Analysis

Key stats

About iShares U.S. Equity Factor ETF

LRGF provides a multi-factor take on US equities. Eligible large- and mid-cap securities are given a multi-factor score according to momentum, quality, value, low volatility, and size. Momentum is based on earnings announcement drift, earnings momentum, and price momentum signals. Quality is measured by gross profitability, share dilution, accruals, changes in net operating assets, carbon emissions intensity, and greenhouse gas reduction targets. Value is based on book-to-price, cash flow yield, dividend yield, and earnings yield, whereas low volatility is measured by the prior 12-month volatility. To select and weight securities, an optimization process is used to increase exposure to the factors, without exceeding the expected risk of the parent index. The index reconstitutes and rebalances quarterly. Before June 1, 2022, the fund was named iShares MSCI USA Multifactor ETF and tracked the MSCI USA Diversified Multiple-Factor Index.