BALI — iShares U.S. Large Cap Premium Income Active ETF factor decomposition

Factor return decomposition

Each bar = β_i × factor return, geometrically annualized.

Sharpe — Backtested Sim.

0.438

Rel. to market: 1.488

Sharpe — Realized

1.605

Rel. to market: 1.096

How are these computed?

Currency basis: returns and factor contributions on this page are in USD. Fama-French (Ken French data library, 1964→present)

Backtested Sim. applies BALI's regression betas to the full factor history (geometric mean per factor, annualized). The Sharpe uses BALI's realized in-sample volatility as the denominator — a deliberately conservative choice, since fixed-loading factor returns are smoother than what any real fund actually delivers.

Realized applies the same betas to the factor returns observed during BALI's lifetime only (2023-Oct → 2026-Feb). The Sharpe is the fund's actual excess return over its actual volatility. Full methodology →

Factor exposures

Factor	β	t-stat	Backtested %	Realized %
Size (SMB)	-0.134	-3.40	-0.30%	+0.60%
Value (HML)	0.110	2.43	+0.38%	+0.59%
Profitability (RMW)	0.157	3.07	+0.50%	-0.46%
Investment (CMA)	0.070	1.31	+0.21%	-0.19%
Momentum (UMD)	0.031	0.85	+0.22%	+0.24%
Factor-Beta subtotal · non-market			+1.01%	+0.78%
Alpha (intercept)	—	-0.79	-1.19%
Smart-Beta Net · Factor-Beta + Alpha			-0.18%	-0.41%
+ Mkt-RF contribution · market	0.881	26.30	+5.46%	+15.46%
= Total excess return			+5.29%	+15.31%
+ Rf base (%)			4.44% → 9.73% total	4.74% → 20.06% total

Fund snapshot

Issuer

IShares

Asset class

Equity

Inception

2023-09-26

Dividend yield

10.39%

Div CAGR

20.00%

Dividend valuation

81 (100=median)

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All US Leaders US Universe Methodology

Research disclaimer

Factor decomposition shows what BALI's historical betas would have earned under each scenario — not a forecast, not investment advice. Backtested simulation assumes loadings stay fixed across the long sample, which is unrealistic for any real-world fund. Use this as one input to ETF due diligence, not a substitute for it.

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