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.
BlackRock is trusted to manage more money than any other investment manager in the world, helping millions of people and the world’s biggest institutions and governments reach their investing goals.
Source: BlackRock. Based on $6.288 trillion in AUM as of 12/31/17
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. ”
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 Name | 1-Year Returns | 5-Year Returns | 10-Year Returns | Index Launch Date | Dates of Back-tested Returns Used in Analysis | Associated 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 Name | Fund Inception Date | Gross Expense Ratio | 1-Year Returns | 5-Year Returns | 10-Year Returns | Since Inception Returns | ||||
---|---|---|---|---|---|---|---|---|---|---|
NAV | Mrkt Price | NAV | Mrkt Price | NAV | Mrkt Price | NAV | Mrkt 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.
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FOR INSTITUTIONAL INVESTORS ONLY – NOT FOR PUBLIC DISTRIBUTION
Analyze factor returns & risk
Evaluate factor returns and risk across expansions, contractions and economic market shocks.
Carefully consider the Funds' investment objectives, risk factors, and charges and expenses before investing. This and other information can be found in the Funds' prospectuses or, if available, the summary prospectuses, which may be obtained by visiting the iShares Fund and BlackRock Fund prospectus pages. Read the prospectus carefully before investing.
Investing involves risk, including possible loss of principal.
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 not sponsored, endorsed, issued, sold or promoted by Barclays, Bloomberg Finance L.P., BlackRock Index Services, LLC, Cohen & Steers Capital Management, Inc., European Public Real Estate Association (“EPRA® ”), FTSE International Limited (“FTSE”), ICE Data Services, LLC, India Index Services & Products Limited, JPMorgan Chase & Co., Japan Exchange Group, MSCI Inc., Markit Indices Limited, Morningstar, Inc., The NASDAQ OMX Group, Inc., National Association of Real Estate Investment Trusts (“NAREIT”), New York Stock Exchange, Inc., Russell or S&P Dow Jones Indices LLC. None of these companies make any representation regarding the advisability of investing in the Funds. With the exception of BlackRock Index Services, LLC, who is an affiliate, BlackRock Investments, LLC is not affiliated with the companies listed above.
Neither FTSE nor NAREIT makes any warranty regarding the FTSE NAREIT Equity REITS Index, FTSE NAREIT All Residential Capped Index or FTSE NAREIT All Mortgage Capped Index; all rights vest in NAREIT. Neither FTSE nor NAREIT makes any warranty regarding the FTSE EPRA/NAREIT Developed Real Estate ex-U.S. Index, FTSE EPRA/NAREIT Developed Europe Index or FTSE EPRA/NAREIT Global REIT Index; all rights vest in FTSE, NAREIT and EPRA.“FTSE®” is a trademark of London Stock Exchange Group companies and is used by FTSE under license.
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.
The Funds are distributed by BlackRock Investments, LLC (together with its affiliates, “BlackRock”).
©2018 BlackRock, Inc. All rights reserved. BLACKROCK, BLACKROCK SOLUTIONS, BUILD ON BLACKROCK, ALADDIN, iSHARES, iBONDS, iSHARES CONNECT, FUND FRENZY, LIFEPATH, SO WHAT DO I DO WITH MY MONEY, INVESTING FOR A NEW WORLD, BUILT FOR THESE TIMES, the iShares Core Graphic, CoRI and the CoRI logo are registered and unregistered trademarks of BlackRock, Inc., or its subsidiaries in the United States and elsewhere. All other marks are the property of their respective owners.
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