Simulation Settings
Category: Stocks
Period: January 1976 - November 2024 (~49 years)
Consolidated Returns as of 30 November 2024
Live Update available for December 2024
Consolidated Returns as of 30 November 2024
Live Update available for December 2024
Currency:
USD
1.00$
Initial Capital
December 1994
December 1994
31.77$
Final Capital
November 2024
November 2024
12.22%
Yearly Return
15.09
Std Deviation
-46.25%
Max Drawdown
40months
Recovery Period
1.00$
Initial Capital
January 1976
January 1976
329.30$
Final Capital
November 2024
November 2024
12.58%
Yearly Return
15.01
Std Deviation
-46.25%
Max Drawdown
40months
Recovery Period
Live returns:
---
1 Day: ---
---
Month: ---
The iShares Edge MSCI USA Quality Factor ETF (QUAL) ETF covers to the following investment themes:
- Asset Class: Equity
- Size: Large Cap
- Style: Growth
- Region: North America
- Country: U.S.
As of November 2024, in the previous 30 Years, the iShares Edge MSCI USA Quality Factor ETF (QUAL) ETF obtained a 12.22% compound annual return, with a 15.09% standard deviation. It suffered a maximum drawdown of -46.25% that required 40 months to be recovered.
Disclaimer: The simulations on this website are provided in good faith but should NOT be taken as investment advice. We are not liable for any errors or actions based on this information.
The authors of the website are not affiliated with the ETFs/Assets issuers. Content is for informational, educational, illustrative and entertainment purposes only.
Table of contents
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The iShares Edge MSCI USA Quality Factor ETF (QUAL) ETF is part of the following Lazy Portfolios:
| Portfolio Name | Author | QUAL Weight▾ | Currency |
|---|---|---|---|
| US Stocks Quality | 100.00% | USD |
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Investment Returns as of Nov 30, 2024
The iShares Edge MSCI USA Quality Factor ETF (QUAL) ETF guaranteed the following returns.
Returns are calculated in USD, assuming:
- no fees or capital gain taxes.
- dividend reinvestment, when applicable.
ISHARES EDGE MSCI USA QUALITY FACTOR ETF (QUAL) ETF
1 January 1976 - 30 November 2024 (~49 years)
Live Update: December 2024
Swipe left to see all data
| Chg (%) | Return (%) | Return (%) as of Nov 30, 2024 | |||||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 1 Day | Time ET(*) | --- |
YTD (11M) |
1M | 6M | 1Y | 5Y | 10Y | 30Y |
MAX (~49Y) |
|||
| Investment Return | --- | --- | 26.86 | 5.03 | 12.37 | 32.81 | 15.06 | 13.27 | 12.22 | 12.58 | |||
| Returns over 1 year are annualized | |||||||||||||
| (*) Eastern Time (ET - America/New York) | |||||||||||||
| The live monthly return is calculated by assuming, for each asset, the weight defined by the base asset allocation. | |||||||||||||
In 2023, the iShares Edge MSCI USA Quality Factor ETF (QUAL) ETF granted a 1.59% dividend yield. If you are interested in getting periodic income, please refer to the iShares Edge MSCI USA Quality Factor ETF (QUAL) ETF: Dividend Yield page.
Capital Growth as of Nov 30, 2024
An investment of 1$, from December 1994 to November 2024,
would be worth 31.77$, with a total return of 3076.98% (12.22% annualized).
The Inflation Adjusted Capital would be 15.04$, with a net total return of 1403.95% (9.46% annualized).
The Inflation Adjusted Capital would be 15.04$, with a net total return of 1403.95% (9.46% annualized).
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An investment of 1$, from January 1976 to November 2024,
would be worth 329.30$, with a total return of 32830.47% (12.58% annualized).
The Inflation Adjusted Capital would be 57.86$, with a net total return of 5686.02% (8.65% annualized).
The Inflation Adjusted Capital would be 57.86$, with a net total return of 5686.02% (8.65% annualized).
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Investment Metrics as of Nov 30, 2024
Metrics of iShares Edge MSCI USA Quality Factor ETF (QUAL) ETF, updated as of 30 November 2024, provide a comprehensive overview of the portfolio's performance and risk characteristics.
These metrics include detailed data on returns, volatility, drawdowns and other key performance indicators. By examining them, you can gain insights into how the portfolio has performed over various time periods and understand its risk profile.
Metrics are calculated based on monthly returns, assuming:
- no fees or capital gain taxes.
- dividend reinvestment, when applicable.
ISHARES EDGE MSCI USA QUALITY FACTOR ETF (QUAL) ETF
Advanced Metrics
1 January 1976 - 30 November 2024 (~49 years)
Swipe left to see all data
| Metrics as of Nov 30, 2024 | |||||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|
|
YTD
(11M) |
1M | 3M | 6M | 1Y | 3Y | 5Y | 10Y | 20Y | 30Y |
MAX
(~49Y) |
|
| Investment Return (%) | 26.86 | 5.03 | 4.54 | 12.37 | 32.81 | 10.96 | 15.06 | 13.27 | 11.13 | 12.22 | 12.58 |
| Growth of 1$ | 1.27 | 1.05 | 1.05 | 1.12 | 1.33 | 1.37 | 2.02 | 3.48 | 8.26 | 31.77 | 329.30 |
| US Inflation (%) | 2.49 | 0.31 | 0.74 | 1.03 | 2.73 | 4.31 | 4.18 | 2.93 | 2.54 | 2.52 | 3.62 |
| Returns / Inflation rates over 1 year are annualized. | |||||||||||
|
DRAWDOWN
|
Current | 1Y | 3Y | 5Y | 10Y | 20Y | 30Y | MAX | |||
| Deepest Drawdown Depth (%) | 0.00 | -4.50 | -27.78 | -27.78 | -27.78 | -46.25 | -46.25 | -46.25 | |||
| Start to Recovery (# months) | 2 | 24 | 24 | 24 | 40 | 40 | 40 | ||||
| Start (yyyy mm) | 2024 04 | 2022 01 | 2022 01 | 2022 01 | 2007 11 | 2007 11 | 2007 11 | ||||
| Start to Bottom (# months) | 1 | 9 | 9 | 9 | 16 | 16 | 16 | ||||
| Bottom (yyyy mm) | 2024 04 | 2022 09 | 2022 09 | 2022 09 | 2009 02 | 2009 02 | 2009 02 | ||||
| Bottom to End (# months) | 1 | 15 | 15 | 15 | 24 | 24 | 24 | ||||
| End (yyyy mm) | 2024 05 | 2023 12 | 2023 12 | 2023 12 | 2011 02 | 2011 02 | 2011 02 | ||||
| Longest Drawdown Depth (%) |
same |
same |
same |
same |
same |
-43.01 | -43.01 | ||||
| Start to Recovery (# months) | 77 | 77 | |||||||||
| Start (yyyy mm) | 2024 04 | 2022 01 | 2022 01 | 2022 01 | 2007 11 | 2000 09 | 2000 09 | ||||
| Start to Bottom (# months) | 1 | 9 | 9 | 9 | 16 | 25 | 25 | ||||
| Bottom (yyyy mm) | 2024 04 | 2022 09 | 2022 09 | 2022 09 | 2009 02 | 2002 09 | 2002 09 | ||||
| Bottom to End (# months) | 1 | 15 | 15 | 15 | 24 | 52 | 52 | ||||
| End (yyyy mm) | 2024 05 | 2023 12 | 2023 12 | 2023 12 | 2011 02 | 2007 01 | 2007 01 | ||||
| Longest negative period (# months) | 2 | 23 | 27 | 27 | 55 | 130 | 130 | ||||
| Start (yyyy mm) | 2024 03 | 2021 12 | 2021 08 | 2021 08 | 2004 12 | 1998 05 | 1998 05 | ||||
| End (yyyy mm) | 2024 04 | 2023 10 | 2023 10 | 2023 10 | 2009 06 | 2009 02 | 2009 02 | ||||
| Annualized Return (%) | -10.59 | -2.81 | -1.11 | -1.11 | -1.28 | -0.20 | -0.20 | ||||
| Deepest Drawdown Depth (%) | 0.00 | -4.79 | -31.56 | -31.56 | -31.56 | -47.14 | -50.85 | -50.85 | |||
| Start to Recovery (# months) | 2 | 26 | 26 | 26 | 52 | 149 | 149 | ||||
| Start (yyyy mm) | 2024 04 | 2022 01 | 2022 01 | 2022 01 | 2007 11 | 2000 09 | 2000 09 | ||||
| Start to Bottom (# months) | 1 | 9 | 9 | 9 | 16 | 102 | 102 | ||||
| Bottom (yyyy mm) | 2024 04 | 2022 09 | 2022 09 | 2022 09 | 2009 02 | 2009 02 | 2009 02 | ||||
| Bottom to End (# months) | 1 | 17 | 17 | 17 | 36 | 47 | 47 | ||||
| End (yyyy mm) | 2024 05 | 2024 02 | 2024 02 | 2024 02 | 2012 02 | 2013 01 | 2013 01 | ||||
| Longest Drawdown Depth (%) |
same |
same |
same |
same |
same |
same |
same |
||||
| Start to Recovery (# months) | |||||||||||
| Start (yyyy mm) | 2024 04 | 2022 01 | 2022 01 | 2022 01 | 2007 11 | 2000 09 | 2000 09 | ||||
| Start to Bottom (# months) | 1 | 9 | 9 | 9 | 16 | 102 | 102 | ||||
| Bottom (yyyy mm) | 2024 04 | 2022 09 | 2022 09 | 2022 09 | 2009 02 | 2009 02 | 2009 02 | ||||
| Bottom to End (# months) | 1 | 17 | 17 | 17 | 36 | 47 | 47 | ||||
| End (yyyy mm) | 2024 05 | 2024 02 | 2024 02 | 2024 02 | 2012 02 | 2013 01 | 2013 01 | ||||
| Longest negative period (# months) | 2 | 28 | 34 | 34 | 69 | 156 | 156 | ||||
| Start (yyyy mm) | 2024 03 | 2022 01 | 2019 12 | 2019 12 | 2004 12 | 2000 01 | 2000 01 | ||||
| End (yyyy mm) | 2024 04 | 2024 04 | 2022 09 | 2022 09 | 2010 08 | 2012 12 | 2012 12 | ||||
| Annualized Return (%) | -14.21 | -0.11 | -1.43 | -1.43 | -0.78 | -0.09 | -0.09 | ||||
|
RISK INDICATORS
|
1Y | 3Y | 5Y | 10Y | 20Y | 30Y | MAX | ||||
| Standard Deviation (%) | 10.47 | 18.24 | 18.70 | 15.63 | 14.97 | 15.09 | 15.01 | ||||
| Sharpe Ratio | 2.64 | 0.40 | 0.68 | 0.75 | 0.64 | 0.66 | 0.56 | ||||
| Sortino Ratio | 3.31 | 0.53 | 0.90 | 1.00 | 0.85 | 0.87 | 0.75 | ||||
| Ulcer Index | 1.32 | 11.47 | 9.53 | 7.17 | 10.57 | 13.77 | 11.68 | ||||
| Ratio: Return / Standard Deviation | 3.13 | 0.60 | 0.81 | 0.85 | 0.74 | 0.81 | 0.84 | ||||
| Ratio: Return / Deepest Drawdown | 7.30 | 0.39 | 0.54 | 0.48 | 0.24 | 0.26 | 0.27 | ||||
| Positive Months (%) | 83.33 | 61.11 | 63.33 | 64.16 | 64.16 | 63.61 | 61.83 | ||||
| Positive Months | 10 | 22 | 38 | 77 | 154 | 229 | 363 | ||||
| Negative Months | 2 | 14 | 22 | 43 | 86 | 131 | 224 | ||||
|
LONG TERM RETURNS
|
1Y | 3Y | 5Y | 10Y | 20Y | 30Y | MAX | ||||
| Best 10 Years Return (%) - Annualized | 13.27 | 16.81 | 16.81 | 22.42 | |||||||
| Worst 10 Years Return (%) - Annualized | 7.97 | -2.18 | -2.18 | ||||||||
| Best 10 Years Return (%) - Annualized | 10.05 | 14.78 | 14.78 | 19.14 | |||||||
| Worst 10 Years Return (%) - Annualized | 6.09 | -4.65 | -4.65 | ||||||||
|
TIMEFRAMES
|
1M | 3M | 6M | 1Y | 3Y | 5Y | 10Y | 20Y | 30Y | MAX | |
| ··· As of Nov 2024 - Over the previous 30Y | |||||||||||
| Best Rolling Return (%) - Annualized | 53.98 | 36.99 | 34.78 | 16.81 | 11.70 | 12.22 | |||||
| Worst Rolling Return (%) - Annualized | -39.37 | -15.42 | -5.11 | -2.18 | 5.30 | ||||||
| Positive Periods (%) | 81.3 | 82.7 | 89.7 | 93.3 | 100.0 | 100.0 | |||||
| Best Rolling Return (%) - Annualized | 50.89 | 34.08 | 31.65 | 14.78 | 9.16 | 9.46 | |||||
| Worst Rolling Return (%) - Annualized | -39.37 | -17.45 | -7.55 | -4.65 | 3.16 | ||||||
| Positive Periods (%) | 79.3 | 79.3 | 79.4 | 88.3 | 100.0 | 100.0 | |||||
| 95% VaR - Value at Risk (%) - Cumulative | 6.10 | 9.23 | 11.18 | 21.34 | 24.13 | 9.16 | 1.84 | 0.00 | |||
| 95% CVaR - Conditional Value at Risk (%) | 7.91 | 12.36 | 15.61 | 28.13 | 30.74 | 13.35 | 9.92 | 0.00 | |||
| 99% VaR - Value at Risk (%) - Cumulative | 9.07 | 14.37 | 18.45 | 33.36 | 33.38 | 15.47 | 17.01 | 0.00 | |||
| 99% CVaR - Conditional Value at Risk (%) | 10.96 | 17.64 | 23.08 | 36.75 | 36.96 | 19.82 | 19.78 | 0.00 | |||
| Short term VaRs: analytical | 1+ year VaRs: historical data | |||||||||||
| Safe Withdrawal Rate (%) | 75.51 | 23.64 | 14.20 | 7.27 | 4.67 | 11.78 | |||||
| Perpetual Withdrawal Rate (%) | --- | --- | --- | --- | 2.16 | 10.99 | |||||
| % based on initial capital, inflation-adj. monthly withdrawals afterwards | Credits: BestRetirementPortfolio.com | |||||||||||
| ··· All available data (Jan 1976 - Nov 2024) | |||||||||||
| Best Rolling Return (%) - Annualized | 55.12 | 36.99 | 34.78 | 22.42 | 20.15 | 14.32 | |||||
| Worst Rolling Return (%) - Annualized | -39.37 | -15.42 | -5.11 | -2.18 | 5.30 | 10.22 | |||||
| Positive Periods (%) | 79.8 | 89.8 | 94.1 | 96.5 | 100.0 | 100.0 | |||||
| Best Rolling Return (%) - Annualized | 51.38 | 34.08 | 31.65 | 19.14 | 15.68 | 10.12 | |||||
| Worst Rolling Return (%) - Annualized | -39.37 | -17.45 | -7.55 | -4.65 | 3.16 | 7.51 | |||||
| Positive Periods (%) | 74.4 | 82.2 | 84.2 | 94.0 | 100.0 | 100.0 | |||||
| 95% VaR - Value at Risk (%) - Cumulative | 6.04 | 9.08 | 10.94 | 16.09 | 15.04 | 2.88 | 0.00 | 0.00 | 0.00 | ||
| 95% CVaR - Conditional Value at Risk (%) | 7.84 | 12.20 | 15.34 | 24.15 | 26.10 | 10.41 | 4.58 | 0.00 | 0.00 | ||
| 99% VaR - Value at Risk (%) - Cumulative | 8.99 | 14.20 | 18.17 | 31.22 | 32.28 | 15.02 | 12.41 | 0.00 | 0.00 | ||
| 99% CVaR - Conditional Value at Risk (%) | 10.87 | 17.45 | 22.77 | 34.23 | 34.56 | 17.61 | 15.50 | 0.00 | 0.00 | ||
| Short term VaRs: analytical | 1+ year VaRs: historical data | |||||||||||
| Safe Withdrawal Rate (%) | 75.51 | 23.64 | 14.20 | 7.27 | 4.67 | 6.44 | |||||
| Perpetual Withdrawal Rate (%) | --- | --- | --- | --- | 2.16 | 5.86 | |||||
| % based on initial capital, inflation-adj. monthly withdrawals afterwards | Credits: BestRetirementPortfolio.com | |||||||||||
- Annualized Portfolio Return: it's the annualized geometric mean return of the portfolio.
- Deepest/Longest Drawdown: a drawdown refers to the decline in value from a relative peak value to a relative trough. The deepest (or maximum) drawdown is the maximum observed loss from a peak to a trough of a portfolio before a new peak is attained. The longest drawdown is the period observed from a peak to the subsequent peak with the greatest duration.
- Longest negative period: it's the maximum period for which an overall negative return has been observed.
- Standard Deviation: it's a measure of the dispersion of returns around the mean.
- Sharpe Ratio: it's a measure of risk-adjusted performance of the portfolio. It's calculated by dividing the excess return of the portfolio over the risk-free rate by the portfolio standard deviation. The risk-free rate here considered is the 1-3 Mth T-Bill return.
- Sortino Ratio: another measure of risk-adjusted performance of the portfolio. It's a modification of the Sharpe Ratio (same formula but the denominator is the portfolio downside standard deviation).
- Ulcer Index: it's a measure of downside risk that quantifies the depth and duration of drawdowns in an investment portfolio.
- Best/Worst 10Y returns: the best and the worst 10-year return over a time frame.
- Rolling Returns: N-year returns over a time frame, calculated over all the available data source (best, worst, % of positive returns). Each rolling period, longer than the longest negative period, yielded a non-negative minimum return.
- Value at Risk (VaR): it's an evaluation of a cumulative worst-case loss (in absolute value), associated with a probability (95%-99%) and a time horizon. For short term, it's calculated based on the expected return and standard deviation, assuming a normal distribution of monthly returns. For long term is retrieved by the historical rolling return data.
- Conditional Value at Risk (CVaR): it represents the average expected loss if that worst-case threshold (95%-99%) is ever crossed.
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Correlations as of Nov 30, 2024
Correlation measures to what degree the returns of two assets move in relation to each other. It is a statistical measure that describes the extent to which the returns of one asset are related to the returns of another asset.
The following table shows the monthly correlations of iShares Edge MSCI USA Quality Factor ETF (QUAL) ETF vs the main Asset Classes, over different timeframes. Columns are sortable (click on table header to sort).
ISHARES EDGE MSCI USA QUALITY FACTOR ETF (QUAL) ETF
Monthly correlations as of 30 November 2024
Swipe left to see all data
| Correlation vs QUAL | |||||
|---|---|---|---|---|---|
| Asset Class | 1 Year | 5 Years | 10 Years | 30 Years | |
|
VTI
|
US Total Stock Market | 0.94 | 0.98 | 0.98 | 0.98 |
|
SPY
|
US Large Cap Blend | 0.97 | 0.99 | 0.99 | 0.99 |
|
IJH
|
US Mid Cap Blend | 0.69 | 0.89 | 0.89 | 0.89 |
|
IJR
|
US Small Cap Blend | 0.52 | 0.81 | 0.81 | 0.79 |
|
VNQ
|
US REITs | 0.63 | 0.87 | 0.76 | 0.60 |
|
QQQ
|
US Technology | 0.89 | 0.92 | 0.91 | 0.83 |
|
PFF
|
US Preferred Stocks | 0.67 | 0.80 | 0.73 | 0.46 |
|
EFA
|
EAFE Stocks | 0.70 | 0.88 | 0.86 | 0.82 |
|
VT
|
World All Countries | 0.92 | 0.96 | 0.95 | 0.96 |
|
EEM
|
Emerging Markets | 0.31 | 0.68 | 0.66 | 0.70 |
|
BND
|
US Total Bond Market | 0.53 | 0.61 | 0.42 | 0.19 |
|
TLT
|
US Long Term Treasuries | 0.60 | 0.35 | 0.14 | -0.07 |
|
BIL
|
US Cash | 0.09 | 0.03 | 0.04 | 0.03 |
|
TIP
|
US TIPS | 0.50 | 0.69 | 0.52 | 0.21 |
|
LQD
|
US Invest. Grade Bonds | 0.53 | 0.72 | 0.59 | 0.34 |
|
HYG
|
US High Yield Bonds | 0.59 | 0.83 | 0.80 | 0.66 |
|
CWB
|
US Convertible Bonds | 0.61 | 0.81 | 0.83 | 0.82 |
|
BNDX
|
International Bonds | 0.41 | 0.63 | 0.46 | 0.17 |
|
EMB
|
Emerg. Market Bonds | 0.64 | 0.80 | 0.69 | 0.56 |
|
GLD
|
Gold | -0.42 | 0.24 | 0.09 | 0.04 |
|
DBC
|
Commodities | -0.43 | 0.37 | 0.38 | 0.30 |
Correlation values range between -1 and +1
- A correlation of +1 indicates that the returns of the two assets move in perfect synchrony; when one asset's returns go up, the other asset's returns also go up by the same percentage, and vice versa. This perfect positive correlation implies that the assets perform similarly in different market conditions.
- A correlation of -1 indicates a perfect inverse relationship between the returns of the two assets. When one asset's returns go up, the other asset's returns go down by the same percentage. This perfect negative correlation suggests that the assets move in opposite directions, providing a diversification benefit by reducing overall portfolio risk.
- A correlation of 0 means that there is no linear relationship between the returns of the two assets. The returns of one asset do not predict the returns of the other.
Learn about historical correlations here: see how the main asset classes relate to each other.
Drawdowns
A drawdown refers to the decline in value from a relative peak value to a relative trough. A maximum drawdown is the maximum observed loss from a peak to a trough of a portfolio before a new peak is attained.
ISHARES EDGE MSCI USA QUALITY FACTOR ETF (QUAL) ETF
Drawdown periods
Drawdown periods - Inflation Adjusted
1 December 1994 - 30 November 2024 (30 Years)
1 January 1976 - 30 November 2024 (~49 years)
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Rolling Returns
For a detailed rolling return analysis, click here
iShares Edge MSCI USA Quality Factor ETF (QUAL) ETF: Rolling Returns
iShares Edge MSCI USA Quality Factor ETF (QUAL) ETF: Rolling Returns
A rolling return is a measure of investment performance that calculates the return of an investment over a set period of time, with the starting date rolling forward. This approach can provide a more accurate representation of the investment's historical performance and helps investors to evaluate the investment's consistency over time.
ISHARES EDGE MSCI USA QUALITY FACTOR ETF (QUAL) ETF
Annualized Rolling Returns
Annualized Rolling Returns - Inflation Adjusted
1 December 1994 - 30 November 2024 (30 Years)
1 January 1976 - 30 November 2024 (~49 years)
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The values shown for the rolling periods represent key statistical points: the minimum, maximum, median, and the 15th and 85th percentiles. These percentiles give insight into the distribution of the data, indicating the range within which the central 70% of the values lie, while the median represents the middle value.
Seasonality
In which months is it better to invest in iShares Edge MSCI USA Quality Factor ETF (QUAL) ETF?
Both the Average Return and the Gain Frequency (Win %) are useful to get an idea of what happened in the past. They are retrieved considering the time period from January 1976 to November 2024.
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For further information about the seasonality, check the Asset Class Seasonality page.
Monthly Returns
This section provides a visual/tabular representation of the performance variability in the iShares Edge MSCI USA Quality Factor ETF (QUAL) ETF over time. It illustrates the distribution of monthly returns, showcasing the range and frequency of positive and negative returns.
ISHARES EDGE MSCI USA QUALITY FACTOR ETF (QUAL) ETF
Monthly Returns Distribution
1 December 1994 - 30 November 2024 (30 Years)
1 January 1976 - 30 November 2024 (~49 years)
229 Positive Months (64%) - 131 Negative Months (36%)
363 Positive Months (62%) - 224 Negative Months (38%)
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Methodology
Returns, up to December 2013, have been derived using the historical series of equivalent ETFs / Assets.
You can find additional information on extended Data Sources here.
Returns, up to December 2013, have been derived using the historical series of equivalent ETFs / Assets.
You can find additional information on extended Data Sources here.
The first official book of
Build wealth
with Lazy Portfolios and Passive Investing
with Lazy Portfolios and Passive Investing