iShares Edge MSCI USA Value Factor (QDVI.DE): Historical Returns

Data Source: from January 1975 to May 2024 (~49 years)
Consolidated Returns as of 31 May 2024
Category: Stocks
iShares Edge MSCI USA Value Factor (QDVI.DE) ETF
Currency: EUR

In the last 30 Years, the iShares Edge MSCI USA Value Factor (QDVI.DE) ETF obtained a 9.60% compound annual return, with a 16.24% standard deviation. It suffered a maximum drawdown of -52.65% that required 69 months to be recovered.

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The ETF is related to the following investment themes:

  • Asset Class: Equity
  • Size: Large Cap
  • Style: Value
  • Region: North America
  • Country: U.S.

Investment Returns as of May 31, 2024

The iShares Edge MSCI USA Value Factor (QDVI.DE) ETF guaranteed the following returns.

Returns are calculated in EUR, assuming:
  • no fees or capital gain taxes.
  • the actual Euro Inflation rates.
ISHARES EDGE MSCI USA VALUE FACTOR (QDVI.DE) ETF
Consolidated returns as of 31 May 2024
Swipe left to see all data
  Chg (%) Return (%) Return (%) as of May 31, 2024
  1 Day Time ET(*) Jun 2024 1M 6M 1Y 5Y 10Y 30Y MAX
(~49Y)
iShares Edge MSCI USA Value Factor (QDVI.DE) ETF n.a. n.a. -0.73 10.30 17.09 9.49 10.12 9.60 12.16
Euro Inflation Adjusted return -0.73 8.38 14.40 5.61 7.63 7.39 9.36
Returns over 1 year are annualized | Available data source: since Jan 1975
(*) Eastern Time (ET - America/New York)
Euro Inflation is updated to Apr 2024. Pending updates, the monthly inflation is set at 0% for the subsequent periods. Current inflation (annualized) is 1Y: 2.35% , 5Y: 3.67% , 10Y: 2.31% , 30Y: 2.06%

Capital Growth as of May 31, 2024

An investment of 1€, since June 1994, now would be worth 15.64€, with a total return of 1463.52% (9.60% annualized).

The Inflation Adjusted Capital now would be 8.49€, with a net total return of 748.69% (7.39% annualized).
An investment of 1€, since January 1975, now would be worth 289.78€, with a total return of 28877.93% (12.16% annualized).

The Inflation Adjusted Capital now would be 83.32€, with a net total return of 8231.80% (9.36% annualized).

Investment Metrics as of May 31, 2024

Metrics of iShares Edge MSCI USA Value Factor (QDVI.DE) ETF, updated as of 31 May 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.
  • the actual Euro Inflation rates.
ISHARES EDGE MSCI USA VALUE FACTOR (QDVI.DE) ETF
Advanced Metrics
Data Source: 1 January 1975 - 31 May 2024 (~49 years)
Swipe left to see all data
Metrics as of May 31, 2024
1M 3M 6M 1Y 3Y 5Y 10Y 20Y 30Y MAX
(~49Y)
Investment Return (%) -0.73 0.15 10.30 17.09 5.04 9.49 10.12 8.34 9.60 12.16
Infl. Adjusted Return (%)
-0.73 -1.18 8.38 14.40 -0.41 5.61 7.63 6.12 7.39 9.36
Euro Inflation (%) 0.00 1.34 1.78 2.35 5.48 3.67 2.31 2.09 2.06 2.55
Pending updates, the monthly inflation of May 2024 and beyond is set at 0%. Returns / Inflation rates over 1 year are annualized.
DRAWDOWN
Inflation Adjusted:
Inflation Adjusted:
1Y 3Y 5Y 10Y 20Y 30Y MAX
Deepest Drawdown Depth (%) -5.98 -11.93 -26.19 -26.19 -52.65 -52.65 -52.65
Start to Recovery (# months)
5 25 14 14 69 69 69
Start (yyyy mm) 2023 08 2022 01 2020 01 2020 01 2007 06 2007 06 2007 06
Start to Bottom (# months) 3 17 3 3 21 21 21
Bottom (yyyy mm) 2023 10 2023 05 2020 03 2020 03 2009 02 2009 02 2009 02
Bottom to End (# months) 2 8 11 11 48 48 48
End (yyyy mm) 2023 12 2024 01 2021 02 2021 02 2013 02 2013 02 2013 02
Longest Drawdown Depth (%)
same

same
-11.93 -11.93
same
-43.43 -43.43
Start to Recovery (# months)
25 25 79 79
Start (yyyy mm) 2023 08 2022 01 2022 01 2022 01 2007 06 2000 11 2000 11
Start to Bottom (# months) 3 17 17 17 21 29 29
Bottom (yyyy mm) 2023 10 2023 05 2023 05 2023 05 2009 02 2003 03 2003 03
Bottom to End (# months) 2 8 8 8 48 50 50
End (yyyy mm) 2023 12 2024 01 2024 01 2024 01 2013 02 2007 05 2007 05
Longest negative period (# months)
4 28 28 44 80 146 146
Period Start (yyyy mm) 2023 07 2021 07 2021 07 2017 03 2005 02 2000 11 2000 11
Period End (yyyy mm) 2023 10 2023 10 2023 10 2020 10 2011 09 2012 12 2012 12
Annualized Return (%) -9.83 -0.60 -0.60 -0.99 -0.06 -0.02 -0.02
Deepest Drawdown Depth (%) -6.87 -21.09 -25.98 -25.98 -53.98 -58.76 -58.76
Start to Recovery (# months)
5 29* 14 14 72 163 163
Start (yyyy mm) 2023 08 2022 01 2020 01 2020 01 2007 06 2000 11 2000 11
Start to Bottom (# months) 3 22 3 3 21 100 100
Bottom (yyyy mm) 2023 10 2023 10 2020 03 2020 03 2009 02 2009 02 2009 02
Bottom to End (# months) 2 7 11 11 51 63 63
End (yyyy mm) 2023 12 - 2021 02 2021 02 2013 05 2014 05 2014 05
Longest Drawdown Depth (%)
same

same
-21.09 -21.09
same

same

same
Start to Recovery (# months)
29* 29*
Start (yyyy mm) 2023 08 2022 01 2022 01 2022 01 2007 06 2000 11 2000 11
Start to Bottom (# months) 3 22 22 22 21 100 100
Bottom (yyyy mm) 2023 10 2023 10 2023 10 2023 10 2009 02 2009 02 2009 02
Bottom to End (# months) 2 7 7 7 51 63 63
End (yyyy mm) 2023 12 - - - 2013 05 2014 05 2014 05
Longest negative period (# months)
5 36* 47 47 90 164 164
Period Start (yyyy mm) 2023 06 2021 06 2019 12 2016 12 2004 06 1998 02 1998 02
Period End (yyyy mm) 2023 10 2024 05 2023 10 2020 10 2011 11 2011 09 2011 09
Annualized Return (%) -0.07 -0.41 -1.08 -0.19 -0.06 -0.02 -0.02
Drawdowns / Negative periods marked with * are in progress
RISK INDICATORS
1Y 3Y 5Y 10Y 20Y 30Y MAX
Standard Deviation (%) 13.02 14.45 17.98 16.36 15.05 16.24 17.33
Sharpe Ratio 0.90 0.15 0.42 0.54 0.46 0.45 0.47
Sortino Ratio 1.22 0.22 0.58 0.74 0.63 0.61 0.64
Ulcer Index 2.82 5.59 9.17 7.41 15.39 16.85 14.62
Ratio: Return / Standard Deviation 1.31 0.35 0.53 0.62 0.55 0.59 0.70
Ratio: Return / Deepest Drawdown 2.86 0.42 0.36 0.39 0.16 0.18 0.23
Positive Months (%)
58.33 44.44 50.00 55.00 58.33 60.00 60.37
Positive Months 7 16 30 66 140 216 358
Negative Months 5 20 30 54 100 144 235
LONG TERM RETURNS
Inflation Adjusted:
Inflation Adjusted:
1Y 3Y 5Y 10Y 20Y 30Y MAX
Best 10 Years Return (%) - Annualized 10.12 16.97 16.97 24.14
Worst 10 Years Return (%) - Annualized 5.85 -2.86 -2.86
Best 10 Years Return (%) - Annualized 7.63 15.52 15.52 21.24
Worst 10 Years Return (%) - Annualized 4.35 -4.84 -4.84
TIMEFRAMES
Inflation Adjusted:
Inflation Adjusted:
1M 3M 6M 1Y 3Y 5Y 10Y 20Y 30Y MAX
··· Over the latest 30Y
Best Rolling Return (%) - Annualized 79.68 41.21 31.15 16.97 11.08 9.60
Worst Rolling Return (%) - Annualized -38.01 -19.05 -7.03 -2.86 3.87
Positive Periods (%) 76.7 78.1 79.0 85.8 100.0 100.0
Best Rolling Return (%) - Annualized 77.05 38.83 29.08 15.52 9.10 7.39
Worst Rolling Return (%) - Annualized -39.45 -20.70 -8.98 -4.84 2.24
Positive Periods (%) 72.4 75.3 69.1 80.9 100.0 100.0
95% VaR - Value at Risk (%) - Cumulative
6.83 10.72 13.62 25.40 40.65 15.78 14.73 0.00
95% CVaR - Conditional Value at Risk (%) 8.78 14.09 18.39 30.91 48.03 23.65 25.19 0.00
99% VaR - Value at Risk (%) - Cumulative
10.03 16.25 21.45 35.32 50.64 27.83 32.31 0.00
99% CVaR - Conditional Value at Risk (%) 12.06 19.78 26.43 37.14 67.04 38.96 32.58 0.00
Short term VaRs: analytical | 1+ year VaRs: historical data
Safe Withdrawal Rate (%) 74.29 21.89 13.68 6.74 4.19 9.75
Perpetual Withdrawal Rate (%) --- --- --- --- 1.50 8.60
% based on initial capital, inflation-adj. monthly withdrawals afterwards | Credits: BestRetirementPortfolio.com
··· All available data (Jan 1975 - May 2024)
Best Rolling Return (%) - Annualized 80.58 43.54 36.83 24.14 19.65 14.64
Worst Rolling Return (%) - Annualized -38.01 -19.05 -7.03 -2.86 3.87 8.91
Positive Periods (%) 75.6 84.9 88.2 92.8 100.0 100.0
Best Rolling Return (%) - Annualized 77.05 39.26 31.43 21.24 16.61 11.47
Worst Rolling Return (%) - Annualized -39.45 -20.70 -8.98 -4.84 2.24 6.69
Positive Periods (%) 71.4 79.3 82.3 90.2 100.0 100.0
95% VaR - Value at Risk (%) - Cumulative
7.14 11.00 13.64 20.84 29.96 11.97 8.14 0.00 0.00
95% CVaR - Conditional Value at Risk (%) 9.22 14.59 18.73 27.82 42.42 18.95 18.76 0.00 0.00
99% VaR - Value at Risk (%) - Cumulative
10.55 16.90 21.99 31.31 48.20 25.10 29.16 0.00 0.00
99% CVaR - Conditional Value at Risk (%) 12.72 20.66 27.31 35.39 56.60 32.74 31.69 0.00 0.00
Short term VaRs: analytical | 1+ year VaRs: historical data
Safe Withdrawal Rate (%) 74.29 21.89 13.68 6.74 4.19 6.91
Perpetual Withdrawal Rate (%) --- --- --- --- 1.50 6.06
% based on initial capital, inflation-adj. monthly withdrawals afterwards | Credits: BestRetirementPortfolio.com
Terms and Definitions
  • 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.
  • Safe Withdrawal Rate (SWR): it's the percentage of the initial portfolio balance that can be withdrawn at the beginning of each month with inflation adjustment, without the portfolio running out of money in any case (money amount withdrawal).
    For instance: Your initial invested capital is 100.000$; withdrawal rate (annualized) is 4%. This means that, in the first month, you will withdraw 100.000 * 4% * 1/12 = 333.33$. The second month, you’ll withdraw 333.33$ plus the inflation monthly rate. You’ll continue adjusting your withdraw monthly for inflation.
  • Perpetual Withdrawal Rate (PWR): it's the percentage of the initial portfolio balance that can be withdrawn at the beginning of each month with inflation adjustment, preserving the original invested capital, adjusted for inflation too.

Correlations as of May 31, 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.

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.

The following table shows the monthly correlations of iShares Edge MSCI USA Value Factor (QDVI.DE) ETF vs the main Asset Classes, over different timeframes. Columns are sortable (click on table header to sort).

ISHARES EDGE MSCI USA VALUE FACTOR (QDVI.DE) ETF
Monthly correlations as of 31 May 2024
Swipe left to see all data
Correlation vs QDVI.DE
Asset Class 1 Year 5 Years 10 Years 30 Years Since
Jan 1992
VTI
US Total Stock Market
0.77
0.77
0.76
0.77
0.76
SPY
US Large Cap
0.75
0.75
0.75
0.77
0.76
IJR
US Small Cap
0.80
0.84
0.82
0.70
0.69
VNQ
US REITs
0.75
0.71
0.61
0.46
0.45
QQQ
US Technology
0.68
0.58
0.59
0.61
0.61
PFF
Preferred Stocks
0.74
0.61
0.52
0.32
0.31
EFA
EAFE Stocks
0.76
0.68
0.61
0.51
0.46
VT
World All Countries
0.77
0.74
0.70
0.66
0.64
EEM
Emerging Markets
0.61
0.49
0.39
0.47
0.46
VGK
Europe
0.70
0.67
0.57
0.50
0.48
VPL
Pacific
0.84
0.67
0.60
0.46
0.41
FLLA
Latin America
0.73
0.62
0.38
0.47
0.47
BND
US Total Bond Market
0.69
0.21
0.08
-0.01
0.00
TLT
Long Term Treasuries
0.72
-0.09
-0.15
-0.18
-0.16
BIL
US Cash
-0.09
-0.15
-0.14
-0.01
-0.01
TIP
TIPS
0.63
0.36
0.20
0.02
0.04
LQD
Invest. Grade Bonds
0.72
0.37
0.26
0.11
0.12
HYG
High Yield Bonds
0.75
0.64
0.59
0.45
0.45
CWB
US Convertible Bonds
0.86
0.63
0.61
0.61
0.61
BNDX
International Bonds
0.67
0.34
0.23
-0.02
0.00
EMB
Emerg. Market Bonds
0.75
0.49
0.36
0.39
0.39
GLD
Gold
0.01
-0.15
-0.22
-0.20
-0.18
DBC
Commodities
0.12
0.48
0.36
0.14
0.13

If you want to learn more about historical correlations, you can find out here how the main asset class are correlated 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 VALUE FACTOR (QDVI.DE) ETF
Drawdown periods
Drawdown periods - Inflation Adjusted
Data Source: 1 June 1994 - 31 May 2024 (30 Years)
Data Source: 1 January 1975 - 31 May 2024 (~49 years)
Inflation Adjusted:
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Rolling Returns

( more details)

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 VALUE FACTOR (QDVI.DE) ETF
Annualized Rolling Returns
Annualized Rolling Returns - Inflation Adjusted
Data Source: 1 June 1994 - 31 May 2024 (30 Years)
Data Source: 1 January 1975 - 31 May 2024 (~49 years)
Inflation Adjusted:

If you need a deeper detail about rolling returns, please refer to the iShares Edge MSCI USA Value Factor (QDVI.DE) ETF: Rolling Returns page.

Seasonality

In which months is it better to invest in iShares Edge MSCI USA Value Factor (QDVI.DE) ETF?

Both the Average Return and the Gain Frequency (Win %) are useful to get an idea of what happened in the past.
For further information about the seasonality, check the Asset Class Seasonality page.
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Monthly Returns

This section provides a visual/tabular representation of the performance variability in the iShares Edge MSCI USA Value Factor (QDVI.DE) ETF over time. It illustrates the distribution of monthly returns, showcasing the range and frequency of positive and negative returns.

ISHARES EDGE MSCI USA VALUE FACTOR (QDVI.DE) ETF
Monthly Returns Distribution
Data Source: 1 June 1994 - 31 May 2024 (30 Years)
Data Source: 1 January 1975 - 31 May 2024 (~49 years)
216 Positive Months (60%) - 144 Negative Months (40%)
358 Positive Months (60%) - 235 Negative Months (40%)
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(Scroll down to see all data)
Investment Returns, up to October 2016, have been derived using the historical series of equivalent ETFs / Assets.
You can find additional information on extended Data Sources here.

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