iShares Aggregate Bond
ALTAR
Score™
2.5% info Median Credit
S&P/Moody's
AA+/Aaa
 
Yield to
Maturity
2.7% Current
Yield
3.0%
Macaulay
Duration
6.4 yrs Modified
Duration
6.4%


  • Description
  • Performance
  • Fundamentals
  • Rate Sensitivity
  • Rating
iShares Core Total U.S. Bond Market ETF is an exchange-traded fund incorporated in the USA. The ETF seeks to track the investment results of an index composed of the total U.S. investment-grade bond market.

FUND BASICS
Category Aggregate
Fund Sponsor BlackRock Fund Advisors
Website www.ishares.com
Inception date Sep 26, 2003
Assets (mns) $43,074
Currency USD
Expense ratio 5 bp
Distributions Monthly

FUND STRUCTURE
Regulation Open-End Investment Company
Custodian State Street Bank & Trust Co
Weighting Market Cap
Index replication Optimized

ISSUER TYPE BREAKDOWN

CONSTITUENT BREAKDOWN
No. of constituents 5753
No of distinct issuers 1513
Inflation protected 0%
Variable/Fixed coupon 12% /88%
Non-standard maturity (callable, etc.) 45%

TOP TEN HOLDINGS
FNCL MBS 30yr TBA 3.0% 1.9 %
G2SF MBS 30yr TBA 3.0% 1.5 %
TREASURY NOTE 3.6% 2/15/21 1.5 %
FGLMC MBS 30yr TBA 3.0% 1.4 %
US TREASURY N/B 1.0% 3/15/18 1.2 %
TREASURY NOTE 2.1% 8/31/20 0.8 %
FNMA TBA 15yr 2.5% Decembe 2.5% 0.8 %
TREASURY BOND 4.3% 11/15/40 0.7 %
GNMA II 3.5% 0.6 %
U.S. TREASURY 0.9% 4/15/19 0.6 %
   
TOTAL 11.1 %

TOP ISSUERS
U.S. TREASURY36.7%
FANNIE MAE10.2%
FREDDIE MAC6.8%
GINNIE MAE6.7%
EUROPEAN INVESTMENT BANK0.4%

TOP COUNTRY EXPOSURE
UNITED STATES 86.4 %
SUPRA-NATIONAL 0.9 %
CANADA 0.8 %
BRITAIN 0.7 %
GERMANY 0.5 %

 





HISTORICAL RETURNS info

  Custom date range Compare to  
  thru


Standardized Annual Returns (thru February 28)
Year-to-date 1 year 5 years 10 years Since Incep.
0.9% 1.1% 2.2% 4.2% 4.1%

Market Correlations
versus... Beta R-squared
Barclays Agg. Bond 1.01 97%
S&P500 -0.02 0%
MSCI EAFE 0.01 0%
MSCI Emg. Mkts. 0.04 6%

Technical Indicators
Recent close $108.36
Tracking Error 0.00
Avg. Premium/Discount 0.00%
Annualized volatility n/a %
Relative strength (RSI) 49
Liquidity measures
Avg. volume (thou.) 108
Avg. daily value traded (mns) $12
Turnover 0.0%
Bid/Ask (% of price) 0.01

Distributions


Yield Comparison

*Fund Category: AGGREGATE

CREDIT QUALITY: MOODY'S

DISTRIBUTION YIELD (TRAILING 12 MONTHS)
Macaulay Duration info
 
AGG 6.4 yrs Category
Avg.*
5.0 yrs
 

Modified Duration info
 
AGG 6.4% Category
Avg.*
4.9%

RATE SENSITIVITY ANALYSIS info
Change
in YTM
New
YTM
Est. Price
Change
Est. New
Price
+300 bp 5.65% -15.1% $91.95
+200 bp 4.65% -11.0% $96.47
+150 bp 4.15% -8.6% $99.09
+100 bp 3.65% -5.9% $101.94
+75 bp 3.40% -4.5% $103.46
+50 bp 3.15% -3.1% $105.03
+25 bp 2.90% -1.6% $106.67
0 bp 2.65% 0% $108.36
-25 bp 2.40% 1.6% $110.11
-50 bp 2.15% 3.3% $111.92
-75 bp 1.90% 5.0% $113.79
-100 bp 1.65% 6.8% $115.72
-150 bp 1.15% 10.5% $119.76
-200 bp 0.65% 14.5% $124.03
-300 bp -0.35% 23.0% $133.29

*Fund Category: AGGREGATE

ALTAR Score™


Calculation of ALTAR Score™
Adj. Yield to Maturity info 265 bp
Less: Annual "default factor" info 9 bp
Less: Expense ratio 5 bp
Equals: ALTAR Score 2.51 %
 

Average ALTAR Score™ by Category
Aggregate 1.7%
Corporate 2.1%
Emerging Market 4.0%
Government 1.5%
Inflation Protected 1.4%
Mortgage 2.9%
Municipals 2.5%
 
*Note: The iShares Aggregate Bond is classified as a Aggregate fund.

 

Our estimate of the impact of potential defaults on investor returns, based on historical default and recovery rates for bonds of similar credit rating and maturities.
See RATING tab for calculations of ALTAR Score™
Estimate of fund sensitivity to interest rate changes based on modified duration and convexity adjustment applied to underlying bonds. Note: Less meaningful for inflation-indexed bonds.
Adds expected inflation to real YTM for inflation-linked bonds so that all instruments are compared on a nominal basis
Weighted-average term to maturity of the cash flows from a bond. All else being equal, bonds of longer duration are more sensitive to changes in interest rates than bonds of shorter duration.
Approximation of the change in bond prices given a 100 basis point shift in interest rates. A better estimate, particularly for larger moves in interest rates, is provided by the Rate Sensitivity Analysis below.