July
31,
2023
iShares
Trust
iShares
MSCI
USA
Momentum
Factor
ETF
|
MTUM
|
Cboe
BZX
iShares
MSCI
USA
Quality
Factor
ETF
|
QUAL
|
Cboe
BZX
iShares
MSCI
USA
Size
Factor
ETF
|
SIZE
|
NYSE
Arca
iShares
MSCI
USA
Value
Factor
ETF
|
VLUE
|
Cboe
BZX
2023
Annual
Report
Dear
Shareholder,
Despite
an
uncertain
economic
landscape
during
the
12-month
reporting
period
ended
July
31,
2023,
the
resilience
of
the
U.S.
economy
in
the
face
of
ever
tighter
financial
conditions
provided
an
encouraging
backdrop
for
investors.
While
inflation
was
near
multi-decade
highs
at
the
beginning
of
the
period,
it
declined
precipitously
as
commodity
prices
dropped.
Labor
shortages
also
moderated,
although
wages
continued
to
grow
and
unemployment
rates
reached
the
lowest
levels
in
decades.
This
robust
labor
market
powered
further
growth
in
consumer
spending,
backstopping
the
economy.
Equity
returns
were
solid,
as
the
durability
of
consumer
sentiment
eased
investors’
concerns
about
the
economy’s
trajectory.
The
U.S.
economy
resumed
growth
in
the
third
quarter
of
2022
and
continued
to
expand
thereafter.
Most
major
classes
of
equities
advanced,
including
large-
and
small-capitalization
U.S.
stocks
and
equities
from
developed
and
emerging
markets.
The
10-year
U.S.
Treasury
yield
rose
during
the
reporting
period,
driving
its
price
down,
as
investors
reacted
to
elevated
inflation
and
attempted
to
anticipate
future
interest
rate
changes.
The
corporate
bond
market
also
faced
inflationary
headwinds,
although
high-yield
corporate
bond
prices
fared
significantly
better
than
investment-grade
bonds
as
demand
from
yield-seeking
investors
remained
strong.
The
U.S.
Federal
Reserve
(the
“Fed”),
acknowledging
that
inflation
has
been
more
persistent
than
expected,
raised
interest
rates
seven
times
during
the
12-month
period
ended
July
31,
2023.
Furthermore,
the
Fed
wound
down
its
bond-buying
programs
and
incrementally
reduced
its
balance
sheet
by
not
replacing
securities
that
reach
maturity.
However,
the
Fed
declined
to
raise
interest
rates
at
its
June
2023
meeting,
the
first
time
it
paused
its
tightening
in
the
current
cycle,
before
again
raising
rates
in
July
2023.
Supply
constraints
appear
to
have
become
an
embedded
feature
of
the
new
macroeconomic
environment,
making
it
difficult
for
developed
economies
to
increase
production
without
sparking
higher
inflation.
Geopolitical
fragmentation
and
an
aging
population
risk
further
exacerbating
these
constraints,
keeping
the
labor
market
tight
and
wage
growth
high.
Although
the
Fed
has
decelerated
the
pace
of
interest
rate
hikes
and
recently
opted
for
a
pause,
we
believe
that
the
new
economic
regime
means
that
the
Fed
will
need
to
maintain
high
rates
for
an
extended
period
to
keep
inflation
under
control.
Furthermore,
ongoing
structural
changes
may
mean
that
the
Fed
will
be
hesitant
to
cut
interest
rates
in
the
event
of
faltering
economic
activity
lest
inflation
accelerate
again.
We
believe
investors
should
expect
a
period
of
higher
volatility
as
markets
adjust
to
the
new
economic
reality
and
policymakers
attempt
to
adapt.
While
we
favor
an
overweight
position
to
developed
market
equities
in
the
long
term,
we
prefer
an
underweight
stance
in
the
near-term.
Expectations
for
corporate
earnings
remain
elevated,
which
seems
inconsistent
with
macroeconomic
constraints.
Nevertheless,
we
are
overweight
on
emerging
market
stocks
in
the
near-term
as
growth
trends
for
emerging
markets
appear
brighter.
We
also
believe
that
stocks
with
an
A.I.
tilt
should
benefit
from
an
investment
cycle
that
is
set
to
support
revenues
and
margins.
We
are
neutral
on
credit
overall
amid
tightening
credit
and
financial
conditions;
however,
there
are
selective
opportunities
in
the
near
term.
For
fixed
income
investing
with
a
six-
to
twelve-month
horizon,
we
see
the
most
attractive
investments
in
short-term
U.S.
Treasuries,
U.S.
inflation-linked
bonds,
U.S.
mortgage-
backed
securities,
and
hard-currency
emerging
market
bonds.
Overall,
our
view
is
that
investors
need
to
think
globally,
position
themselves
to
be
prepared
for
a
decarbonizing
economy,
and
be
nimble
as
market
conditions
change.
We
encourage
you
to
talk
with
your
financial
advisor
and
visit
iShares.com
for
further
insight
about
investing
in
today’s
markets.
Sincerely,
Rob
Kapito
President,
BlackRock,
Inc.
The
Markets
in
Review
Rob
Kapito
President,
BlackRock,
Inc.
Total
Returns
as
of
July
31,
2023
Past
performance
is
not
an
indication
of
future
results.
Index
performance
is
shown
for
illustrative
purposes
only.
You
cannot
invest
directly
in
an
index.
6-Month
12-Month
U.S.
large
cap
equities
(S&P
500
®
Index)
13.52%
13.02%
U.S.
small
cap
equities
(Russell
2000
®
Index)
4.51
7.91
International
equities
(MSCI
Europe,
Australasia,
Far
East
Index)
6.65
16.79
Emerging
market
equities
(MSCI
Emerging
Markets
Index)
3.26
8.35
3-month
Treasury
bills
(ICE
BofA
3-Month
U.S.
Treasury
Bill
Index)
2.34
3.96
U.S.
Treasury
securities
(ICE
BofA
10-Year
U.S.
Treasury
Index)
(2.08)
(7.56)
U.S.
investment
grade
bonds
(Bloomberg
U.S.
Aggregate
Bond
Index)
(1.02)
(3.37)
Tax-exempt
municipal
bonds
(Bloomberg
Municipal
Bond
Index)
0.20
0.93
U.S.
high
yield
bonds
(Bloomberg
U.S.
Corporate
High
Yield
2%
Issuer
Capped
Index)
2.92
4.42
2
This
Page
is
not
Part
of
Your
Fund
Report
Table
of
Contents
Page
3
The
Markets
in
Review
...................................................................................................
2
Annual
Report:
Market
Overview
.......................................................................................................
4
Fund
Summary
........................................................................................................
5
About
Fund
Performance
..................................................................................................
13
Disclosure
of
Expenses
...................................................................................................
13
Schedules
of
Investments
.................................................................................................
14
Financial
Statements:
Statements
of
Assets
and
Liabilities
.........................................................................................
35
Statements
of
Operations
................................................................................................
36
Statements
of
Changes
in
Net
Assets
........................................................................................
37
Financial
Highlights
.....................................................................................................
39
Notes
to
Financial
Statements
...............................................................................................
43
Report
of
Independent
Registered
Public
Accounting
Firm
..............................................................................
51
Important
Tax
Information
.................................................................................................
52
Board
Review
and
Approval
of
Investment
Advisory
Contract
...........................................................................
53
Supplemental
Information
.................................................................................................
55
Trustee
and
Officer
Information
..............................................................................................
56
General
Information
.....................................................................................................
58
Glossary
of
Terms
Used
in
this
Report
..........................................................................................
59
Market
Overview
4
2023
iShares
Annual
Report
to
Shareholders
iShares
Trust
Domestic
Market
Overview
U.S.
stocks
advanced
for
the
12
months
ended
July
31,
2023
(“reporting
period”),
when
the
Russell
3000
®
Index,
a
broad
measure
of
U.S.
equity
market
performance,
returned
12.65%.
Economic
strength
in
the
face
of
tightening
monetary
conditions
drove
investor
optimism
surrounding
the
resilience
of
the
domestic
economy.
Meanwhile,
decelerating
inflation
alleviated
concerns
related
to
potential
overheating
and
led
investors
to
anticipate
an
end
to
monetary
tightening.
Nonetheless,
investors
watched
the
economy
closely
for
the
impact
of
higher
interest
rates,
and
several
bank
failures
in
early
2023
highlighted
the
potential
second-order
effects
of
tight
monetary
conditions.
However,
government
agencies
acted
swiftly
to
organize
a
sale
of
the
failed
banks’
assets
and
inject
liquidity
into
the
banking
system,
and
equity
prices
recovered.
As
the
reporting
period
began,
inflation,
which
surged
in
the
aftermath
of
the
coronavirus
pandemic,
stood
near
multi-decade
highs.
However,
the
inflation
rate
declined
in
each
of
the
subsequent
eleven
months,
ending
the
reporting
period
substantially
lower.
Declining
energy
costs
and
the
resolution
of
supply
chain
disruptions
helped
ease
inflation,
as
the
cost
of
transportation
and
shipping
moderated
significantly.
The
U.S.
Federal
Reserve
(“Fed”)
tightened
monetary
policy
rapidly,
raising
short-term
interest
rates
seven
times
over
the
course
of
the
reporting
period.
The
pace
of
tightening
decelerated
as
the
Fed
twice
lowered
the
increment
of
increase
before
pausing
entirely
in
June
2023,
the
first
time
it
declined
to
act
since
the
tightening
cycle
began.
However,
the
Fed
then
raised
interest
rates
again
at
its
July
2023
meeting
and
stated
that
it
would
continue
to
monitor
economic
data.
The
Fed
also
continued
to
decrease
the
size
of
its
balance
sheet
by
reducing
the
store
of
U.S.
Treasuries
it
had
accumulated
to
stabilize
markets
in
the
early
phases
of
the
coronavirus
pandemic.
Despite
the
tightening
financial
conditions,
the
U.S.
economy
demonstrated
continued
strength.
The
economy
returned
to
growth
in
the
third
quarter
of
2022
and
showed
robust,
if
slightly
slower,
growth
thereafter.
Consumers
powered
the
economy,
increasing
their
spending
in
both
nominal
and
inflation-adjusted
terms.
A
strong
labor
market
bolstered
spending
as
unemployment
remained
at
a
near
historic
low
and
the
number
of
employed
persons
reached
an
all-time
high.
Tightness
in
the
labor
market
drove
higher
wages,
although
wage
growth
slowed
as
the
reporting
period
continued.
Despite
a
divided
government,
the
U.S.
Congress
was
able
to
strike
a
deal
in
May
2023
to
raise
the
debt
ceiling,
averting
a
potential
government
default.
While
that
deal
enacted
modest
spending
cuts,
government
spending
rose
overall,
and
several
significant
investment
bills
also
passed.
These
included
the
CHIPS
Act,
which
encouraged
the
building
of
semiconductor
capacity
in
the
U.S.,
and
the
Inflation
Reduction
Act,
which
provided
subsidies
for
various
climate-related
initiatives.
Driven
in
part
by
these
new
incentives,
factory
construction
increased
sharply
during
the
reporting
period.
In
this
environment,
corporate
profits
remained
solid,
and
many
companies
were
able
to
sufficiently
raise
prices
to
preserve
profit
margins
even
in
the
face
of
higher
labor
and
input
costs.
Nonetheless,
profits
declined
overall
in
the
fourth
quarter
of
2022
and
again
in
the
first
quarter
of
2023,
and
the
yield
curve
(a
graphical
representation
of
U.S.
Treasury
rates
at
different
maturities)
further
inverted,
a
sign
that
markets
were
concerned
about
the
impact
of
higher
borrowing
costs
on
the
economy.
Furthermore,
dwindling
personal
savings
and
rising
household
debt
raised
questions
about
the
sustainability
of
consumer
spending
as
an
engine
of
economic
growth.
iShares
®
MSCI
USA
Momentum
Factor
ETF
5
Fund
Summary
Fund
Summary
as
of
July
31,
2023
Investment
Objective
The
iShares
MSCI
USA
Momentum
Factor
ETF
(the
“Fund”)
seeks
to
track
the
investment
results
of
an
index
composed
of
U.S.
large-
and
mid-capitalization
stocks
exhibiting
relatively
higher
price
momentum,
as
represented
by
the
MSCI
USA
Momentum
SR
Variant
Index
(the
“Index”).
The
Fund
invests
in
a
representative
sample
of
securities
included
in
the
Index
that
collectively
has
an
investment
profile
similar
to
the
Index.
Due
to
the
use
of
representative
sampling,
the
Fund
may
or
may
not
hold
all
of
the
securities
that
are
included
in
the
Index.
Performance
GROWTH
OF
$10,000
INVESTMENT
(AT
NET
ASSET
VALUE)
The
inception
date
of
the
Fund
was
April
16,
2013.
The
first
day
of
secondary
market
trading
was
April
18,
2013.
Index
performance
through
November
22,
2020
reflects
the
performance
of
the
MSCI
USA
Momentum
Index.
Index
performance
beginning
on
November
23,
2020
reflects
the
performance
of
the
MSCI
USA
Momentum
SR
Variant
Index.
Past
performance
is
not
an
indication
of
future
results.
Performance
results
do
not
reflect
the
deduction
of
taxes
that
a
shareholder
would
pay
on
fund
distributions
or
on
the
redemption
or
sale
of
fund
shares.
See
“About
Fund
Performance”
for
more
information.
Expense
Example
Average
Annual
Total
Returns
Cumulative
Total
Returns
1
Year
5
Years
10
Years
1
Year
5
Years
10
Years
Fund
NAV
..................................
4.80
%
7.03
%
11.86
%
4.80
%
40.45
%
206.84
%
Fund
Market
................................
4.75
7.03
11.85
%
4.75
40.47
206.43
Index
.....................................
4.96
7.24
12.07
4.96
41.83
212.67
Actual
Hypothetical
5%
Return
Beginning
Account
Value
(02/01/23)
Ending
Account
Value
(07/31/23)
Expenses
Paid
During
the
Period
(a)
Beginning
Account
Value
(02/01/23)
Ending
Account
Value
(07/31/23)
Expenses
Paid
During
the
Period
(a)
Annualized
Expense
Ratio
$
1,000.00
$
1,021.60
$
0.75
$
1,000.00
$
1,024.05
$
0.75
0.15
%
(a)
Expenses
are
equal
to
the
annualized
expense
ratio,
multiplied
by
the
average
account
value
over
the
period,
multiplied
by
181/365
(to
reflect
the
one-half
year
period
shown).
Other
fees,
such
as
brokerage
commissions
and
other
fees
to
financial
intermediaries,
may
be
paid
which
are
not
reflected
in
the
tables
and
examples
above.
See
“Disclosure
of
Expenses”
for
more
information.
Fund
Summary
as
of
July
31,
2023
(continued)
iShares
®
MSCI
USA
Momentum
Factor
ETF
6
2023
iShares
Annual
Report
to
Shareholders
Portfolio
Management
Commentary
Stocks
with
relatively
high
price
momentum
advanced
during
the
reporting
period.
The
communication
services
sector
contributed
the
most
to
the
Index’s
performance.
Cost-cutting
measures,
including
significant
job
reductions,
boosted
the
media
and
entertainment
industry.
Increased
online
advertising
spending
as
the
economic
outlook
improved
further
bolstered
stocks
in
the
industry.
In
addition,
investments
in
new
social
media
video
and
advertising
features
helped
companies
reach
a
wider
audience,
fueling
expectations
of
continued
growth.
The
adoption
of
new
artificial
intelligence
(“AI”)
applications
to
better
target
social
media
users
with
content
also
extended
the
amount
of
time
users
spent
on
the
networks.
The
industrials
sector
also
added
to
the
Index’s
return,
with
strong
performance
by
the
capital
goods
industry.
Sales