iShares MSCI USA Quality Factor ETF

10-Year Study

QUAL.US · · US · ETF

Executive Summary: iShares MSCI USA Quality Factor ETF has compounded at 13.8% annually over the last 10 years, with a maximum drawdown of 27.8% and an annualized volatility of 12.3%.

1Y CAGR
+18.2%
3Y CAGR
+19.0%
5Y CAGR
+11.2%
10Y CAGR
+13.8%

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 →
27.8%
Sharpe RatioSharpe RatioRisk-adjusted return: how much excess return you earn per unit of total risk (volatility).Click for full definition →
0.68
Sortino RatioSortino RatioLike Sharpe, but only penalizes downside volatility — a more accurate risk measure for asymmetric return distributions.Click for full definition →
0.94
Ann. VolatilityAnnualized VolatilityThe annualized standard deviation of an asset's returns — a measure of how much prices fluctuate.Click for full definition →
15.5%
Best YearBest & Worst YearThe single calendar year with the highest and lowest return in the measured period.Click for full definition →
2019 · +33.9%
Worst YearBest & Worst YearThe single calendar year with the highest and lowest return in the measured period.Click for full definition →
2022 · -20.5%
% 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.
20261.91.2-6.26.5————————3.1%
20253.0-1.0-5.7-0.94.53.50.72.63.20.90.90.612.7%
20242.36.52.8-4.55.63.20.63.51.2-1.65.0-3.622.3%
20237.2-2.84.81.70.76.43.8-0.4-5.1-1.58.64.730.9%
2022-7.0-4.14.0-8.3-0.2-9.09.2-5.1-9.88.37.7-5.6-20.5%
2021-2.83.25.04.81.03.43.42.8-6.57.7-0.63.526.9%
2020-0.7-8.3-11.412.35.60.25.06.9-3.2-2.611.33.717.0%
20198.24.42.53.8-6.67.11.4-1.81.92.24.52.833.9%
20184.6-2.9-1.3-1.32.7-0.03.73.71.1-7.60.9-8.5-5.7%
20171.24.7-0.00.61.50.61.00.52.72.93.61.222.3%
2016———-0.41.10.53.0-0.2-0.1-2.03.02.06.9%

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 12.3%. The dominant macroeconomic risk driver is QUAL.US, accounting for 100.0% of variance. Idiosyncratic stock-specific factors contribute 0.0%.

10-Year Historical Price Series (Growth of $10,000)
DateSimulated Value
2016-03-0110000
2016-04-019960.380095697852
2016-05-0110067.05588995811
2016-06-0110115.773829581207
2016-07-0110423.830113255462
2016-08-0110400.845602970961
2016-09-0110390.257830872311
2016-10-0110177.8107253954
2016-11-0110484.164452752288
2016-12-0110693.40153017249
2017-01-0110817.209297376288
2017-02-0111324.801634454065
2017-03-0111319.711700463591
2017-04-0111389.693859092182
2017-05-0111559.169152517125
2017-06-0111624.451546311306
2017-07-0111743.258054332828
2017-08-0111797.952676028362
2017-09-0112110.832869268503
2017-10-0112464.077835199643
2017-11-0112913.091593982881
2017-12-0113074.178250552444
2018-01-0113671.899662681031
2018-02-0113274.476907306447
2018-03-0113102.323634673978
2018-04-0112931.234459739862
2018-05-0113279.744190913314
2018-06-0113279.300816872332
2018-07-0113772.59877486885
2018-08-0114286.593433098404
2018-09-0114439.16730808111
2018-10-0113346.285766983885
2018-11-0113469.313195875557
2018-12-0112328.352173774247
2019-01-0113345.008849745856
2019-02-0113926.414097166306
2019-03-0114279.056074401711
2019-04-0114820.876887443294
2019-05-0113845.276647666611
2019-06-0114824.494819617705
2019-07-0115028.69516793235
2019-08-0114761.287416335315
2019-09-0115034.60091015823
2019-10-0115366.546187160597
2019-11-0116051.559080477706
2019-12-0116506.85101568125
2020-01-0116394.092129578723
2020-02-0115027.772949927108
2020-03-0113316.17180212039
2020-04-0114951.122445722149
2020-05-0115790.766469572123
2020-06-0115820.437060394639
2020-07-0116603.861255848104
2020-08-0117743.563095673024
2020-09-0117184.379755186586
2020-10-0116738.78884399973
2020-11-0118628.83917582086
2020-12-0119319.172557629754
2021-01-0118772.226340674424
2021-02-0119372.359707585954
2021-03-0120337.017476031197
2021-04-0121313.965572892463
2021-05-0121529.392151924774
2021-06-0122253.86533488928
2021-07-0123005.88091327958
2021-08-0123657.41019902174
2021-09-0122130.430001879904
2021-10-0123837.295914928935
2021-11-0123692.809182453733
2021-12-0124523.089146558174
2022-01-0122818.138609366186
2022-02-0121881.413405502804
2022-03-0122747.51799211858
2022-04-0120863.568487101362
2022-05-0120828.098563822805
2022-06-0118943.226840800344
2022-07-0120687.850487179396
2022-08-0119624.799151559437
2022-09-0117709.902138481673
2022-10-0119178.62298663848
2022-11-0120657.576907661147
2022-12-0119496.096534943194
2023-01-0120890.38374909995
2023-02-0120315.55817244767
2023-03-0121290.005639717798
2023-04-0121654.654185982992
2023-05-0121810.81052321684
2023-06-0123212.972060341435
2023-07-0124090.74625171586
2023-08-0123985.75527881133
2023-09-0122770.218743016856
2023-10-0122433.307676755496
2023-11-0124373.583419939063
2023-12-0125516.371143089218
2024-01-0126099.03557278605
2024-02-0127795.047689311847
2024-03-0128565.791387193232
2024-04-0127281.31905550688
2024-05-0128807.377034643476
2024-06-0129740.732595795394
2024-07-0129918.383706536042
2024-08-0130963.380851207214
2024-09-0131323.09907813669
2024-10-0130819.975951392018
2024-11-0132369.532754700653
2024-12-0131202.856038222384
2025-01-0132128.01804709696
2025-02-0131814.37525050633
2025-03-0130010.78285667668
2025-04-0129743.853949043907
2025-05-0131094.335807951644
2025-06-0132175.991118331207
2025-07-0132404.7721234779
2025-08-0133254.84430477177
2025-09-0134315.625565301896
2025-10-0134633.205523376455
2025-11-0134947.256224084784
2025-12-0135150.090980353205
2026-01-0135822.582990752984
2026-02-0136254.39383674613
2026-03-0134017.42992029908
2026-04-0136236.07362137276
Annual Return Matrix
YearAnnual Return
20170.222639794611879
2018-0.05704573262542778
20190.338934091353734
20200.17037298872309714
20210.26936539716724184
2022-0.20499018625149512
20230.30879384482713146
20240.22285633263620563
20250.12650236046647767
20260.030895585494403077
Total Factor Risk
0.12269195934860205
VTI.US Exposure
3.21950731386605e-16
VEA.US Exposure
-1.1840389723789685e-16
VWO.US Exposure
3.416151122634994e-17
QQQ.US Exposure
-2.5831497593420196e-16
VTV.US Exposure
-7.726096142714013e-17
IJR.US Exposure
-2.932138856821834e-16
QUAL.US Exposure
0.9999993356945801
SHV.US Exposure
9.22179615044719e-18
TLT.US Exposure
-9.909733708050003e-17
LQD.US Exposure
-1.7644586906248504e-18
HYG.US Exposure
-6.639998951696281e-17
GLD.US Exposure
1.7399667473058193e-18
USO.US Exposure
-2.4953504538903967e-17
VNQ.US Exposure
1.0897025356036834e-16
BTC-USD.CC Exposure
-5.1209520061752535e-17
CPER.US Exposure
5.64068151319207e-17
VIX.INDX Exposure
2.244218067573434e-16
UUP.US Exposure
-6.787454086212137e-17
TIP.US Exposure
3.759141601909299e-17
Idiosyncratic Exposure
6.643054201191283e-7
Value Score
41.1
Growth Score
50
Profit Score
37.5
Health Score
23.6
Yield Score
10.9
Moat Score
40

Factor Risk Decomposition

Share of annualised volatility attributable to each macro factor.

Total Est. Vol
12.3%

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 →22.2x
Dividend YieldDividend YieldAnnual dividend paid per share divided by the current share price — expressed as a percentage income return.Click for full definition →0.91%
Market Cap$308.1B
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$74.480.74%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 →
+2.8%
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 →
+5.2%
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 →
0.3% 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 →
0.95
Market sensitivity coefficient

Frequently Asked Questions & Methodology

Is iShares MSCI USA Quality Factor ETF a high-risk investment?

iShares MSCI USA Quality Factor ETF (QUAL.US) has an annualized volatility of 12.3% and experienced a maximum drawdown of 27.8% over the last 10 years. Its primary macro risk driver is QUAL.US.

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

Over the past 10 years, QUAL.US has generated a Compound Annual Growth Rate (CAGR) of 13.8%. 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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