Fund Performance Analysis

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Fund Information (Aug 2000 - Oct 2018)

Fund information
TickerIJS
NameiShares S&P Small-Cap 600 Value ETF
Asset ClassU.S. Equity
CategorySmall Value
Fund BenchmarkS&P SmallCap 600 Value TR USD
Selected BenchmarkiShares S&P Small-Cap 600 Growth ETF (IJT)
Price/Earnings (TTM)10.68
Yield (SEC)3.27%
Yield (TTM)2.26%
Assets4.63 B
Expense Ratio0.25%
Inception Date07/24/2000

Performance Summary

Fund performance summary
PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
iShares S&P Small-Cap 600 Value ETF$10,000$57,111 10.02% 18.72%39.76%-29.39%-54.13% 0.530.790.87
iShares S&P Small-Cap 600 Growth ETF$10,000$51,707 9.42% 18.11%42.26%-33.38%-51.05% 0.510.750.90
   
Notes on results:
  • Past performance is no guarantee of future results, which may vary. All use is subject to terms of service.
  • Investing involves risk, including possible loss of principal. The value of the investments and the income derived from them may fluctuate over time.
  • All portfolio returns presented are hypothetical and backtested. Hypothetical returns do not reflect trading costs, transaction fees, or taxes.
  • The results are based on information from a variety of sources we consider reliable, but we do not represent that the information is accurate or complete.
  • The results do not constitute investment advice or recommendation, are provided solely for informational purposes, and are not an offer to buy or sell any securities.
  • The results are based on the total return of assets and assume that all received dividends and distributions are reinvested.
  • Fund fundamentals data as of 06/30/2020. (c) 2020 Morningstar. All Rights Reserved. The fund fundamentals information contained herein: (1) is proprietary to Morningstar and/or its content providers; (2) may not be copied or distributed; and (3) is not warranted to be accurate, complete or timely. Neither Morningstar nor its content providers are responsible for any damages or losses arising from any use of this information.
  • Displayed expense ratio is the prospectus net expense ratio
  • CAGR = Compound Annual Growth Rate
  • Stdev = Annualized standard deviation of monthly returns
  • Sharpe and Sortino ratios are calculated and annualized from monthly excess returns over risk free rate (3-month treasury bill)
  • Stock market correlation is based on the correlation of monthly returns
  • Drawdowns are calculated based on monthly returns

Returns Based Style Analysis

Returns Based Style Analysis
Style CategoryiShares S&P Small-Cap 600 Value ETFiShares S&P Small-Cap 600 Growth ETF
Large-cap Value0.00%0.00%
Large-cap Growth0.00%0.00%
Mid-cap Value0.00%0.00%
Mid-cap Growth0.00%0.00%
Small-cap Value100.00%0.00%
Small-cap Growth0.00%100.00%
Global ex-US Developed Markets0.00%0.00%
Emerging Markets0.00%0.00%
Corporate Bonds0.00%0.00%
Long-Term Treasuries0.00%0.00%
Intermediate-Term Treasuries0.00%0.00%
Short-Term Treasuries0.00%0.00%
R Squared100.00%100.00%
Style analysis is based on monthly returns from Apr 2005 to Oct 2018 and uses total portfolio return with monthly rebalancing. Returns based style analysis aims to explain the portfolio returns based on asset class exposures, it does not identify the actual portfolio holdings.

Holdings Based Style Analysis for iShares S&P Small-Cap 600 Value ETF

Holdings Based Style Analysis for iShares S&P Small-Cap 600 Value ETF
TickerNameCategoryWeightERP/EReturn ContributionRisk Contribution
IJSiShares S&P Small-Cap 600 Value ETFSmall Value100.00%0.25%10.68$47,111100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Holdings Based Style Analysis for iShares S&P Small-Cap 600 Growth ETF

Holdings Based Style Analysis for iShares S&P Small-Cap 600 Growth ETF
TickerNameCategoryWeightERP/EReturn ContributionRisk Contribution
IJTiShares S&P Small-Cap 600 Growth ETFSmall Growth100.00%0.25%18.96$41,707100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Portfolio return and risk metrics
MetriciShares S&P Small-Cap 600 Value ETFiShares S&P Small-Cap 600 Growth ETF
Arithmetic Mean (monthly)0.95%0.89%
Arithmetic Mean (annualized)11.96%11.23%
Geometric Mean (monthly)0.80%0.75%
Geometric Mean (annualized)10.02%9.42%
Volatility (monthly)5.40%5.23%
Volatility (annualized)18.72%18.11%
Downside Deviation (monthly)3.57%3.49%
Max. Drawdown-54.13%-51.05%
US Market Correlation0.870.90
Beta(*)0.981.00
Alpha (annualized)0.90%-0.00%
R289.37%100.00%
Sharpe Ratio0.530.51
Sortino Ratio0.790.75
Treynor Ratio (%)10.099.20
Calmar Ratio0.950.94
Active Return0.60%N/A
Tracking Error6.12%N/A
Information Ratio0.10N/A
Skewness-0.43-0.51
Excess Kurtosis1.561.50
Historical Value-at-Risk (5%)-8.27%-7.67%
Analytical Value-at-Risk (5%)-7.94%-7.71%
Conditional Value-at-Risk (5%)-12.64%-12.09%
Upside Capture Ratio (%)98.64100.00
Downside Capture Ratio (%)96.01100.00
Safe Withdrawal Rate10.05%7.86%
Perpetual Withdrawal Rate7.28%6.77%
Positive Periods140 out of 219 (63.93%)138 out of 219 (63.01%)
Gain/Loss Ratio0.890.91
* iShares S&P Small-Cap 600 Growth ETF is used as the benchmark for calculations. Value-at-risk metrics are based on monthly values.

iShares S&P Small-Cap 600 Value ETF Returns

Annual and monthly fund returns
YearJanFebMarAprMayJunJulAugSepOctNovDecTotal
20007.38%-0.18%-0.89%-4.10%12.87%14.98%
20017.86%-4.21%-4.94%6.82%2.91%2.01%-0.22%-0.96%-14.53%4.50%7.55%6.83%11.68%
20022.14%-0.42%8.72%4.03%-3.63%-4.62%-15.78%-0.42%-7.91%2.58%5.50%-2.74%-14.04%
2003-4.05%-4.05%-0.15%8.81%9.42%2.85%4.91%4.96%-3.51%9.09%4.30%2.71%39.76%
20042.17%2.50%1.82%-3.93%1.58%5.35%-4.75%0.24%4.69%0.95%9.11%1.57%22.60%
2005-3.25%2.90%-2.36%-5.12%6.16%3.92%5.84%-1.87%0.05%-3.41%4.91%-1.06%6.00%
20068.75%0.27%4.86%0.18%-4.55%0.04%-3.10%2.70%1.19%5.52%2.38%0.32%19.37%
20072.14%-0.92%0.91%1.84%4.63%-2.24%-6.26%1.33%0.31%1.06%-7.15%-0.71%-5.56%
2008-4.00%-3.36%0.83%2.64%3.92%-8.41%2.87%4.76%-4.82%-19.86%-11.80%6.57%-29.39%
2009-13.94%-13.03%7.58%18.89%0.67%1.52%11.00%3.48%4.21%-6.07%2.90%8.10%22.36%
2010-2.54%4.76%7.80%6.63%-8.54%-8.27%6.71%-7.91%10.93%4.04%2.47%8.97%24.69%
2011-0.24%4.21%2.21%1.06%-1.77%-1.59%-2.77%-7.98%-10.57%15.34%0.63%2.02%-1.65%
20127.90%1.71%2.89%-1.91%-7.18%4.54%-0.69%4.08%3.14%-1.96%1.65%3.55%18.24%
20135.35%1.63%4.11%0.12%4.29%-0.14%6.56%-3.41%6.59%3.48%4.25%1.29%39.34%
2014-3.51%4.63%1.34%-2.29%0.62%3.85%-5.07%4.46%-5.94%7.13%0.48%2.56%7.56%
2015-5.32%5.86%1.03%-1.82%0.75%0.42%-2.70%-4.62%-3.77%6.57%2.47%-5.08%-6.90%
2016-5.85%2.08%9.41%2.13%0.44%0.83%5.06%1.13%0.87%-3.74%13.34%3.20%31.25%
2017-1.21%1.35%-0.65%0.51%-2.26%2.96%0.75%-2.72%8.58%0.59%3.76%-0.37%11.35%
20181.33%-4.04%1.37%1.76%5.87%0.80%2.62%3.14%-3.05%-9.94%-1.09%

iShares S&P Small-Cap 600 Growth ETF Returns

Annual and monthly fund returns
YearJanFebMarAprMayJunJulAugSepOctNovDecTotal
200012.95%-4.39%-0.70%-13.44%8.03%0.28%
2001-0.14%-8.24%-5.59%10.13%1.54%1.66%-1.95%-2.22%-12.91%6.83%5.86%5.76%-1.77%
20020.06%-3.32%7.39%1.11%-4.41%-6.11%-11.72%1.89%-5.08%4.68%5.65%-4.61%-15.08%
2003-2.90%-2.82%1.78%7.58%6.64%2.02%5.63%4.97%-2.60%8.49%3.43%0.58%37.00%
20043.13%1.58%0.86%-3.21%1.99%5.67%-6.01%-2.41%5.52%2.96%8.04%2.12%21.17%
2005-0.73%2.61%-3.31%-5.84%7.06%2.85%6.42%-1.25%1.52%-3.94%5.22%-1.02%9.00%
20066.97%-0.65%5.05%-0.07%-4.94%-0.32%-3.56%0.54%0.60%4.28%3.27%-0.44%10.55%
20072.02%-0.08%2.44%2.36%4.62%-1.05%-4.28%3.06%2.71%2.44%-7.43%-0.62%5.66%
2008-6.33%-2.06%0.11%4.93%4.39%-5.77%0.36%3.69%-7.31%-21.46%-10.84%4.05%-33.38%
2009-10.39%-10.87%6.73%16.91%2.30%2.25%8.93%1.41%5.65%-4.72%2.10%8.82%28.78%
2010-4.06%3.68%7.95%5.11%-5.87%-5.91%5.97%-7.16%11.71%4.71%4.62%6.55%28.24%
20110.18%4.58%4.03%3.99%0.15%-2.18%-3.50%-7.67%-9.86%14.58%0.60%0.47%3.26%
20125.30%2.56%2.98%-0.85%-5.35%4.40%-1.44%3.76%1.48%-2.22%0.48%3.02%14.47%
20136.10%1.20%4.25%-0.56%4.47%-0.50%7.38%-1.48%5.91%3.58%4.92%0.98%42.26%
2014-3.91%4.33%0.21%-3.48%-0.17%5.54%-5.99%3.96%-4.49%6.88%-0.90%2.98%4.01%
2015-1.80%6.24%2.16%-2.89%2.18%1.69%0.96%-5.82%-3.32%5.77%2.72%-4.38%2.70%
2016-6.44%0.04%7.13%0.30%2.79%0.53%4.90%1.57%0.43%-5.20%11.83%3.53%22.07%
20170.16%1.73%0.33%1.25%-2.01%2.91%1.28%-2.39%6.93%1.18%3.29%-0.72%14.47%
20183.57%-3.59%2.52%0.35%7.11%1.30%3.70%6.70%-3.36%-11.12%5.92%

iShares S&P Small-Cap 600 Value ETF Factor Regression

iShares S&P Small-Cap 600 Value ETF Factor Regression
ModelMKT-RFSMBHMLMOMRMWCMAAnnualized AlphaR2
Fama-French 3-factor model0.950.810.490.73%95.61%
Carhart 4-factor model0.960.810.490.010.69%95.62%
Fama-French 5-factor model1.020.860.270.210.06-1.20%96.52%
Factor regression from Aug 2000 to Oct 2018. Statistically significant values in bold.

iShares S&P Small-Cap 600 Growth ETF Factor Regression

iShares S&P Small-Cap 600 Growth ETF Factor Regression
ModelMKT-RFSMBHMLMOMRMWCMAAnnualized AlphaR2
Fama-French 3-factor model0.970.710.131.37%92.88%
Carhart 4-factor model1.030.720.140.120.77%93.93%
Fama-French 5-factor model1.010.76-0.010.17-0.080.10%93.70%
Factor regression from Aug 2000 to Oct 2018. Statistically significant values in bold.
Rolling returns summary
Roll PeriodiShares S&P Small-Cap 600 Value ETFiShares S&P Small-Cap 600 Growth ETF
AverageHighLowAverageHighLow
1 year11.57%39.76%-29.39%11.38%42.26%-33.38%
3 years10.32%22.01%-7.32%10.79%21.86%-8.02%
5 years9.94%19.85%0.01%10.59%22.66%0.55%
7 years8.70%14.97%3.15%9.63%16.80%2.59%
10 years8.41%9.88%6.43%9.32%11.06%6.85%
15 years10.00%11.66%8.58%10.47%12.48%8.68%
Result statistics are based on annualized rolling returns over full calendar year periods