Subject: Factor ETF Long-term Performance
Out of date maybe can follow up with Mar-2024 version later.
Long-term Performance
Comparisons by Factor
Apr-4-2024 11:29 AM ET
ISHARES ISHARES ISHARES ISHARES ISHARES
USA MSCI USA MSCI USA MSCI USA MSCI USA
EQUITY MOMENTUM QUALITY SIZE VALUE
Name FACTOR FACTOR FACTOR FACTOR FACTOR
Issue type ETF ETF ETF ETF ETF
Market price $53.82 $189.06 $163.79 $141.37 $107.48
Apr-4-2024 Apr-4-2024 Apr-4-2024 Apr-4-2024 Apr-4-2024
Market total return (1 year) 30.15% 32.84% 36.83% 16.89% 12.96%
Feb-29-2024 Feb-29-2024 Feb-29-2024 Feb-29-2024 Feb-29-2024
Market total return (3 years) 11.93% 5.17% 12.79% 7.26% 5.20%
Feb-29-2024 Feb-29-2024 Feb-29-2024 Feb-29-2024 Feb-29-2024
Market total return (5 years) 12.61% 12.02% 14.82% 11.01% 7.83%
Feb-29-2024 Feb-29-2024 Feb-29-2024 Feb-29-2024 Feb-29-2024
Market total return (10 years) -- 12.68% 12.78% 10.75% 8.28%
Feb-29-2024 Feb-29-2024 Feb-29-2024 Feb-29-2024
Premium / discount (1 year avg.) 0.01% 0.00% 0.01% 0.00% 0.00%
Feb-29-2024 Feb-29-2024 Feb-29-2024 Feb-29-2024 Feb-29-2024
Beta (month-end 3 years) 0.98 0.93 1.06 1.01 0.93
Feb-29-2024 Feb-29-2024 Feb-29-2024 Feb-29-2024 Feb-29-2024
Standard deviation (month-end 3 years) 17.48 19.33 18.92 18.6 18.78
Feb-29-2024 Feb-29-2024 Feb-29-2024 Feb-29-2024 Feb-29-2024
Sharpe ratio (month-end 3 years) 0.58 0.21 0.59 0.32 0.22
Feb-29-2024 Feb-29-2024 Feb-29-2024 Feb-29-2024 Feb-29-2024
Alpha (month-end 3 years) 0.26 -5.25 0.42 -4.3 -5.32
Feb-29-2024 Feb-29-2024 Feb-29-2024 Feb-29-2024 Feb-29-2024
R2 (month-end 3 years) 97.61 72.67 97.9 92.22 76.42
Feb-29-2024 Feb-29-2024 Feb-29-2024 Feb-29-2024 Feb-29-2024
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