US ETF · Fama-French 6-factor RETURNS IN USD

IMCV — iShares Morningstar Mid-Cap Value ETF

Sample 2004-Aug → 2026-Feb (259 months) · Adj. R² 0.953 · AUM US$1,010M · MER 0.06%

Factor return decomposition
Each bar = βi × factor return, geometrically annualized.
Sharpe — Backtested Sim.
0.465
Rel. to market: 1.041
Sharpe — Realized
0.450
Rel. to market: 0.734
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 IMCV's regression betas to the full factor history (geometric mean per factor, annualized). The Sharpe uses IMCV'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 IMCV's lifetime only (2004-Aug → 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) 0.237 7.58 +0.49% -0.05%
Value (HML) 0.361 11.85 +1.21% -0.20%
Profitability (RMW) 0.131 3.27 +0.42% +0.44%
Investment (CMA) 0.157 3.38 +0.46% +0.02%
Momentum (UMD) -0.097 -5.33 -0.70% -0.17%
Factor-Beta subtotal · non-market +1.88% +0.04%
Alpha (intercept) — -0.74 -0.69%
Smart-Beta Net · Factor-Beta + Alpha +1.19% -0.65%
+ Mkt-RF contribution · market 0.975 54.03 +5.95% +9.08%
= Total excess return +7.14% +8.01%
+ Rf base (%) 4.44% → 11.58% total 1.69% → 9.70% total
Fund snapshot
Issuer
IShares
Asset class
Equity
Inception
2004-06-28
Dividend yield
1.98%
Div CAGR
6.07%
Dividend valuation
114 (100=median)
Embed this chart

Use this iframe URL on Discourse forums (e.g. Rational Reminder Community) or any site that allows iframe embeds. For Reddit and Twitter, paste the page URL directly — the social card image is auto-generated. 

<iframe src="https://verifiedbeta.com/embed/us/IMCV/waterfall/" width="720" height="540" style="border:0;" loading="lazy"></iframe>
All US Leaders US Universe Methodology
Research disclaimer

Factor decomposition shows what IMCV'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.

Important context

VerifiedBeta publishes educational ETF research, not personalized investment advice, portfolio management, or security recommendations. Funds that screen well here can still be unsuitable for your objectives, taxes, liquidity needs, or constraints. Review fund documents, methodology assumptions, and your own circumstances before acting. See the full disclaimer.