iShares CMBS ETF

10-Year Study

CMBS.US · · US · ETF

Executive Summary: iShares CMBS ETF has compounded at 2.1% annually over the last 10 years, with a maximum drawdown of 15.6% and an annualized volatility of 9.4%.

1Y CAGR
+4.5%
3Y CAGR
+5.2%
5Y CAGR
+0.7%
10Y CAGR
+2.1%

History & Riski10-year historical performance analysis including CAGR, Max Drawdown, Sharpe & Sortino ratios, annual returns, and rolling volatility — all computed from daily market data.

10-Year Growth of $10,000

Max DrawdownMax DrawdownThe largest peak-to-trough decline in the asset's value over the measurement period.Click for full definition →
15.6%
Sharpe RatioSharpe RatioRisk-adjusted return: how much excess return you earn per unit of total risk (volatility).Click for full definition →
-0.52
Sortino RatioSortino RatioLike Sharpe, but only penalizes downside volatility — a more accurate risk measure for asymmetric return distributions.Click for full definition →
-0.76
Ann. VolatilityAnnualized VolatilityThe annualized standard deviation of an asset's returns — a measure of how much prices fluctuate.Click for full definition →
4.4%
Best YearBest & Worst YearThe single calendar year with the highest and lowest return in the measured period.Click for full definition →
2019 · +7.9%
Worst YearBest & Worst YearThe single calendar year with the highest and lowest return in the measured period.Click for full definition →
2022 · -11.2%
% Positive Years% Positive YearsThe percentage of calendar years in the measurement period where the asset delivered a positive return.Click for full definition →
70%

Annual Returns

Rolling 12-Month Returns

Rolling 12-Month Annualised Volatility

Historical Drawdowns

Monthly Returns

Monthly Returns Heatmap

YearJanFebMarAprMayJunJulAugSepOctNovDecAnn.
20260.51.2-2.30.7————————-0.0%
20251.11.3-0.11.4-0.31.3-0.21.30.50.31.0-0.17.7%
20240.5-0.20.9-2.11.61.02.00.82.2-2.50.4-0.34.3%
20232.9-2.10.31.8-1.1-0.60.1-0.0-1.1-1.13.03.15.1%
2022-1.3-1.6-2.8-1.9-0.1-1.02.2-3.1-3.2-1.72.8-0.0-11.2%
20210.2-1.8-0.70.80.60.20.80.1-1.0-0.50.2-0.9-2.0%
20202.70.6-1.20.21.01.71.1-0.20.8-0.70.60.97.9%
20190.60.52.20.02.11.00.22.1-0.6-0.20.2-0.37.9%
2018-1.0-0.50.1-0.81.2-0.2-0.20.8-0.6-0.50.71.80.8%
20170.10.60.00.60.8-0.50.81.2-1.00.2-0.30.32.9%
2016———0.50.51.80.7-0.3-0.0-1.3-2.00.2-0.0%

Risk X-RayiA 19-factor macroeconomic risk decomposition showing exactly which market forces (equity beta, rates, inflation, credit, commodity, crypto) drive this asset's volatility. Powered by multivariate regression against daily factor returns.

Risk Profile Insight: This asset has an estimated annualized volatility of 9.4%. The dominant macroeconomic risk driver is SHV.US, accounting for 77.0% of variance. Idiosyncratic stock-specific factors contribute 1.9%.

10-Year Historical Price Series (Growth of $10,000)
DateSimulated Value
2016-03-0110000
2016-04-0110045.793526633151
2016-05-0110097.611851131802
2016-06-0110281.773214457491
2016-07-0110352.197532364302
2016-08-0110324.022742346227
2016-09-0110319.13708693429
2016-10-0110184.085420495452
2016-11-019978.229721998612
2016-12-019998.73428616271
2017-01-0110012.429309882187
2017-02-0110067.791633125249
2017-03-0110072.37351721624
2017-04-0110133.507495557344
2017-05-0110214.791638188106
2017-06-0110168.137426145599
2017-07-0110248.915283241442
2017-08-0110369.031526400258
2017-09-0110261.243336016647
2017-10-0110284.684356283258
2017-11-0110257.699337272235
2017-12-0110293.341838930319
2018-01-0110192.970731633226
2018-02-0110144.443263111529
2018-03-0110154.644916640087
2018-04-0110069.993975202135
2018-05-0110187.604104963117
2018-06-0110169.175311492176
2018-07-0110148.341661730383
2018-08-0110234.283631282371
2018-09-0110177.199937220594
2018-10-0110123.76149901021
2018-11-0110192.236617607598
2018-12-0110372.626153698164
2019-01-0110432.46910392523
2019-02-0110480.009315653842
2019-03-0110708.34409190095
2019-04-0110708.597234668408
2019-05-0110931.540069968662
2019-06-0111045.479629601503
2019-07-0111072.970934147439
2019-08-0111301.66011026899
2019-09-0111238.855389662664
2019-10-0111215.464997949544
2019-11-0111234.551962615875
2019-12-0111195.71986208782
2020-01-0111501.111296749143
2020-02-0111574.218927991009
2020-03-0111437.420576456709
2020-04-0111465.848509242242
2020-05-0111582.749839254342
2020-06-0111776.07497076201
2020-07-0111907.683895563421
2020-08-0111886.495845927186
2020-09-0111977.120956677145
2020-10-0111897.330356374388
2020-11-0111962.970275976246
2020-12-0112075.770693155528
2021-01-0112101.970969587428
2021-02-0111882.31899026413
2021-03-0111799.591933858857
2021-04-0111889.96390184136
2021-05-0111961.274219434277
2021-06-0111980.892783912272
2021-07-0112073.948065229826
2021-08-0112089.06068844707
2021-09-0111972.741586800124
2021-10-0111912.822693742817
2021-11-0111930.922401616064
2021-12-0111829.133694821205
2022-01-0111675.779806295155
2022-02-0111484.201359882949
2022-03-0111161.368388543771
2022-04-0110950.070120546587
2022-05-0110944.475665385764
2022-06-0110837.624103241747
2022-07-0111076.59087572209
2022-08-0110733.582425816512
2022-09-0110393.434489183212
2022-10-0110218.614093976721
2022-11-0110506.943706111373
2022-12-0110503.273135983232
2023-01-0110809.82902737486
2023-02-0110578.83625206944
2023-03-0110614.833153601969
2023-04-0110808.86708485852
2023-05-0110686.345985408852
2023-06-0110617.693666874244
2023-07-0110630.401433800633
2023-08-0110626.022063923612
2023-09-0110507.070277495102
2023-10-0110392.649746604091
2023-11-0110700.192894788803
2023-12-0111034.34134783335
2024-01-0111088.589842899599
2024-02-0111062.946480556104
2024-03-0111165.165530055641
2024-04-0110931.388184308185
2024-05-0111106.132636684435
2024-06-0111220.2493962545
2024-07-0111446.078059103773
2024-08-0111534.753970544309
2024-09-0111790.681308444335
2024-10-0111499.617754421139
2024-11-0111544.778424135644
2024-12-0111505.541295179655
2025-01-0111629.859708278274
2025-02-0111783.871767999717
2025-03-0111766.55680270559
2025-04-0111929.226345074096
2025-05-0111895.001442913775
2025-06-0112048.20344577935
2025-07-0112028.20516715017
2025-08-0112178.6732281272
2025-09-0112241.123548859085
2025-10-0112272.48793774713
2025-11-0112398.932750092397
2025-12-0112388.224811028926
2026-01-0112446.295761883788
2026-02-0112591.827538895386
2026-03-0112298.435071411575
2026-04-0112383.744184044917
Annual Return Matrix
YearAnnual Return
20170.029464484637352406
20180.007702485354948774
20190.07935248954250596
20200.07860600675154727
2021-0.020424120712569716
2022-0.11208433288892794
20230.050562163334658905
20240.04270304248280543
20250.07671812157321756
2026-0.00036168434560668317
Total Factor Risk
0.09418609428444302
VTI.US Exposure
0.03443313250564234
VEA.US Exposure
0.01973203742712741
VWO.US Exposure
0.0004757759138560481
QQQ.US Exposure
-0.020751182451868994
VTV.US Exposure
-0.008477926108251078
IJR.US Exposure
0.0001394251106511096
QUAL.US Exposure
0.0003081102236430616
SHV.US Exposure
0.7699379896420326
TLT.US Exposure
0.0029159492423354028
LQD.US Exposure
0.1354006111677187
HYG.US Exposure
-0.010535442237185695
GLD.US Exposure
-0.004019854634457452
USO.US Exposure
0.0024790018264347216
VNQ.US Exposure
0.005449065899989049
BTC-USD.CC Exposure
-0.00007901507412585963
CPER.US Exposure
-0.0024901165716946063
VIX.INDX Exposure
-0.003279835494598814
UUP.US Exposure
-0.004242640167011691
TIP.US Exposure
0.06327874012991933
Idiosyncratic Exposure
0.019326173649844493
Value Score
50
Growth Score
50
Profit Score
37.5
Health Score
23.6
Yield Score
41.3
Moat Score
40

Factor Risk Decomposition

Share of annualised volatility attributable to each macro factor.

Total Est. Vol
9.4%

FundamentalsiCompany financial health metrics: P/E valuation, dividend yield, Piotroski F-Score (9-point profitability signal), Altman Z-Score (bankruptcy risk proxy), and a radar chart across 6 fundamental dimensions. Note: ETFs may show N/A for some metrics.

Fundamental Dimensions

Core Valuation

P/E Ratio (TTM)P/E RatioPrice-to-Earnings ratio — the market price of a stock divided by its earnings per share, a key valuation measure.Click for full definition →N/A
Dividend YieldDividend YieldAnnual dividend paid per share divided by the current share price — expressed as a percentage income return.Click for full definition →3.44%
Market Cap$0
Piotroski F-ScorePiotroski F-ScoreA 9-point scoring system evaluating a company's financial strength across profitability, leverage, and operating efficiency.Click for full definition →
9-point profitability signal
0.0/ 9
Weak
Altman Z-ScoreAltman Z-ScoreA bankruptcy prediction model that combines 5 financial ratios into a single score indicating financial distress risk.Click for full definition →
Bankruptcy risk proxy
1.18
Distress Zone
Income Simulation

Based on $10,000 initial investment.

Total Income Generated
$74
Avg Yield on Cost
0.74%
Annual Income Simulation Table
Historical Realised Yields
YearAnnual PayoutYield on CostQuality
2026$74.490.74%Solid

Momentum & MacroiPrice momentum indicators relative to key technical levels: distance from 50-Day SMA (intermediate trend), 200-Day SMA (long-term trend), 52-Week High (bullish proximity), and Beta (market sensitivity coefficient).

vs 50-Day SMAMoving Averages (SMA)A rolling average of an asset's price over a defined window — used to identify trends and momentum signals.Click for full definition →
-0.4%
Above/below 50-day moving average
vs 200-Day SMAMoving Averages (SMA)A rolling average of an asset's price over a defined window — used to identify trends and momentum signals.Click for full definition →
+0.7%
Above/below 200-day moving average
vs 52-Week High52-Week HighThe highest price an asset reached in the past 52 weeks — a key reference for momentum and valuation context.Click for full definition →
1.7% from high
Distance from 52-week high
BetaBetaA measure of an asset's sensitivity to broad market movements relative to a benchmark (e.g. S&P 500).Click for full definition →
0.66
Market sensitivity coefficient

Frequently Asked Questions & Methodology

Is iShares CMBS ETF a high-risk investment?

iShares CMBS ETF (CMBS.US) has an annualized volatility of 9.4% and experienced a maximum drawdown of 15.6% over the last 10 years. Its primary macro risk driver is SHV.US.

What is the 10-year return of CMBS.US?

Over the past 10 years, CMBS.US has generated a Compound Annual Growth Rate (CAGR) of 2.1%. It has had a positive return in 70% of the years measured.

Data Methodology & Trust

The risk and return information on this page is pre-calculated mathematically using daily market data spanning a 10-year period. Fundamentals (such as P/E Ratio, Market Cap, and Dividend Yield) represent trailing averages and may not immediately reflect real-time live market fluctuations. Advanced scoring models like the Piotroski F-Score and Altman Z-Score are proxies applied to publicly available trailing-twelve-month financial statements and may not account for recent off-balance-sheet events, qualitative company shifts, or sector-specific capital structures. Macroeconomic factor exposures are estimated via multivariate regression against standard market indices. This data is provided for quantitative insight and backtesting research, and should not be misconstrued as tailored financial advice.

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