iShares MSCI Global Multifactor ETF

10-Year Study

GLOF.US · · US · ETF

Executive Summary: iShares MSCI Global Multifactor ETF has compounded at 11.4% annually over the last 10 years, with a maximum drawdown of 24.8% and an annualized volatility of 15.1%.

1Y CAGR
+22.5%
3Y CAGR
+20.8%
5Y CAGR
+9.9%
10Y CAGR
+11.4%

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 →
24.8%
Sharpe RatioSharpe RatioRisk-adjusted return: how much excess return you earn per unit of total risk (volatility).Click for full definition →
0.54
Sortino RatioSortino RatioLike Sharpe, but only penalizes downside volatility — a more accurate risk measure for asymmetric return distributions.Click for full definition →
0.73
Ann. VolatilityAnnualized VolatilityThe annualized standard deviation of an asset's returns — a measure of how much prices fluctuate.Click for full definition →
14.7%
Best YearBest & Worst YearThe single calendar year with the highest and lowest return in the measured period.Click for full definition →
2017 · +29.9%
Worst YearBest & Worst YearThe single calendar year with the highest and lowest return in the measured period.Click for full definition →
2022 · -17.0%
% Positive Years% Positive YearsThe percentage of calendar years in the measurement period where the asset delivered a positive return.Click for full definition →
80%

Annual Returns

Rolling 12-Month Returns

Rolling 12-Month Annualised Volatility

Historical Drawdowns

Monthly Returns

Monthly Returns Heatmap

YearJanFebMarAprMayJunJulAugSepOctNovDecAnn.
20262.81.8-5.74.8————————3.5%
20253.7-1.0-3.81.95.85.31.12.63.22.20.01.023.9%
20241.74.32.9-3.34.72.31.22.41.9-2.63.6-2.517.5%
20236.9-3.42.61.4-1.16.03.5-2.5-3.8-2.59.35.022.4%
2022-5.4-1.51.1-7.00.9-9.57.0-3.6-8.87.68.0-5.0-17.0%
20210.83.34.13.02.20.00.41.8-5.32.9-1.45.818.7%
2020-2.4-7.4-15.010.14.91.75.03.9-2.3-2.310.65.910.0%
20199.72.1-0.12.1-7.07.3-0.6-2.62.22.43.23.323.2%
20185.9-3.2-1.6-0.71.2-2.72.70.2-0.6-7.90.9-7.9-13.7%
20173.91.71.71.43.11.82.30.92.83.12.41.329.9%
2016———0.6-0.4-1.55.20.80.6-1.02.6-0.66.3%

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 15.1%. The dominant macroeconomic risk driver is VTI.US, accounting for 45.2% of variance. Idiosyncratic stock-specific factors contribute 1.5%.

10-Year Historical Price Series (Growth of $10,000)
DateSimulated Value
2016-03-0110000
2016-04-0110064.836003051105
2016-05-0110021.59409546524
2016-06-019874.034443119433
2016-07-0110387.243368678894
2016-08-0110465.884552164243
2016-09-0110531.41887173537
2016-10-0110426.563960421568
2016-11-0110693.052287792356
2016-12-0110632.030167273664
2017-01-0111051.127512596557
2017-02-0111236.396257023453
2017-03-0111422.148451348827
2017-04-0111582.707534298084
2017-05-0111937.882059711435
2017-06-0112155.327080714645
2017-07-0112440.186504227502
2017-08-0112555.892179929311
2017-09-0112907.521406087173
2017-10-0113303.628022904782
2017-11-0113628.56007133572
2017-12-0113806.791933907029
2018-01-0114619.524929899766
2018-02-0114151.27684489853
2018-03-0113921.638143122656
2018-04-0113818.072431538125
2018-05-0113989.159978943071
2018-06-0113612.391358064482
2018-07-0113975.03249857651
2018-08-0113997.700927149472
2018-09-0113920.61752667032
2018-10-0112814.591592269098
2018-11-0112932.445934186355
2018-12-0111915.106197827698
2019-01-0113071.249771704217
2019-02-0113341.981714850508
2019-03-0113333.225900022562
2019-04-0113608.09402563359
2019-05-0112658.329841750736
2019-06-0113588.16514648532
2019-07-0113512.47837904621
2019-08-0113166.274535082348
2019-09-0113456.827924066138
2019-10-0113773.326457601444
2019-11-0114207.195883155533
2019-12-0114679.848733898432
2020-01-0114321.290059195755
2020-02-0113258.882048968104
2020-03-0111268.626250255156
2020-04-0112406.828461232692
2020-05-0113017.04966641957
2020-06-0113237.50282012441
2020-07-0113896.76733167886
2020-08-0114434.954501992886
2020-09-0114105.778837786445
2020-10-0113784.660671887925
2020-11-0115242.423265757781
2020-12-0116148.784392088612
2021-01-0116281.195947615519
2021-02-0116816.052685295603
2021-03-0117498.68394194304
2021-04-0118027.309547598332
2021-05-0118430.238179649983
2021-06-0118439.1014277887
2021-07-0118515.540228403217
2021-08-0118851.80649112064
2021-09-0117858.4780997196
2021-10-0118375.715774433018
2021-11-0118120.2393614164
2021-12-0119164.329992157367
2022-01-0118129.854642730526
2022-02-0117852.03210107326
2022-03-0118055.510791676064
2022-04-0116796.07008949195
2022-05-0116940.836475757675
2022-06-0115332.667246806546
2022-07-0116402.917888720578
2022-08-0115804.621781029426
2022-09-0114412.984389939944
2022-10-0115508.911593128567
2022-11-0116744.502100321224
2022-12-0115912.6996916664
2023-01-0117005.457612187234
2023-02-0116431.280282764474
2023-03-0116850.646211364296
2023-04-0117086.623478475736
2023-05-0116895.23103533482
2023-06-0117913.215371558108
2023-07-0118542.935722650163
2023-08-0118082.79885261224
2023-09-0117397.374329884726
2023-10-0116959.476155176675
2023-11-0118537.886357043866
2023-12-0119473.684210526317
2024-01-0119806.40517398825
2024-02-0120657.438145271324
2024-03-0121248.267637863795
2024-04-0120557.149149665347
2024-05-0121526.466196108766
2024-06-0122011.366444279713
2024-07-0122273.611155874994
2024-08-0122809.058776764323
2024-09-0123249.965084174004
2024-10-0122641.83882854718
2024-11-0123463.91852257711
2024-12-0122880.179628495614
2025-01-0123720.093252113755
2025-02-0123492.173483310235
2025-03-0122591.07658920725
2025-04-0123025.805481247517
2025-05-0124371.13911539412
2025-06-0125652.388779665027
2025-07-0125934.4549370978
2025-08-0126609.88816192349
2025-09-0127472.685080736133
2025-10-0128070.927471771898
2025-11-0128076.782587208996
2025-12-0128352.725045927742
2026-01-0129149.880211858486
2026-02-0129683.823766397007
2026-03-0127997.120787271302
2026-04-0129349.97475317197
Annual Return Matrix
YearAnnual Return
20170.29860353259771233
2018-0.13701124382367813
20190.23203675151252856
20200.10006476802435582
20210.18673514531199586
2022-0.1696709617201142
20230.22378255028119676
20240.17492814308490967
20250.2391827995360869
20260.035172975635633374
Total Factor Risk
0.1506116977159693
VTI.US Exposure
0.45203945927409916
VEA.US Exposure
0.22389986249156635
VWO.US Exposure
0.0037966067998883904
QQQ.US Exposure
-0.006319759601421249
VTV.US Exposure
-0.01684937030200427
IJR.US Exposure
0.006821596990873194
QUAL.US Exposure
0.04836920784620195
SHV.US Exposure
0.2924220699342321
TLT.US Exposure
0.043194111522673106
LQD.US Exposure
-0.08287212659963307
HYG.US Exposure
0.06273441137868076
GLD.US Exposure
-0.0026733060992376375
USO.US Exposure
0.00001631865086023247
VNQ.US Exposure
-0.04877920442559862
BTC-USD.CC Exposure
-0.01542857455472167
CPER.US Exposure
0.004569434163250937
VIX.INDX Exposure
-0.008462963514209281
UUP.US Exposure
0.012486310127296993
TIP.US Exposure
0.016338412686674783
Idiosyncratic Exposure
0.014697503230527832
Value Score
43.9
Growth Score
50
Profit Score
37.5
Health Score
23.6
Yield Score
19.4
Moat Score
40

Factor Risk Decomposition

Share of annualised volatility attributable to each macro factor.

Total Est. Vol
15.1%

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 →15.4x
Dividend YieldDividend YieldAnnual dividend paid per share divided by the current share price — expressed as a percentage income return.Click for full definition →1.62%
Market Cap$151.4B
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
$0
Avg Yield on Cost
0.00%

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 →
+1.6%
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 →
+5.9%
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 →
1.9% 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 →
0.99
Market sensitivity coefficient

Frequently Asked Questions & Methodology

Is iShares MSCI Global Multifactor ETF a high-risk investment?

iShares MSCI Global Multifactor ETF (GLOF.US) has an annualized volatility of 15.1% and experienced a maximum drawdown of 24.8% over the last 10 years. Its primary macro risk driver is VTI.US.

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

Over the past 10 years, GLOF.US has generated a Compound Annual Growth Rate (CAGR) of 11.4%. It has had a positive return in 80% 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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