iShares U.S. Small-Cap Equity Factor ETF (SMLF)
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Learn moreETF Summary
The index is composed of small-capitalization equity securities from the STOXX U.S. Small Cap Index that are selected and weighted using an optimization process designed to maximize exposure to four target factors: momentum, quality, value, and low volatility. The fund will invest at least 80% of its assets in the component securities of its index and in investments that have economic characteristics that are substantially identical to the component securities of its index and may invest up to 20% of its assets in certain futures, options and swap contracts, cash and cash equivalents.
Risk Overview
Risk Overview Information Not Available
Performance & Risk
| YTD Return | 14.74% |
| 5y Average Return | 10.01% |
|---|---|
| Rank in Category (ytd) | -- |
| % Rank in Category (ytd) | -- |
| Beta (5Y Monthly) | 1.18 |
| Morningstar Risk Rating | -- |
Risk Statistics
| 3 Years | 5 Years | 10 Years | ||||
|---|---|---|---|---|---|---|
| |
SMLF | Category Average | SMLF | Category Average | SMLF | Category Average |
|
Alpha
|
-5.45 | -6.72 | -2.06 | -5.66 | -3.58 | -4.95 |
|
BETA
|
1.18 | 1.16 | 1.11 | 1.02 | 1.11 | 1.13 |
|
Mean Annual Return
|
1.56 | 1.37 | 1.01 | 0.68 | 1.07 | 1.01 |
|
R-squared
|
73.53 | 65.68 | 79.33 | 69.27 | 81.4 | 73.53 |
|
Standard Deviation
|
17.69 | -- | 19.74 | -- | 19.5 | -- |
|
Sharpe Ratio
|
0.8 | 0.62 | 0.41 | 0.24 | 0.53 | 0.48 |
|
Treynor Ratio
|
11.84 | 9.42 | 6.02 | 2.86 | 8.07 | 7.28 |
