Fund Performance Analysis

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Fund Information (Aug 2000 - Jul 2020)

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 BenchmarkVanguard Total Stock Mkt Idx Inv (VTSMX)
Price/Earnings (TTM)14.18
Yield (TTM)2.14%
Assets4.68 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$48,441 8.21% 20.06%39.76%-29.39%-54.13% 0.420.600.88
Vanguard Total Stock Mkt Idx Inv$10,000$35,538 6.55% 15.52%33.35%-37.04%-50.89% 0.390.541.00
   
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 08/12/2020. (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 ETFVanguard Total Stock Mkt Idx Inv
Large-cap Value0.00%36.55%
Large-cap Growth0.00%45.11%
Mid-cap Value0.00%4.21%
Mid-cap Growth0.00%7.73%
Small-cap Value100.00%2.66%
Small-cap Growth0.00%3.09%
Global ex-US Developed Markets0.00%0.08%
Emerging Markets0.00%0.58%
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%99.87%
Style analysis is based on monthly returns from Apr 2005 to Jul 2020 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%14.18$38,441100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Holdings Based Style Analysis for Vanguard Total Stock Mkt Idx Inv

Holdings Based Style Analysis for Vanguard Total Stock Mkt Idx Inv
TickerNameCategoryWeightERP/EReturn ContributionRisk Contribution
VTSMXVanguard Total Stock Mkt Idx InvLarge Blend100.00%0.14%22.08$25,538100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Portfolio return and risk metrics
MetriciShares S&P Small-Cap 600 Value ETFVanguard Total Stock Mkt Idx Inv
Arithmetic Mean (monthly)0.83%0.63%
Arithmetic Mean (annualized)10.44%7.85%
Geometric Mean (monthly)0.66%0.53%
Geometric Mean (annualized)8.21%6.55%
Volatility (monthly)5.79%4.48%
Volatility (annualized)20.06%15.52%
Downside Deviation (monthly)4.02%3.15%
Max. Drawdown-54.13%-50.89%
US Market Correlation0.881.00
Beta(*)1.141.00
Alpha (annualized)1.34%0.00%
R277.65%100.00%
Sharpe Ratio0.420.39
Sortino Ratio0.600.54
Treynor Ratio (%)7.436.07
Calmar Ratio-0.070.54
Active Return1.66%N/A
Tracking Error9.72%N/A
Information Ratio0.17N/A
Skewness-0.70-0.66
Excess Kurtosis2.451.32
Historical Value-at-Risk (5%)-9.87%-8.17%
Analytical Value-at-Risk (5%)-8.69%-6.74%
Conditional Value-at-Risk (5%)-13.98%-10.29%
Upside Capture Ratio (%)119.31100.00
Downside Capture Ratio (%)112.80100.00
Safe Withdrawal Rate9.54%5.11%
Perpetual Withdrawal Rate5.72%4.24%
Positive Periods154 out of 240 (64.17%)156 out of 240 (65.00%)
Gain/Loss Ratio0.820.77
* Vanguard Total Stock Mkt Idx Inv 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%0.57%-12.38%-12.84%
201912.26%4.13%-3.91%4.32%-9.98%7.66%1.30%-5.14%5.57%2.00%2.71%2.84%24.12%
2020-6.31%-10.15%-25.76%13.89%2.55%3.58%2.58%-22.45%

Vanguard Total Stock Mkt Idx Inv Returns

Annual and monthly fund returns
YearJanFebMarAprMayJunJulAugSepOctNovDecTotal
20007.28%-4.67%-2.04%-9.90%1.78%-8.13%
20013.83%-9.41%-6.72%8.16%1.01%-1.64%-1.71%-6.00%-9.00%2.52%7.63%1.78%-10.97%
2002-1.24%-2.05%4.38%-4.90%-1.22%-7.06%-8.02%0.53%-10.07%7.65%6.06%-5.57%-20.96%
2003-2.54%-1.69%1.09%8.21%6.11%1.43%2.36%2.39%-1.15%6.12%1.38%4.48%31.35%
20042.23%1.43%-1.07%-2.11%1.35%2.09%-3.80%0.31%1.74%1.68%4.68%3.63%12.51%
2005-2.68%2.07%-1.75%-2.32%3.77%0.81%4.11%-0.94%0.86%-1.86%3.97%0.14%5.98%
20063.50%0.00%1.80%1.11%-3.23%0.17%-0.13%2.31%2.27%3.53%2.23%1.13%15.51%
20071.88%-1.61%1.11%4.01%3.69%-1.67%-3.41%1.45%3.59%1.85%-4.49%-0.60%5.49%
2008-6.08%-3.07%-0.58%5.02%2.09%-8.19%-0.77%1.58%-9.26%-17.63%-7.90%1.86%-37.04%
2009-8.26%-10.45%8.65%10.61%5.38%0.34%7.82%3.63%4.23%-2.57%5.63%2.86%28.70%
2010-3.50%3.36%6.27%2.17%-8.00%-5.66%6.99%-4.75%9.47%3.94%0.58%6.81%17.09%
20112.19%3.60%0.45%2.99%-1.16%-1.79%-2.28%-5.99%-7.75%11.51%-0.29%0.80%0.96%
20125.08%4.26%3.07%-0.65%-6.24%3.91%1.03%2.48%2.58%-1.76%0.74%1.19%16.25%
20135.50%1.28%3.88%1.70%2.32%-1.27%5.49%-2.82%3.66%4.22%2.88%2.63%33.35%
2014-3.11%4.73%0.51%0.06%2.17%2.54%-1.98%4.18%-2.14%2.74%2.41%-0.01%12.43%
2015-2.77%5.76%-1.04%0.42%1.39%-1.71%1.63%-6.03%-2.93%7.84%0.54%-2.03%0.29%
2016-5.67%-0.04%7.01%0.63%1.79%0.23%3.95%0.26%0.15%-2.21%4.44%1.92%12.53%
20171.91%3.71%0.07%1.05%1.01%0.92%1.87%0.15%2.45%2.16%3.04%0.99%21.05%
20185.31%-3.72%-1.99%0.38%2.79%0.68%3.34%3.44%0.16%-7.40%2.06%-9.29%-5.26%
20198.59%3.50%1.44%3.98%-6.45%6.97%1.44%-2.03%1.70%2.10%3.77%2.85%30.65%
2020-0.08%-8.18%-13.78%13.25%5.38%2.28%5.64%2.01%

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 model0.960.810.520.45%96.14%
Carhart 4-factor model0.970.810.520.010.42%96.15%
Fama-French 5-factor model1.010.850.300.180.05-1.24%96.85%
Factor regression from Aug 2000 to Jun 2020. Statistically significant values in bold.

Vanguard Total Stock Mkt Idx Inv Factor Regression

Vanguard Total Stock Mkt Idx Inv Factor Regression
ModelMKT-RFSMBHMLMOMRMWCMAAnnualized AlphaR2
Fama-French 3-factor model1.00-0.000.01-0.13%99.89%
Carhart 4-factor model1.00-0.000.010.00-0.13%99.89%
Fama-French 5-factor model1.000.000.010.010.00-0.22%99.90%
Factor regression from Aug 2000 to Jun 2020. Statistically significant values in bold.
Rolling returns summary
Roll PeriodiShares S&P Small-Cap 600 Value ETFVanguard Total Stock Mkt Idx Inv
AverageHighLowAverageHighLow
1 year10.94%39.76%-29.39%8.94%33.35%-37.04%
3 years9.98%22.01%-7.32%8.44%20.34%-8.45%
5 years9.48%19.85%0.01%8.18%18.72%-1.76%
7 years9.15%14.97%3.15%8.01%15.00%-0.73%
10 years9.18%12.33%6.43%7.95%13.30%2.45%
15 years9.30%11.66%8.20%8.00%10.30%5.55%
Result statistics are based on annualized rolling returns over full calendar year periods