Risk weightings are calculated using the inverse of the historical variance of the stocks based on three years of weekly return data, according to iShares, allowing SIZE to emphasize the size and value factors. Those are oft-cited attributes of the out-performance offered by some smart beta ETFs.
SIZE “fund does not currently have a significant value tilt, which could reduce its potential long-term return advantage. At the end of June, it was trading at a similar multiple of forward earnings (19.0) to the MSCI USA Index (18.6), though it looked slightly cheaper on book value. At first glance, the portfolio does not appear to have a profitability tilt, either. On average, its holdings generated slightly lower returns on invested capital (ROIC) over the trailing 12 months through June 2015 than the constituents of the MSCI USA Index,” according to Morningstar.
SIZE has $233.2 million in assets under management and charges just 0.15% per year.
iShares MSCI USA Risk Weighted Index Fund
