum of all returns divided by the absolute value of the sum of all negative returns. In essence, the GPR shows the ratio of net returns to the losses incurred in getting those returns.

Chart

Table

Year Amundi Index Solutions - Amundi MSCI Europe Low Size Factor UCITS ETF
2008 -42.11%
2009 39.17%
2010 19.49%
2011 -14.03%
2012 19.93%
2013 24.33%
2014 8.69%
2015 15.85%
2016 0.2%
2017 14.44%
2018 -13.17%
2019 29.97%
2020 3.46%
2021 21.77%
2022 -4.97%

Amundi Index Solutions - Amundi MSCI Europe Low Size Factor UCITS ETF had 11 positive years and 4 negative years. That's a positive ratio of 73%.

Table

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec YTD
2008 0% 0% 0% 0% 0% -7.8% -4.9% 4.4% -13.6% -18.3% -5.9% -4.8% -49.8%
2009 -0.1% -8.2% 1.5% 17.6% 4.5% -1.6% 8.7% 5.6% 3.9% -3.4% 1% 6.3% 36%
2010 -1% -0.6% 8.7% 0.8% -5.5% -0.2% 5.3% -2.3% 5.5% 2% -0.3% 6.3% 19.5%
2011 0.7% 2.7% -2.4% 2.5% 0.1% -3.9% -3.6% -9.6% -6.8% 6.9% -1.9% 1.5% -12.4%
2012 5.4% 4.9% 1.1% -1.9% -6.8% 4% 4% 2% 1.8% 0.4% 2.7% 1.4% 19.4%
2013 2.1% 2.6% 1.7% 1.2% 2.7% -4.3% 6.7% -0.2% 3.9% 3.6% 0.6% 1.8% 22.5%
2014 -0% 5.6% -1.1% 0.9% 2.4% -1.1% -2.3% 1.6% -1.4% -0.7% 4% 0.9% 9.2%
2015 7.7% 7.2% 1.6% 0.5% 2.5% -4% 3.6% -6.9% -3.5% 7.7% 3.5% -3.8% 16.4%
2016 -7.4% -1.4% 3% 1.3% 2.2% -6.8% 5.3% 0.9% 0.3% -2.3% 1.5% 4.5% 2.3%
2017 1% 2.9% 2.9% 3.2% 1.1% -2.6% 0.6% -0.3% 3.7% 2.6% -2.5% 1.3% 13.9%
2018 1.5% -2.7% -2.2% 3.8% 1.9% -1.3% 2.9% -0.4% -0.7% -7.5% -2.7% -6.1% -13.2%
2019 7.9% 3.9% 0.8% 4.9% -5.6% 4.2% 0.7% -1.1% 3.5% 2% 3.7% 2.3% 27%
2020 -1% -7.7% -18.2% 9.1% 4.7% 2.4% 0.3% 5.1% -0.8% -3.5% 13.3% 3.4% 7.6%
2021 0.2% 2% 5.5% 2.8% 2% 1.6% 3% 1.7% -4.5% 4% -2.7% 4.7% 20.5%
2022 -5% 0% 0% 0% 0% 0% 0% 0% 0% 0% 0% 0% -5%
Pos 57.1% 61.5% 69.2% 92.3% 76.9% 28.6% 78.6% 50% 50% 57.1% 57.1% 78.6% 73.3%
Avg 0.9% 0.9% 0.2% 3.6% 0.5% -1.5% 2.2% 0% -0.6% -0.5% 1% 1.4% 7.6%

Drawdown Periods

Simply said, a drawdown is the "pain" period experienced by an investor between a peak (new highs) and subsequent valley (a low point before moving higher). In the table below are the fifth largest drawdowns encountered for the portfolio/asset in question.

Amundi Index Solutions - Amundi MSCI Europe Low Size Factor UCITS ETF

start valley end Drawdown days
2008-06-10 2009-03-09 2011-02-07 -51.24% 972
2020-02-20 2020-03-18 2020-12-29 -37.82% 313
2011-02-15 2011-10-04 2013-01-02 -26.65% 687
2015-05-28 2016-02-11 2017-03-30 -22.29% 672
2018-06-15 2018-12-27 2019-10-21 -19.58% 493

The Amundi Index Solutions - Amundi MSCI Europe Low Size Factor UCITS ETF took approximately 21 months on average to recover from a major drawdown.

Underwater plot

The underwater plot shows you the drawdown periods on a chart. Whereas the performance chart usually gives you a positive viewpoint, the underwater plot gives you a pessimistic viewpoint. It helps you to visualize downtrends that occurred and how long it took for the portfolio's value to rebound to hit a new high after suffering a loss.

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