1 Published research showing the historical outperformance of these factors includes:
– Value: J. Lakonishok, A. Shleifer, R. Vishny, “Contrarian Investment, Extrapolation, and Risk.” Journal of Finance, 1994.
– Momentum: N. Jegadeesh and S. Titman, “Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency.” Journal of Finance, 1993.
– Quality: R. Sloan, “Do Stock Prices Fully Reflect Information in Accruals and Cash Flows About Future Earnings.” Accounting Review, 1996.
– Low volatility: R. Clarke, H. Silva and S. Thorley, ”Minimum-Variance Portfolios in the U. S. Equity Market,” Journal of Portfolio Management, 2006.
2 iShares Index Funds seek to track the investment results of their underlying benchmark, less fees and expenses. Tracking error is a measure of how closely a Fund follows the index to which it is benchmarked. Over a three year period, as of 6/30/2016, 71% of global iShares Funds were within 25 bps and 88% were within 50 bps of their benchmarks, based on the Net Asset Value of the Funds. Past performance is no guarantee of future results.