iShares Trust

Table of Contents

Market Overview

iShares Trust

Global Market Overview

Global equity markets declined during the 12 months ended July 31, 2022 (“reporting period”). The MSCI ACWI, a broad global equity index that includes both developed and emerging markets, returned -10.48% in U.S. dollar terms for the reporting period.

For the first five months of the reporting period, economic recovery supported stocks in most regions of the world. The global economy continued to rebound from the impact of restrictions imposed at the beginning of the coronavirus pandemic, as mitigation and adaptation allowed most economic activity to continue. However, substantial challenges emerged at the beginning of 2022, which negatively affected stock prices. Inflation rose significantly in many countries, reducing consumers’ purchasing power and leading many central banks to tighten monetary policy. Russia’s invasion of Ukraine presented a further challenge to the global economy, disrupting important commodities markets.

The U.S. economy grew briskly over the final half of 2021, powered primarily by consumer spending. Record-high personal savings rates allowed consumers to spend at an elevated level, releasing pent-up demand for goods and services. Growth subsequently stalled in the first half of 2022, and the economy contracted amid lower inventories and faltering business investment. Despite the economic downturn, unemployment declined substantially, falling to 3.5% in July 2022 — identical to the pre-pandemic rate in February 2020. Although high inflation negatively impacted consumer sentiment, which declined significantly, consumer spending continued to increase.

Rising inflation led to a shift in policy from the U.S. Federal Reserve (“the Fed”). As the reporting period began, the Fed was using accommodative monetary policy to stimulate the economy. Short-term interest rates were kept at near-zero levels, and the Fed used bond-buying programs to stabilize debt markets. However, rising prices led the Fed to tighten monetary policy during the reporting period in an attempt to prevent runaway inflation. The Fed slowed and then ended its bond-buying activities, finally reversing course as it began to reduce its balance sheet in June 2022. In March 2022, the Fed began to raise short-term interest rates, followed by three more increases for a total increase of 225 basis points, the most rapid rise in decades. Interest rates rose significantly in response, leading to higher borrowing costs for businesses.

Stocks declined in Europe and economic growth stalled, with the Eurozone economy slowing substantially beginning in the fourth quarter of 2021. Significantly higher inflation and Russia’s invasion of Ukraine negatively impacted equities. Russia is an important trading partner with many European countries, and new sanctions imposed limits on certain types of trade with Russia. Investors became concerned that the sharp rise in energy prices during the reporting period would constrain economic growth, as Europe relies on imported energy for much of its industrial and heating needs. The European Central Bank (“ECB”) responded to elevated inflation by raising interest rates in July 2022, the first such increase in over a decade.

Despite relatively low inflation by global standards, Asia-Pacific stocks declined significantly. Chinese stocks faced significant headwinds amid regulatory interventions by the Chinese government and strict lockdowns following COVID-19 outbreaks. Japanese stocks also declined amid an economic contraction in the first quarter of 2022 and a sharp decline in the Japanese yen relative to the U.S. dollar. Emerging market stocks declined substantially, as higher interest rates and a strengthening U.S. dollar raised the cost of borrowing in many emerging economies.

Investment Objective

The iShares International Equity Factor ETF (the “Fund”) (formerly the iShares MSCI Intl Multifactor ETF) seeks to track the investment results of an index composed of global developed market large- and mid-capitalization stocks, excluding the U.S., that have favorable exposure to target style factors subject to constraints, as represented by the STOXX International Equity Factor 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

(SINCE INCEPTION AT NET ASSET VALUE)

The inception date of the Fund was April 28, 2015. The first day of secondary market trading was April 30, 2015.

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

Portfolio Management Commentary

International developed market stocks with favorable exposure to 5 targeted style factors – quality, value, momentum, low size, and low volatility – declined during the reporting period. Stocks in Sweden, particularly in the financial sector, detracted the most from the Index’s return. Mounting inflation, rising interest rates, and weakening global economies led to a drop in the stock prices of the companies that Swedish diversified holding companies invest in. Persistent supply chain disruptions, exacerbated by Russia’s invasion of Ukraine, also weakened the holding companies’ investments. Additionally, the stock prices of some of the companies that advanced during the start of the coronavirus pandemic later retreated as consumer habits shifted.

Japanese stocks, particularly in the information technology sector, also detracted from the Index’s performance. China’s lockdown measures to combat the spread of the coronavirus and its variants disrupted production and slowed deliveries of goods, hurting Japanese technology, hardware, and equipment companies with operations located there. A worldwide shortage in silicon chips, widely used in electronics, raised manufacturing costs and further slowed output for Japanese technology companies.

German stocks also detracted from the Index’s performance, driven by the consumer staples sector. A German maker of meal-kits, which climbed at the start of the pandemic when consumers ate at home more often, detracted as people began eating out at restaurants more often. In addition, rising food prices and falling consumer confidence weakened the outlook for meal-kit delivery companies. The industrials sector also detracted, as sales for German automakers in China, a key market for luxury cars, dropped sharply as coronavirus-related lockdowns shut car dealerships for extended periods.

Stocks in the Netherlands also detracted, driven by the healthcare sector. Stock prices of companies in the health care equipment and services sector dropped as supply chain issues disrupted production, and as customers postponed equipment installations.

U.K. stocks, which declined as The Bank of England raised interest rates in 2022 to the highest levels in 13 years, also weakened the Index’s performance. Rising interest rates, supply constraints, and inflationary pressures weighed on the industrials sector.

Portfolio Information

Investment Objective

The iShares MSCI Global Multifactor ETF (the “Fund”) seeks to track the investment results of an index composed of large- and mid-capitalization developed and emerging market stocks that have favorable exposure to target style factors subject to constraints, as represented by the MSCI ACWI Diversified Multiple-Factor 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

(SINCE INCEPTION AT NET ASSET VALUE)

The inception date of the Fund was April 28, 2015. The first day of secondary market trading was April 30, 2015.

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

Portfolio Management Commentary

Global stocks with favorable exposure to 4 targeted factors – value, quality, momentum, and small size – declined during the reporting period as global growth stalled in an environment of high inflation, rising interest rates, and volatility in commodities markets. U.S. stocks were the largest detractors from the Index’s return, as the reopening-led recovery cooled and the economy contracted in the first half of 2022. The U.S. consumer discretionary sector declined the most, as high inflation weighed heavily on consumer sentiment. The retail industry, which was negatively impacted by supply chain disruptions early in the reporting period, faced overstocking concerns as order backlogs cleared. Growing inventories led to more markdowns in the multiline retail industry, and shifting consumer demand pressured profits. Rising costs, particularly from higher fuel prices and freight expenses, dampened earnings as profit margins contracted significantly.

The U.S. information technology sector also declined, most notably the semiconductors and semiconductor equipment industry. The weakening economy dented demand for products that use semiconductors as smaller businesses in particular slowed their purchases of computers. Stiff competition pressured the industry and lower prices for some products weighed on earnings. Capital markets companies in the financials sector also declined as lower stock prices led to a decrease in assets under management, along with diminished revenue and earnings.

Stocks in Japan, which endured two quarters of economic contraction during the reporting period, also detracted notably from the Index’s performance. The Japanese yen depreciated significantly relative to the U.S. dollar, reducing the value of Japanese assets denominated in U.S. dollars.

Chinese stocks further weighed on the Index’s performance amid strict lockdowns to prevent the spread of COVID-19. The consumer discretionary sector declined significantly, as the lockdowns significantly dampened consumer sentiment.

For the reporting period, the Index slightly underperformed the broader market, as represented by the MSCI ACWI. The Index’s research-based selection process focuses on four investment factors: value, quality, momentum, and size. The momentum and quality factors were the most significant detractors from the Index’s relative performance, while value was additive. From an industry perspective, stock selection in the metals and mining industry negatively impacted relative return, while stock selection in oil, gas, and consumable fuels contributed. Positioning in South African stocks worked against the Index’s return compared to the broader market, while stock selection among U.S. stocks benefited performance.

Portfolio Information

Investment Objective

The iShares MSCI Intl Small-Cap Multifactor ETF (the “Fund”) seeks to track the investment results of an index composed of global developed market small-capitalization stocks, excluding the U.S., that have favorable exposure to target style factors subject to constraints, as represented by the MSCI World ex USA Small Cap Diversified Multiple-Factor 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

(SINCE INCEPTION AT NET ASSET VALUE)

The inception date of the Fund was April 28, 2015. The first day of secondary market trading was April 30, 2015.

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

Portfolio Management Commentary

International small-capitalization stocks with favorable exposure to target style factors declined during the reporting period. U.K. stocks detracted the most from the Index’s return, driven by the consumer discretionary sector. Increasing inflation, made worse by the war in Ukraine and subsequent western sanctions against Russia, led consumers to reduce spending on nonessential items, weighing on the specialty retail industry. The industrials sector detracted as air freight and logistics companies were pressured by lower freight volume, which declined as consumer’s easing concerns about COVID-19 led to a decrease in online shopping.

Japanese stocks, particularly in the consumer discretionary sector, also detracted from the Index’s performance. Higher material costs and reductions in vehicle production, due to a worldwide microprocessor shortage, weighed on auto components manufacturers. The weaker Japanese yen, which in July 2022 declined to a 24-year low against the U.S. dollar, led to further cost pressure among auto components suppliers.

Swiss stocks also detracted from the Index’s return. The industrials sector drove the decline in an environment of coronavirus pandemic-related production slowdowns and supply shortages. The healthcare sector detracted as revenues from products and services related to the pandemic declined.

Swedish stocks in the consumer discretionary sector also detracted. Several casino and gaming operators reported weaker earnings as regulatory hurdles pressured income. French companies in the information technology sector further detracted from the Index’s return amid labor and supply shortages.

On the upside, Canadian energy stocks contributed meaningfully to the Index’s performance as higher oil and gas prices drove an increase in profits. Oil prices climbed sharply worldwide after Russia’s invasion of Ukraine precipitated international sanctions against Russia. With stronger cash flows, many oil and gas exploration and production companies declared higher dividends and announced plans to buy back stock.

In terms of relative performance, the Index significantly outperformed the broader market, as represented by the MSCI World ex USA Small Cap Index. The Index’s research-based selection process focuses on four investment factors: value, quality, momentum, and size. Of the four style factors, all four with the exception of size benefited relative performance during the reporting period. Relative to the broader market, stock selection and an overweight position in the energy sector contributed to relative performance, while stock selection in the materials and financials sectors detracted.

Portfolio Information

Investment Objective

The iShares MSCI USA Mid-Cap Multifactor ETF (the “Fund”) seeks to track the investment results of an index composed of U.S. mid-capitalization stocks that have favorable exposure to target style factors subject to constraints, as represented by the MSCI USA Mid Cap Diversified Multiple-Factor 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

(SINCE INCEPTION AT NET ASSET VALUE)

The inception date of the Fund was June 4, 2019. The first day of secondary market trading was June 6, 2019.

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

Portfolio Management Commentary

Stocks of mid-capitalization companies with favorable exposure to target style factors declined during the reporting period. The consumer discretionary sector detracted the most from the Index’s performance. Homebuilding companies faced headwinds as the once-strong housing market slowed. Home mortgage rates rose from record lows in recent years, increasing the cost to purchase a house and decreasing new housing construction as consumers canceled purchase agreements. In addition to weakening demand for new home construction, homebuilders also faced escalating costs and labor shortages. The specialty retail industry also declined as inflation increased significantly and companies in the industry grew concerned about decreasing sales and profits.

The information technology sector further detracted from the Index’s return. Sales growth for electronic equipment and instruments companies eased as supply chain constraints, including a worldwide shortage of microchips, and labor shortages delayed the purchase of new equipment. The healthcare sector also detracted, driven by the life sciences tools and services industry, where revenues from products and services related to the coronavirus pandemic declined.

On the upside, the energy sector contributed the most to the Index’s return. Oil and gas prices increased sharply following Russia’s invasion of Ukraine as subsequent western sanctions limited energy exports from Russia, one of the world’s major producers. Higher prices led to increased revenues and profits for the oil, gas, and consumable fuels industry. However, labor shortages and rising costs made increasing production to take advantage of the high energy prices difficult. Rather than invest the profits in new oil and gas exploration or increased production, many companies in the industry raised dividends and announced plans to buy back stock.

In terms of relative performance, the Index significantly outperformed the broader market, as represented by the MSCI USA Mid-Cap Index. The Index’s research-based selection process focuses on four investment factors: value, quality, momentum, and size. Of the four target style factors, value and quality contributed notably to relative performance with a broad-based market rally during the reporting period. Industry allocation also contributed to the Index’s relative performance, driven primarily by an underweight to the software industry, overweight position in the oil, gas, and consumable fuels industry, and an underweight position in the hotels, restaurants, and leisure industry. Conversely, an underweight position in real estate, overweight position in household durables, and an underweight position in electric and multi-utilities detracted from relative performance.

Portfolio Information

Investment Objective

The iShares MSCI USA Small-Cap Multifactor ETF(the “Fund”) seeks to track the investment results of an index composed of U.S. small-capitalization stocks that have favorable exposure to target style factors subject to constraints, as represented by the MSCI USA Small Cap Diversified Multiple-Factor 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

(SINCE INCEPTION AT NET ASSET VALUE)

The inception date of the Fund was April 28, 2015. The first day of secondary market trading was April 30, 2015.

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

Portfolio Management Commentary

Stocks of small-capitalization companies with favorable exposure to target style factors declined during the reporting period. The consumer discretionary sector detracted the most from the Index’s return. Soaring inflation, which reached a 40-year high in June 2022, weighed on specialty retailers, leisure products companies, and textiles and apparel brands. Falling consumer confidence weakened the sales and profits outlook for discretionary items as shoppers cut back on buying nonessential services and products. Meanwhile, persistent supply chain disruptions, worsened by Russia’s invasion of Ukraine, sharply increased freight costs, a significant expense for many retailers.

The healthcare sector also detracted from the Index’s performance. Home healthcare providers faced mounting labor costs as the low unemployment rate, difficulty retaining staff during the coronavirus pandemic, and rising demand for services to treat the aging population led to a nursing shortage. Some healthcare providers resorted to hiring more expensive contract labor to address the shortfall in the permanent workforce.

On the upside, the energy sector contributed the most to the Index’s return. Oil and gas prices increased following Russia’s invasion of Ukraine, as the subsequent sanctions limited energy exports from Russia, one of the world’s major producers. As prices of energy commodities rose, profits at oil and gas companies increased sharply. Labor shortages and rising costs impeded efforts to increase production as oil prices rose. Rather than invest profits in new oil and gas exploration or increased production, many companies in the industry rewarded shareholders by raising dividends and announcing plans to buy back stocks.

In terms of relative performance, the Index significantly outperformed the broader market for small-capitalization stocks, as represented by the MSCI USA Small Cap Index. The Index’s research-based selection process focuses on four investment factors: value, quality, momentum, and size. Of the four target style factors, from a relative factor performance perspective, value experienced a broad-based rally during the reporting period as the Fed raised interest rates. Relative to the broader market, an overweight position in pharmaceuticals and an underweight position in the internet and direct marketing industry contributed to the Index’s relative performance. Conversely, overweight positions in the textiles and apparel and the interactive media and services industries detracted from relative performance.

Portfolio Information

Investment Objective

The iShares U.S. Equity Factor ETF (the “Fund”) (formerly the iShares MSCI USA Multifactor ETF) seeks to track the investment results of an index composed of U.S. large- and mid-capitalization stocks that have favorable exposure to target style factors subject to constraints, as represented by the STOXX U.S. Equity Factor 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

(SINCE INCEPTION AT NET ASSET VALUE)

The inception date of the Fund was April 28, 2015. The first day of secondary market trading was April 30, 2015.

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

Portfolio Management Commentary

Stocks of large- and mid-capitalization companies with favorable exposure to target style factors declined for the reporting period. The consumer discretionary sector declined the most as high inflation weighed heavily on consumer sentiment. The retail industry, which was negatively impacted by supply chain disruptions early in the reporting period, faced overstocking concerns as order backlogs cleared. Growing inventories led to more markdowns in the multiline retail industry and shifting consumer demand pressured profits. Rising costs, particularly from higher fuel prices and freight expenses, also dampened earnings as profit margins contracted significantly.

The communication services sector also detracted from the Index’s performance, particularly the entertainment industry. Accusations of workplace misconduct led to the investigation of a large company in the industry, which later entered an agreement to be acquired. Meanwhile, slowing demand for online advertisements pressured the interactive media and services industry. Capital markets companies in the financials sector also declined as lower stock prices led to a decrease in assets under management, along with diminished revenues and earnings.

On the upside, the energy sector benefited from higher prices for oil and natural gas. The global economic recovery drove higher demand for energy commodities, and the war in Ukraine further disrupted energy markets. Higher prices drove increased earnings in the oil, gas, and consumable fuels industry despite a rise in leasing costs.

The materials sector gained as the chemicals industry benefited from rising sales, price increases to compensate for higher input costs, and new product penetration. Another source of strength was the utilities sector, where grid modernization helped to stabilize earnings in the electric utilities industry.

In terms of relative performance, the Index significantly outperformed the broader market as represented by the MSCI USA Index. The Index’s research-based selection process focuses on five investment factors: value, quality, momentum, low volatility, and low size. In the process of seeking companies with a favorable combination of style factors, the Index’s positioning was overweight in the information technology and materials sectors but underweight in communication services and financials. From an industry perspective, overweight allocations to the healthcare provider industry and underweight positions in the interactive media and services and the internet and direct marketing retail industries benefited the Index relative to the broader market.

Portfolio Information

About Fund Performance

Past performance is not an indication of future results. Financial markets have experienced extreme volatility and trading in many instruments has been disrupted. These circumstances may continue for an extended period of time and may continue to affect adversely the value and liquidity of each Fund’s investments. As a result, current performance may be lower or higher than the performance data quoted. Performance data current to the most recent month-end is available at iShares.com. Performance results assume reinvestment of all dividends and capital gain distributions and do not reflect the deduction of taxes that a shareholder would pay on fund distributions or on the redemption or sale of fund shares. The investment return and principal value of shares will vary with changes in market conditions. Shares may be worth more or less than their original cost when they are redeemed or sold in the market. Performance for certain funds may reflect a waiver of a portion of investment advisory fees. Without such a waiver, performance would have been lower.

Net asset value or “NAV” is the value of one share of a fund as calculated in accordance with the standard formula for valuing mutual fund shares. Beginning August 10, 2020, the price used to calculate market return (“Market Price”) is the closing price. Prior to August 10, 2020, Market Price was determined using the midpoint between the highest bid and the lowest ask on the primary stock exchange on which shares of a fund are listed for trading, as of the time that such fund’s NAV is calculated. Since shares of a fund may not trade in the secondary market until after the fund’s inception, for the period from inception to the first day of secondary market trading in shares of the fund, the NAV of the fund is used as a proxy for the Market Price to calculate market returns. Market and NAV returns assume that dividends and capital gain distributions have been reinvested at Market Price and NAV, respectively.

An index is a statistical composite that tracks a specified financial market or sector. Unlike a fund, an index does not actually hold a portfolio of securities and therefore does not incur the expenses incurred by a fund. These expenses negatively impact fund performance. Also, market returns do not include brokerage commissions that may be payable on secondary market transactions. If brokerage commissions were included, market returns would be lower.

Disclosure of Expenses

Shareholders of each Fund may incur the following charges: (1) transactional expenses, including brokerage commissions on purchases and sales of fund shares and (2) ongoing expenses, including management fees and other fund expenses. The expense examples shown (which are based on a hypothetical investment of $1,000 invested at the beginning of the period and held through the end of the period) are intended to assist shareholders both in calculating expenses based on an investment in each Fund and in comparing these expenses with similar costs of investing in other funds.

The expense examples provide information about actual account values and actual expenses. Annualized expense ratios reflect contractual and voluntary fee waivers, if any. In order to estimate the expenses a shareholder paid during the period covered by this report, shareholders can divide their account value by $1,000 and then multiply the result by the number under the heading entitled “Expenses Paid During the Period.”

The expense examples also provide information about hypothetical account values and hypothetical expenses based on a Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses. In order to assist shareholders in comparing the ongoing expenses of investing in a Funds and other funds, compare the 5% hypothetical examples with the 5% hypothetical examples that appear in the shareholder reports of the other funds.

The expenses shown in the expense examples are intended to highlight shareholders’ ongoing costs only and do not reflect any transactional expenses, such as brokerage commissions and other fees paid on purchases and sales of fund shares. Therefore, the hypothetical examples are useful in comparing ongoing expenses only and will not help shareholders determine the relative total expenses of owning different funds. If these transactional expenses were included, shareholder expenses would have been higher.