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What’s driving the performance of your portfolios?

We can’t predict the future, but we can look to the past for ideas on how to use factors through different market shocks and economic cycles.

 

EXPLORE THE TOOL 

For financial professionals only

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    People often ask where factors can take them. You might know that factors have provided better risk-adjusted returns over the long term — but do you know when each factor will be in favor?

    While the road ahead isn’t always predictable, some signs from the past can help point us in the right direction.

    What if we had an easy way to look at past factor performance?

    With BlackRock’s Factor Performance Tool, you can explore past market cycles and see which factors prevailed.

    First stop – the Dot Com Crash, where investors lost $5 trillion in market value. Did you know that VALUE stocks outperformed the S&P 500 by 11%?

    After the bursting of the tech bubble, the market began to recover. And, as has often happened during expansions – MOMENTUM stocks – stocks with the strongest recent returns – outperformed, more than doubling the returns of the S&P 500 as many investors chased “winners.”

    Next down the road, investors ran into heavy traffic with the financial crisis of 2008. While the standstill impacted the entire market – QUALITY stocks – with stronger balance sheets and historically stable earnings – performed about seven-and-a-half-percent better. Once the crisis traffic began to ease, we saw equities rally. And here’s where the factor of SIZE came into play. Smaller companies bounced back exceptionally well, outpacing the S&P 500 by over 10%.

    Factors can also drive returns outside of the U.S. During the Euro Debt Crisis, MINIMUM VOLATILITY portfolios had less downside and lower risk than the broad market.

    The rearview mirror shows that factors can diversify each other to potentially provide better risk-adjusted returns over the long term.

    See how your own customized factor blends have performed over the last 15 years, and download all of the historical data.

    So go ahead, click the link below to take your own test drive with the Factor Performance Tool.

    Index Disclosures
    This analysis contains back-tested index data. Index returns are for illustrative purposes only. Indexes are unmanaged and one cannot invest directly in an index. Data for time periods prior to the index inception date is hypothetical and is provided for informational purposes only to indicate historical performance had the index been available over the relevant time period. Hypothetical data results are based on criteria applied retroactively with the benefit of hindsight and knowledge of factors that may have positively affected its performance, and cannot account for risk factors that may affect the actual fund performance. The actual performance of the fund may vary significantly from the hypothetical index performance due to transaction costs, liquidity or other market factors. This analysis uses back-tested index data from MSCI. Index methodology is available upon request.

    Index Data as of 9/30/2016

    Index Name1-Year Returns5-Year Returns10-Year ReturnsIndex Launch DateDates of Back-tested Returns Used in AnalysisAssociated iShares ETF
    MSCI USA Sector Neutral Quality Index 14.00% 15.60% 8.75% 12/12/2014 3/14/2008 – 1/20/2009 QUAL
    MSCI USA Enhanced Value Index 12.09% 17.47% 7.49% 12/12/2014 3/10/2000 - 10/9/2002 VLUE
    MSCI USA Risk Weighted Index 15.22% 16.52% 8.71% 6/28/2011 7/1/2009 – 6/30/2011 SIZE
    MSCI USA Momentum Index 15.00% 17.95% 8.97% 2/15/2013 12/31/2001 – 11/30/2007 MTUM
    MSCI EAFE Minimum Volatility (USD) Index 11.42% 9.44% 5.55% 12/1/2009 n/a EFAV

     

    Fund NameFund Inception DateGross Expense Ratio1-Year Returns5-Year Returns10-Year ReturnsSince Inception Returns
    NAVMrkt PriceNAVMrkt PriceNAVMrkt PriceNAVMrkt Price
    iShares Edge MSCI USA Quality Factor ETF (QUAL) 7/16/2013 0.15% 13.81% 13.86% -- -- -- -- 11.57% 11.56%
    iShares Edge MSCI USA Value Factor ETF (VLUE) 4/16/2013 0.15% 11.86% 11.83% -- -- -- -- 10.14% 10.13%
    iShares Edge MSCI USA Size Factor ETF (SIZE) 4/16/2013 0.15% 15.07% 15.19% -- -- -- -- 11.79% 11.80%
    iShares Edge MSCI USA Momentum Factor ETF (MTUM) 4/16/2013 0.15% 14.79% 14.84% -- -- -- -- 13.79% 13.79%
    iShares Edge MSCI Min Vol EAFE ETF (EFAV) 10/18/2011 0.33% 11.32% 11.20% -- -- -- -- 9.07% 9.12%

     

    The performance quoted represents past performance and does not guarantee future results. Investment return and principal value of an investment will fluctuate so that an investor's shares, when sold or redeemed, may be worth more or less than the original cost. Current performance may be lower or higher than the performance quoted. Performance data current to the most recent month end may be obtained by calling toll-free 1-800-iShares (1-800-474-2737) or by visiting www.iShares.com.

    Shares of ETFs are bought and sold at market price (not NAV) and are not individually redeemed from the Fund. Brokerage commissions will reduce returns. Market returns are based upon the midpoint of the bid/ask spread at 4:00 p.m. eastern time (when NAV is normally determined for most ETFs), and do not represent the returns you would receive if you traded shares at other times.

    Important Information
    The performance quoted represents past performance and does not guarantee future results. Investment return and principal value of an investment will fluctuate so that an investor’s shares, when sold or redeemed, may be worth more or less than the original cost. Current performance may be lower or higher than the performance quoted. Performance data current to the most recent month end may be obtained by visiting www.iShares.com. Index performance data based on back-tested index returns.

    Visit www.iShares.com to view a prospectus, which includes investment objectives, risks, fees, expenses and other information that you should read and consider carefully before investing. Investing involves risk, including possible loss of principal.

    Index returns are for illustrative purposes only. Index performance returns do not reflect any management fees, transaction costs or expenses. Indexes are unmanaged and one cannot invest directly in an index. Past performance does not guarantee future results.

    Data for time periods prior to the index inception date is hypothetical and is provided for informational purposes only to indicate historical performance had the index been available over the relevant time period. Hypothetical data results are based on criteria applied retroactively with the benefit of hindsight and knowledge of factors that may have positively affected its performance, and cannot account for risk factors that may affect the actual fund performance. The actual performance of the fund may vary significantly from the hypothetical index performance due to transaction costs, liquidity or other market factors. Index methodology available upon request.

    There can be no assurance that performance will be enhanced or risk will be reduced for funds that seek to provide exposure to certain quantitative investment characteristics ("factors"). Exposure to such investment factors may detract from performance in some market environments, perhaps for extended periods. In such circumstances, a fund may seek to maintain exposure to the targeted investment factors and not adjust to target different factors, which could result in losses.

    No proprietary technology or asset allocation model is a guarantee against loss of principal. There can be no assurance that an investment strategy based on the tools will be successful.

    The iShares Funds are distributed by BlackRock Investments, LLC (together with its affiliates, “BlackRock”).

    The iShares Funds are not sponsored, endorsed, issued, sold or promoted by MSCI Inc., nor does this company make any representation regarding the advisability of investing in the Funds. BlackRock is not affiliated with MSCI Inc.

    © 2016 BlackRock, Inc. All rights reserved. iSHARES and BLACKROCK is a registered trademark of BlackRock, Inc., or its subsidiaries. All other marks are the property of their respective owners.

    iS-19056-1116

    FOR INSTITUTIONAL INVESTORS ONLY – NOT FOR PUBLIC DISTRIBUTION

The Factor Performance Tool, with over 15 years of MSCI data, can help

Factor Performance Tool - Analyze factor returns & risk

Analyze factor returns & risk

Evaluate factor returns and risk across expansions, contractions and economic market shocks.

Factor Performance Tool - Create your own factor blend

Create your own factor blend

Explore how different combinations of factors performed together.

Factor Performance Tool - Access historical returns

Access historical returns

Download the full MSCI historical return series to conduct independent analysis.

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