- ISIN
- US46435G5080
- CUSIP
- 46435G508
- Issuer
- iShares
- Inception Date
- Jun 16, 2015
- Region
- Developed Markets (Broad)
- Category
- Foreign Large Cap Equities
- Leveraged
- 1x (No leverage)
- Index Tracked
- MSCI World ex USA Risk Weighted Index
- Distribution Policy
- Accumulating
- Asset Class
- Equity
- Asset Class Size
- Large-Cap
- Asset Class Style
- Blend
- Assets Under Management
- $5M
Share Price Chart
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Performance
ISZE Performance Chart
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Returns By Period
iShares Edge MSCI Intl Size Factor ETF
- 1D
- —
- 1M
- —
- 6M
- —
- YTD
- —
- 1Y
- —
- 3Y*
- —
- 5Y*
- —
- 10Y*
- —
- ALL TIME*
- —
Benchmark (S&P 500 Index)
- 1D
- 0.70%
- 1M
- 0.09%
- 6M
- 7.94%
- YTD
- 9.41%
- 1Y
- 20.07%
- 3Y*
- 17.84%
- 5Y*
- 11.25%
- 10Y*
- 13.26%
- ALL TIME*
- 8.09%
ISZE Monthly Returns History
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Total | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2024 | -1.92% | 1.51% | 3.10% | -2.91% | 4.37% | -2.63% | 3.98% | -5.15% | -0.11% | ||||
| 2023 | 8.26% | -2.98% | 2.06% | 2.91% | -4.60% | 3.89% | 3.94% | -3.93% | -4.15% | -3.91% | 8.35% | 6.04% | 15.54% |
| 2022 | -3.78% | -2.09% | -0.20% | -6.69% | 1.53% | -8.83% | 5.59% | -5.68% | -10.07% | 4.68% | 13.32% | -2.28% | -15.70% |
| 2021 | 0.16% | 2.16% | 2.81% | 2.08% | 3.13% | -1.60% | 0.43% | 1.41% | -2.98% | 2.30% | -4.97% | 3.32% | 8.17% |
Benchmark Metrics
iShares Edge MSCI Intl Size Factor ETF has an annualized alpha of -1.69%, beta of 0.60, and R2 of 0.44 versus S&P 500 Index. Calculated based on daily prices since July 07, 2015.
- This ETF participated in 97.82% of S&P 500 Index downside but only 71.62% of its upside - more exposed to losses than it benefited from rallies.
- Beta of 0.60 may look defensive, but with R2 of 0.44 this ETF is largely uncorrelated with S&P 500 Index - low beta reflects independence, not downside protection. See the Volatility section for a true picture of this ETF's risk.
- R2 of 0.44 means the benchmark explains less than half of this ETF's behavior - treat beta with caution or consider switching to a more representative benchmark.
- Alpha
- -1.69%
- Beta
- 0.60
- R²
- 0.44
- Upside Capture
- 71.62%
- Downside Capture
- 97.82%
Expense Ratio
ISZE has an expense ratio of 0.30%, placing it in the medium range.
Return for Risk
Risk / Return Metrics
The table below present risk-adjusted performance metrics for iShares Edge MSCI Intl Size Factor ETF (ISZE) and compare them to S&P 500 Index.
Values are calculated on a 1-year rolling basis and updated daily. Risk-adjusted metrics are more stable over longer periods — use the period switch above to explore them.
| ISZE | Benchmark | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | — | — | |
| Sortino ratioReturn per unit of downside risk | — | — | |
| Omega ratioGain probability vs. loss probability | — | 1.25 | — |
| Calmar ratioReturn relative to maximum drawdown | — | 2.00 | — |
| Martin ratioReturn relative to average drawdown | — | 8.49 | — |
Dividends
Dividend History
iShares Edge MSCI Intl Size Factor ETF provided a 0.00% dividend yield over the last twelve months, with an annual payout of $0.00 per share.
| Period | TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|
| Dividend | $0.00 | $1.72 | $0.65 | $2.48 | $0.41 | $0.63 | $0.72 | $0.94 | $0.74 | $0.24 |
Dividend yield | 0.00% | 6.63% | 2.72% | 8.47% | 1.39% | 2.24% | 3.04% | 3.33% | 3.18% | 1.09% |
Monthly Dividends
The table displays the monthly dividend distributions for iShares Edge MSCI Intl Size Factor ETF. The dividends shown in the table have been adjusted to account for any splits that may have occurred.
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Total | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2024 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.48 | $0.00 | $0.00 | $0.48 | ||||
| 2023 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.61 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $1.11 | $1.72 |
| 2022 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.50 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.15 | $0.65 |
| 2021 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.43 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $2.05 | $2.48 |
| 2020 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.14 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.27 | $0.41 |
| 2019 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.46 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.17 | $0.63 |
Drawdowns
Drawdowns Chart
The Drawdowns chart displays portfolio losses from any high point along the way. Drawdowns are calculated considering price movements and all distributions paid, if any.
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Worst Drawdowns
The table below displays the maximum drawdowns of the iShares Edge MSCI Intl Size Factor ETF. A maximum drawdown is a measure of risk, indicating the largest reduction in portfolio value due to a series of losing trades.
The maximum drawdown for the iShares Edge MSCI Intl Size Factor ETF was 35.59%, occurring on Mar 23, 2020. Recovery took 170 trading sessions.
Drawdown | Fall | Recovery | Underwater | Related event |
|---|---|---|---|---|
-35.59%Mar 2020 | 2mo 2d | 8mo 2d | 10mo 4dJan 2020 - Nov 2020 | COVID crash2020 |
-31.32%Oct 2022 | 1y 1mo | — | 4y 11moSep 2021 - now | Bear market2022 |
-20.31%Dec 2018 | 10mo 29d | 1y 9d | 1y 11moJan 2018 - Jan 2020 | Rate-hike selloffLate 2018 |
-11.55%Feb 2016 | 4mo 12d | 6mo 4d | 10mo 16dSep 2015 - Aug 2016 | — |
-5.91%Nov 2016 | 2mo 1d | 2mo 17d | 4mo 18dSep 2016 - Feb 2017 | — |
Drawdown Indicators
| ISZE | Benchmark | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | — | -56.78% | — |
Max Drawdown (1Y)Largest decline over 1 year | — | -9.10% | — |
Max Drawdown (3Y)Largest decline over 3 years | — | -18.90% | — |
Max Drawdown (5Y)Largest decline over 5 years | — | -25.43% | — |
Max Drawdown (10Y)Largest decline over 10 years | — | -33.92% | — |
Current DrawdownCurrent decline from peak | — | -1.58% | — |
Average DrawdownAverage peak-to-trough decline | — | -10.70% | — |
Ulcer IndexDepth and duration of drawdowns from previous peaks | — | 2.14% | — |
Volatility
Volatility Chart
The chart below shows the rolling one-month volatility.
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