VLUE: iShares MSCI USA Value Factor ETF returns, drawdowns and risk
Funds that select stocks by a single characteristic: low volatility, quality, momentum, value or durable competitive advantages.
Data updated October 2026
VLUE · US exchange · USDCategory: Factor ETFs (min vol, quality, momentum, value)Data from June 2020
From June 2020 to October 2026 VLUE returned 19.4% a year on average with dividends reinvested, in US dollars: $10,000 invested at the start grew to $30,922.
Its deepest fall was 27.1%, from January 2022 to September 2022, and it took about 26 months to get back to the previous high. Annual volatility was 18.7%; at the last close it was 5.8% below its high.
Against SPY (SPDR S&P 500 ETF Trust), over the 76 months both have data, the correlation of monthly returns was 0.82: they usually moved together. Beta was 1.04. In months when SPY rose, VLUE moved 106% as much on average; in months when SPY fell, 93% as much.
Key figures
- Annual return (CAGR)
- +19.4%
- 1-year return
- +55.9%
- 5 years, a year
- +16.0%
- 10 years, a year
- —
- Annual volatility
- 18.7%
- Maximum drawdown
- −27.1%
- Sharpe ratio
- 0.89
- Worst year
- 2022: −14.2%
Trailing returns
| Period | VLUE | SPY |
|---|---|---|
| 1 year | +55.9% | +16.6% |
| 3 years, a year | +32.5% | +23.1% |
| 5 years, a year | +16.0% | +12.7% |
To the last close of October 2026. Periods longer than a year are annualised.
Growth of $10,000: VLUE vs SPY
Month-end values from July 2020, the first month both funds have data.
VLUE drawdowns
Percentage below the previous high, weekly.
Returns by calendar year
| Year | VLUE | SPY |
|---|---|---|
| 2026(partial) | +42.7% | +13.3% |
| 2025 | +32.7% | +17.7% |
| 2024 | +7.2% | +24.9% |
| 2023 | +14.3% | +26.2% |
| 2022 | −14.2% | −18.2% |
| 2021 | +28.9% | +28.7% |
| 2020(partial) | +20.5% | — |
VLUE compared
How the figures are calculated
Total return in the fund’s trading currency, from end-of-day prices with dividends reinvested on the ex-date. The fund’s own ongoing charges are already reflected in its price; trading costs, taxes and currency conversion are not included. Past returns do not predict future returns.
Sharpe ratio uses the return of short-term government bills in the same currency as the risk-free rate. The growth chart uses month-end values; drawdowns and volatility use daily closes.
Questions
What is the average annual return of VLUE?
From June 2020 to October 2026 VLUE returned 19.4% a year on average (CAGR) with dividends reinvested, in USD. Over the last 5 years: +16.0% a year. Over the last 12 months: +55.9%.
What was the worst drawdown of VLUE?
27.1%, from January 2022 to September 2022; it took about 26 months from the previous high to get back to it.
How volatile is VLUE?
Annual volatility was 18.7% over the period. Its worst month was −11.0% and 58% of months were positive. Worst calendar year: 2022 (−14.2%).
How closely does VLUE follow SPY?
Over 76 months the correlation of monthly returns was 0.82, so they usually moved together, with a beta of 1.04.
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Other Factor ETFs (min vol, quality, momentum, value)
- All Factor ETFs (min vol, quality, momentum, value)Returns and risk side by side
- USMV — iShares MSCI USA Min Vol Factor ETFCAGR +9.8%
- QUAL — iShares MSCI USA Quality Factor ETFCAGR +12.4%
- MTUM — iShares MSCI USA Momentum Factor ETFCAGR +15.2%
- SPLV — Invesco S&P 500 Low Volatility ETFCAGR +8.3%
- MOAT — VanEck Morningstar Wide Moat ETFCAGR +13.7%
- XDEM — Xtrackers MSCI World Momentum UCITS ETF 1CCAGR +11.4%
- XDEV — Xtrackers MSCI World Value UCITS ETF 1CCAGR +9.1%
- XDEQ — Xtrackers MSCI World Quality UCITS ETF 1CCAGR +9.8%
- IWVL — iShares Edge MSCI World Value Factor UCITS ETFCAGR +10.1%
Source: MarketStack end-of-day prices, total return with dividends reinvested. Figures are historical and descriptive; they are not forecasts and not investment advice. MEDGE Capital does not recommend buying or selling any instrument. Risk disclaimer.