LOGO

  JULY 31, 2022

 

   2022 Annual Report

 

iShares Trust

 

·  

iShares MSCI Intl Momentum Factor ETF | IMTM | NYSE Arca

 

·  

iShares MSCI Intl Quality Factor ETF | IQLT | NYSE Arca

 

·  

iShares MSCI Intl Size Factor ETF | ISZE | NYSE Arca

 

·  

iShares MSCI Intl Value Factor ETF | IVLU | NYSE Arca


The Markets in Review

Dear Shareholder,

The 12-month reporting period as of July 31, 2022 saw the emergence of significant challenges that disrupted the economic recovery and strong financial markets. The U.S. economy shrank in the first half of 2022, ending the run of robust growth that followed the reopening of global economies and the development of COVID-19 vaccines. Changes in consumer spending patterns and a tight labor market led to elevated inflation, which reached a 40-year high. Moreover, while the foremost effect of Russia’s invasion of Ukraine has been a severe humanitarian crisis, the ongoing war continued to present challenges for both investors and policymakers.

Equity prices fell as interest rates rose, particularly weighing on relatively high-valuation growth stocks and economically sensitive small-capitalization stocks. While both large- and small-capitalization U.S. stocks fell, declines for small-capitalization U.S. stocks were steeper. Both emerging market stocks and international equities from developed markets fell significantly, pressured by rising interest rates and a strengthening U.S. dollar.

The 10-year U.S. Treasury yield (which is inversely related to bond prices) rose notably during the reporting period as investors reacted to higher inflation and attempted to anticipate its impact on future interest rate changes. The corporate bond market also faced inflationary headwinds, and increasing uncertainty led to higher corporate bond spreads (the difference in yield between U.S. Treasuries and similarly-dated corporate bonds).

The U.S. Federal Reserve (the “Fed”), acknowledging that inflation is growing faster than expected, raised interest rates four times while indicating that additional rate hikes were likely. Furthermore, the Fed wound down its bond-buying programs and began to reduce its balance sheet. Continued high inflation and the Fed’s statements led many analysts to anticipate that interest rates have room to rise before peaking, although investors’ inflation expectations began to decline near the end of the period.

The horrific war in Ukraine has significantly clouded the outlook for the global economy, leading to major volatility in energy and metals markets. Sanctions on Russia, Europe’s top energy supplier, and general wartime disruption have magnified supply problems for key commodities. We believe elevated energy prices will continue to exacerbate inflationary pressure while also constraining economic growth. Combating inflation without stifling a recovery, while buffering against ongoing supply and price shocks, will be an especially challenging environment for setting effective monetary policy. Despite the likelihood of more rate increases on the horizon, we believe the Fed will ultimately err on the side of protecting employment, even at the expense of higher inflation. In the meantime, however, we believe that we are likely to see a period of slowing growth paired with relatively high inflation.

In this environment, while we favor an overweight to equities in the long-term, the market’s concerns over excessive rate hikes from central banks moderate our outlook. Furthermore, the energy shock and a deteriorating economic backdrop in China and Europe are likely to challenge corporate earnings, so we are underweight equities overall in the near-term. We take the opposite view on credit, where higher spreads provide near-term opportunities, while the likelihood of higher inflation leads us to take an underweight stance on credit in the long-term. We believe that investment-grade corporates, U.K. gilts, local-currency emerging market debt, and inflation-protected bonds (particularly in Europe) offer strong opportunities for a six- to twelve-month horizon.

Overall, our view is that investors need to think globally, extend their scope across a broad array of asset classes, 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,

 

LOGO

Rob Kapito

President, BlackRock, Inc.

LOGO

Rob Kapito

President, BlackRock, Inc.

 

Total Returns as of July 31, 2022

 

     
  6-Month   12-Month 
   

U.S. large cap equities
(S&P 500® Index)

  (7.81 )%     (4.64 )% 
   

U.S. small cap equities
(Russell 2000® Index)

  (6.42 )   (14.29 )
   

International equities
(MSCI Europe, Australasia,
Far East Index)

  (11.27 )   (14.32 )
   

Emerging market equities
(MSCI Emerging Markets Index)

  (16.24 )   (20.09 )
   

3-month Treasury bills
(ICE BofA 3-Month
U.S. Treasury Bill Index)

  0.21   0.22
   

U.S. Treasury securities
(ICE BofA 10-Year
U.S. Treasury Index)

  (6.38 )   (10.00 )
   

U.S. investment grade bonds
(Bloomberg U.S. Aggregate Bond Index)

  (6.14 )   (9.12 )
   

Tax-exempt municipal bonds
(Bloomberg Municipal Bond Index)

  (3.95 )   (6.93 )
   

U.S. high yield bonds
(Bloomberg U.S. Corporate High Yield 2% Issuer Capped Index)

  (6.58 )   (8.03 )
Past performance is not an indication of future results. Index performance is shown for illustrative purposes only. You cannot invest directly in an index.

 

 

 

2  

T H I S   P A G E   I S   N O T   P A R T   O F   Y O U R   F U N D   R E P O R T


Table of Contents

 

      Page  

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

     40  

Statements of Operations

     41  

Statements of Changes in Net Assets

     42  

Financial Highlights

     44  

Notes to Financial Statements

     48  

Report of Independent Registered Public Accounting Firm

     57  

Important Tax Information

     58  

Board Review and Approval of Investment Advisory Contract

     59  

Supplemental Information

     63  

Trustee and Officer Information

     64  

General Information

     67  

Glossary of Terms Used in this Report

     68  

 

 

  3


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.

 

 

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2 0 2 2   I S H A R E S   A N N U A L   R E P O R T   T O   S H A R E H O L D E R S


Fund Summary as of July 31, 2022    iShares® MSCI Intl Momentum Factor ETF

 

Investment Objective

The iShares MSCI Intl Momentum Factor ETF (the “Fund”) seeks to track the investment results of an index that measures the performance of international developed large- and mid-capitalization stocks exhibiting relatively higher momentum characteristics, as represented by the MSCI World ex USA Momentum 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

 

      Average Annual Total Returns               Cumulative Total Returns    
     1 Year      5 Years      Since
Inception
           1 Year      5 Years      Since
Inception
 

Fund NAV

    (16.09 )%       4.10      5.07       (16.09 )%       22.24      45.22

Fund Market

    (16.21      4.01        5.07         (16.21      21.73        45.24  

Index

    (16.18      4.19        5.26               (16.18      22.81        47.24  

GROWTH OF $10,000 INVESTMENT

(SINCE INCEPTION AT NET ASSET VALUE)

 

LOGO

The inception date of the Fund was January 13, 2015. The first day of secondary market trading was January 15, 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

 

    Actual     Hypothetical 5% Return  
 

 

 

     

 

 

      
     

Beginning
Account Value
(02/01/22)

 
 
      

Ending
Account Value
(07/31/22)

 
 
      

Expenses
Paid During
the Period
 
 
(a) 
           

Beginning
Account Value
(02/01/22)
 
 
 
      

Ending
Account Value
(07/31/22)
 
 
 
      

Expenses
Paid During
the Period

 
(a) 
      

Annualized
Expense
Ratio


 
      $        1,000.00          $        872.10          $        1.39               $        1,000.00          $        1,023.30          $        1.51          0.30

 

  (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.

 

 

 

F U N D   S U M M A R Y

  5


Fund Summary as of July 31, 2022    (continued)    iShares® MSCI Intl Momentum Factor ETF

 

Portfolio Management Commentary

International developed stocks with relatively higher momentum characteristics declined during the reporting period amid soaring inflation, rising interest rates, and Russia’s invasion of Ukraine. Stocks in Japan detracted the most from the Index’s performance, due in part to the weakness of the Japanese yen, which declined to a 24-year low against the U.S. dollar in July 2022. The Japanese information technology sector detracted as higher U.S. Treasury yields, rising commodities prices, and concerns over China’s coronavirus-related lockdowns drove declines for electronic equipment and instruments makers. Japanese professional services companies were similarly affected by the pessimistic economic news and declining investor sentiment, further detracting from the Index’s performance.

Equities in France also detracted significantly from the Index’s return, led by the consumer discretionary sector. The imposition of new lockdowns in major Chinese cities affected retail operations of French apparel accessories and luxury goods companies. The French industrials sector also declined, as supply-chain blockages led airplane manufacturers to decrease production in the aerospace and defense industry.

Swiss stocks further detracted from the Index’s performance. Swiss healthcare companies declined, as a failed drug trial for a promising lung cancer treatment weighed on the pharmaceuticals industry. The industrials sector declined amid recession fears and a resurgence of COVID-19 cases in China, which pressured machinery manufacturers.

Stocks in Sweden and the Netherlands were notable detractors. The decline in global markets lowered the valuations of Swedish venture capital firms’ portfolios, weighing on the diversified financial services industry. In the Netherlands, the information technology sector detracted, driven by the semiconductor equipment industry. A leading Dutch supplier of semiconductor manufacturing technology faced worsening supply-chain constraints as it attempted to meet demand in the midst of a global semiconductor shortage.

In terms of relative performance, the Index underperformed the broader market, as represented by the MSCI World ex USA Index. The momentum factor led to outperformance early in the reporting period due to favorable industry allocations, particularly an overweight in the semiconductors industry. However, stock selection in the healthcare, industrials, and financials sectors led to underperformance from December 2021 through May 2022. The most recent rebalance, in the spring of 2022, led to overweight positions in the energy and healthcare sectors and underweight positions in the consumer discretionary, information technology, and industrials sectors. The Index underperformed the broader market for the remainder of the reporting period.

Portfolio Information

 

SECTOR ALLOCATION

 

   

Sector

   
Percent of
Total Investments

(a) 

Health Care

    18.9

Financials

    16.9  

Energy

    13.9  

Consumer Staples

    12.2  

Industrials

    10.4  

Materials

    9.0  

Consumer Discretionary

    5.4  

Communication Services

    5.3  

Utilities

    4.4  

Information Technology

    2.7  

Real Estate

    0.9  

GEOGRAPHIC ALLOCATION

 

   

Country/Geographic Region

   
Percent of
Total Investments

(a) 

United Kingdom

    18.9

Canada

    16.1  

Japan

    16.0  

Switzerland

    13.4  

Australia

    8.5  

France

    8.2  

Denmark

    5.0  

Germany

    3.1  

Norway

    1.6  

Singapore

    1.4  

 

  (a)

Excludes money market funds.

 

 

 

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Fund Summary as of July 31, 2022    iShares® MSCI Intl Quality Factor ETF

 

Investment Objective

The iShares MSCI Intl Quality Factor ETF (the “Fund”) seeks to track the investment results of an index that measures the performance of international developed large-and mid-capitalization stocks exhibiting relatively higher quality characteristics as identified through three fundamental variables: return on equity, earnings variability and debt-to-equity, as represented by the MSCI World ex USA Sector Neutral Quality 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

 

      Average Annual Total Returns               Cumulative Total Returns    
     1 Year      5 Years      Since
Inception
           1 Year      5 Years      Since
Inception
 

Fund NAV

    (13.78 )%       5.62      5.96       (13.78 )%       31.47      54.77

Fund Market

    (13.65      5.61        6.00         (13.65      31.36        55.28  

Index

    (14.14      5.61        6.06               (14.14      31.39        55.89  

GROWTH OF $10,000 INVESTMENT

(SINCE INCEPTION AT NET ASSET VALUE)

 

LOGO

The inception date of the Fund was January 13, 2015. The first day of secondary market trading was January 15, 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

 

   

Actual

   

Hypothetical 5% Return

 
 

 

 

     

 

 

      
     

Beginning
Account Value
(02/01/22)


 
      

Ending
Account Value
(07/31/22)


 
      

Expenses
Paid During
the Period
 
 
(a) 
           

Beginning
Account Value
(02/01/22)


 
      

Ending
Account Value
(07/31/22)


 
      

Expenses
Paid During
the Period


(a) 
      

Annualized
Expense
Ratio


 
      $        1,000.00          $        896.90          $        1.41               $        1,000.00          $        1,023.30          $        1.51          0.30

 

  (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.

 

 

 

F U N D   S U M M A R Y

  7


Fund Summary as of July 31, 2022    (continued)    iShares® MSCI Intl Quality Factor ETF

 

Portfolio Management Commentary

Stocks featuring high quality characteristics from international developed markets declined for the reporting period. Rising global inflation, interest rate increases from many central banks, the war between Russia and Ukraine, and China’s strict lockdown policies to control the spread of COVID-19 slowed global economic growth and drove down equity prices. In particular, central bank interest rate increases negatively impacted stocks with high quality characteristics, which usually exhibit a growth-oriented bias. Value stocks outperformed growth stocks for the reporting period.

Stocks in Switzerland detracted from the Index’s performance. Pharmaceutical companies in the healthcare sector experienced disruptions in clinical trials due to the war between Russia and Ukraine, as a significant number of patients in the trials come from those two countries. In the industrials sector, production slowed during the reporting period. Rising production costs and weakening demand raised the likelihood of limited production for the remainder of 2022.

Stocks in the U.K also detracted from the Index’s performance, driven by the financials sector. Interest rate increases weighed on the insurance industry, as did a court ruling that forced coverage of business clients’ financial losses incurred during the coronavirus pandemic. In addition, amid the turmoil in global equity markets, the asset management industry’s revenue base decreased as investors late in the reporting period withdrew assets from U.K. mutual funds at the fastest pace since 2018.

Stocks in Japan, the Netherlands, and Germany also detracted from the Index’s performance. In Japan, industrial output declined throughout the first half of 2022 amid weak demand for the country’s exports, partially tied to tariffs the U.S. and China placed on one another. In the Netherlands, ongoing supply-chain difficulties tied to pandemic-related disruptions left makers of semiconductor equipment short of necessary production materials. In Germany, the industrials sector encountered declining production during the reporting period.

In terms of relative performance, the Index marginally underperformed the broader global market, as measured by the MSCI World ex USA Index. The Index trailed the broader market primarily due to its positioning within the financials sector, namely the banks and capital markets industries. Positioning with the energy sector also detracted from relative returns. On the upside, an underweight position in German stocks contributed to relative performance, as Germany’s stock market declined 19% between an all-time high in early January 2022 and the end of the reporting period. An overweight position in Denmark also contributed to relative performance.

Portfolio Information

 

SECTOR ALLOCATION

 

   

Sector

   
Percent of
Total Investments

(a) 

Financials

    19.4

Industrials

    14.9  

Health Care

    11.8  

Consumer Discretionary

    10.8  

Consumer Staples

    10.3  

Information Technology

    8.0  

Materials

    7.5  

Energy

    6.8  

Communication Services

    4.5  

Utilities

    3.4  

Real Estate

    2.6  

GEOGRAPHIC ALLOCATION

 

   

Country/Geographic Region

   
Percent of
Total Investments

(a) 

United Kingdom

    14.2

Switzerland

    13.3  

Japan

    12.9  

France

    9.8  

Australia

    7.5  

Canada

    6.5  

Denmark

    6.0  

Netherlands

    5.9  

Hong Kong

    5.6  

Germany

    4.0  

 

  (a)

Excludes money market funds.

 

 

 

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Fund Summary as of July 31, 2022    iShares® MSCI Intl Size Factor ETF

 

Investment Objective

The iShares MSCI Intl Size Factor ETF (the “Fund”) seeks to track the investment results of an index composed of international developed large- and mid-capitalization stocks with relatively smaller average market capitalization, as represented by the MSCI World ex USA Low Size 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

 

    Average Annual Total Returns               Cumulative Total Returns    
     1 Year      5 Years      Since
Inception
           1 Year      5 Years      Since
Inception
 

Fund NAV

    (14.94 )%       1.99      3.33       (14.94 )%       10.37      26.26

Fund Market

    (15.13      1.85        3.26         (15.13      9.62        25.66  

Index

    (15.13      1.92        3.32               (15.13      9.98        26.18  

GROWTH OF $10,000 INVESTMENT

(SINCE INCEPTION AT NET ASSET VALUE)

 

LOGO

The inception date of the Fund was June 16, 2015. The first day of secondary market trading was June 18, 2015.

Index performance through December 2, 2018 reflects the performance of the MSCI World ex USA Risk Weighted Index. Index performance beginning on December 3, 2018 reflects the performance of the MSCI World ex USA Low Size 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

 

    Actual     Hypothetical 5% Return           
 

 

 

     

 

 

      
     

Beginning
Account Value
(02/01/22)
 
 
 
      

Ending
Account Value
(07/31/22)
 
 
 
      

Expenses
Paid During
the Period
 
 
(a) 
           

Beginning
Account Value
(02/01/22)
 
 
 
      

Ending
Account Value
(07/31/22)
 
 
 
      

Expenses
Paid During
the Period
 
 
(a) 
      

Annualized
Expense
Ratio
 
 
 
      $        1,000.00          $        892.50          $        1.41               $        1,000.00          $        1,023.30          $        1.51          0.30

 

  (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.

 

 

 

F U N D   S U M M A R Y

  9


Fund Summary as of July 31, 2022    (continued)    iShares® MSCI Intl Size Factor ETF

 

Portfolio Management Commentary

International developed market stocks with smaller-than-average capitalization declined for the reporting period. Rising global inflation, interest rate increases from many central banks, the war between Russia and Ukraine, and China’s strict lockdown policies to control the spread of COVID-19 slowed global economic growth and drove down equity prices. In that environment, smaller-capitalization stocks, which tend to be more exposed to economic cycles, trailed their large-capitalization counterparts.

Stocks in Japan, which represented approximately 29% of the Index on average, detracted the most from the Index’s performance. The Japanese yen weakened relative to the U.S. dollar, increasing costs for imported raw materials as the country’s exports continued a long-term downward trend. Within Japan, the industrials sector drove the decline as China’s latest round of coronavirus-related lockdowns disrupted production for Japanese industrial manufacturers while inflation raised prices for key raw materials. Similarly, in the consumer discretionary sector, supply constraints weighed on the retail industry, as did declining disposable incomes, tied to rising inflation.

Stocks in Germany, Sweden, and France also detracted from the Index’s performance. Concerns about recession increased across the E.U. in the first half of 2022, pushing the value of the euro to a 20-year low relative to the U.S. dollar. Interest rate increases by the Fed and the ECB heightened those concerns, as did surging natural gas costs. After invading Ukraine, Russia responded to global sanctions on its economy by drastically reducing gas shipments to the E.U., which normally relies on Russia for 40% of its gas needs, raising natural gas prices. Stocks in the U.K. also detracted from the Index’s performance. The homebuilding declined as an uncertain business outlook and weakening consumer demand halted growth in construction.

Due to its tilt toward smaller-than-average capitalization stocks, the Index underperformed the broader market, as measured by the MSCI World ex USA Index, on a relative performance basis. The size factor inherent in the Index historically tends to be sensitive to broader market cycles, outperforming as broader markets advance and underperforming as markets decline. Underweight positions in the pharmaceuticals, banking, and oil, gas, and consumable fuels industries also detracted from relative performance, while a small underweight in metals and mining contributed to relative performance.

Portfolio Information

 

SECTOR ALLOCATION

 

   

Sector

   
Percent of
Total Investments

(a) 

Industrials

    19.7

Financials

    15.0  

Consumer Discretionary

    11.2  

Information Technology

    8.4  

Consumer Staples

    8.4  

Materials

    8.2  

Health Care

    7.3  

Real Estate

    6.8  

Communication Services

    6.4  

Utilities

    5.2  

Energy

    3.4  

GEOGRAPHIC ALLOCATION

 

   

Country/Geographic Region

   
Percent of
Total Investments

(a) 

Japan

    27.9

Canada

    9.9  

United Kingdom

    9.3  

France

    7.0  

Australia

    6.8  

Germany

    6.0  

Switzerland

    4.6  

Sweden

    4.6  

Hong Kong

    3.9  

Netherlands

    3.1  

 

  (a)

Excludes money market funds.

 

 

 

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Fund Summary as of July 31, 2022    iShares® MSCI Intl Value Factor ETF

 

Investment Objective

The iShares MSCI Intl Value Factor ETF (the “Fund”) seeks to track the investment results of an index composed of international developed large- and mid-capitalization stocks with value characteristics and relatively lower valuations, as represented by the MSCI World ex USA Enhanced Value 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

 

    Average Annual Total Returns           Cumulative Total Returns    
     1 Year      5 Years      Since
Inception
           1 Year      5 Years      Since
Inception
 

Fund NAV

    (8.02 )%       1.27      1.72       (8.02 )%       6.52      12.90

Fund Market

    (7.85      1.16        1.73         (7.85      5.94        13.00  

Index

    (8.35      1.24        1.72               (8.35      6.38        12.88  

GROWTH OF $10,000 INVESTMENT

(SINCE INCEPTION AT NET ASSET VALUE)

 

LOGO

The inception date of the Fund was June 16, 2015. The first day of secondary market trading was June 18, 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

 

    Actual     Hypothetical 5% Return           
 

 

 

     

 

 

      
     

Beginning
Account Value
(02/01/22)
 
 
 
      

Ending
Account Value
(07/31/22)
 
 
 
      

Expenses
Paid During
the Period
 
 
(a) 
           

Beginning
Account Value
(02/01/22)
 
 
 
      

Ending
Account Value
(07/31/22)
 
 
 
      

Expenses
Paid During
the Period
 
 
(a) 
      

Annualized
Expense
Ratio
 
 
 
      $        1,000.00          $        884.90          $        1.40               $        1,000.00          $        1,023.30          $        1.51          0.30

 

  (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.

 

 

 

F U N D   S U M M A R Y

  11


Fund Summary as of July 31, 2022    (continued)    iShares® MSCI Intl Value Factor ETF

 

Portfolio Management Commentary

International developed market stocks declined during the reporting period; however, international DM equities with value exposure outperformed broad international developed markets on a relative basis. Rising global inflation, interest rate increases from many central banks, the war between Russia and Ukraine, and China’s strict policies aimed at controlling the spread of COVID-19 all contributed to widespread equity declines in international developed markets.

Japanese stocks detracted the most from the Index’s performance, driven by the information technology sector. Technology hardware and equipment companies declined as global shipments of personal computers decreased in the first half of 2022. Moreover, analysts concluded that many companies planned to decrease their technology hardware budgets, reducing demand expectations for hardware components. Manufacturing shutdowns and other impacts of pandemic-related lockdowns in China also weighed on the industry. The consumer discretionary sector also detracted as large automobiles manufacturers reduced vehicle production due to similar supply shortages and logistics problems.

German stocks also detracted significantly from the Index’s performance. In the consumer discretionary sector, automakers encountered supply disruptions. Sales of cars manufactured in Germany declined to a 30-year low in 2021, and the weak sales extended into the first half of 2022, as monthly sales at the end of the reporting period declined 13 – 18% from the same periods in the prior year.

French stocks also detracted from the Index’s return. The French financials sector drove the decline as large banks reconsidered their exposure to Russia in the wake of its Ukraine invasion, with some ultimately choosing to leave Russia altogether. France’s inflation reached a record high late in the reporting period, heightening recession fears across the E.U.

On the upside, stocks in the U.K. contributed to the Index’s return. Oil, gas, and consumable fuels companies within the energy sector benefited from surging oil and gas prices. The consumer staples sector also contributed as demand for tobacco products persisted despite rising inflation.

The Index outperformed the broader market as measured by the MSCI World ex USA Index. Value stocks, which generally have modest long-term growth expectations and relatively predictable cash flows, generally perform well relative to the broader market amid high or rising inflation. Stock selection in the IT services industry and an underweight position in the textile, apparel, and luxury goods industry contributed to relative performance, whereas an overweight in automobiles detracted from relative performance. From a country perspective, an underweight position in the Netherlands contributed to relative performance, while an overweight position in Italy detracted.

Portfolio Information

 

SECTOR ALLOCATION

 

   

Sector

   
Percent of
Total Investments

(a) 

Financials

    19.7

Industrials

    14.8  

Health Care

    11.5  

Consumer Discretionary

    10.5  

Consumer Staples

    9.9  

Information Technology

    8.1  

Materials

    7.9  

Energy

    6.5  

Communication Services

    4.7  

Utilities

    3.6  

Real Estate

    2.8  

GEOGRAPHIC ALLOCATION

 

   

Country/Geographic Region

   
Percent of
Total Investments

(a) 

Japan

    34.3

United Kingdom

    16.5  

France

    10.8  

Germany

    8.3  

Switzerland

    5.7  

Australia

    4.6  

Italy

    3.2  

Canada

    3.1  

Hong Kong

    2.6  

Spain

    2.3  

 

  (a) 

Excludes money market funds.

 

 

 

12  

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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.

 

 

A B O U T   F U N D   P E R F O R M A N C E / S H A R E H O L D E R   E X P E N S E S

  13


Schedule of Investments

July 31, 2022

  

iShares® MSCI Intl Momentum Factor ETF

(Percentages shown are based on Net Assets)

 

Security   Shares     Value  

Common Stocks

   
Australia — 8.5%            

Ampol Ltd.

    23,138     $ 548,174  

APA Group

    183,465       1,504,294  

ASX Ltd.

    19,294       1,199,214  

Aurizon Holdings Ltd.

    174,635       494,269  

BHP Group Ltd.

    515,098       14,095,840  

Coles Group Ltd.

    125,761       1,656,315  

Commonwealth Bank of Australia

    129,311       9,183,331  

Computershare Ltd.

    107,514       1,899,448  

Endeavour Group Ltd./Australia

    148,080       825,018  

Fortescue Metals Group Ltd.

    192,201       2,473,350  

Glencore PLC

    1,478,172       8,377,834  

Goodman Group

    173,457       2,538,554  

Lottery Corp. Ltd. (The)(a)(b)

    167,829       532,370  

Macquarie Group Ltd.

    34,456       4,409,795  

Mineral Resources Ltd.

    23,393       891,369  

National Australia Bank Ltd.

    331,678       7,163,087  

Orica Ltd.

    37,230       441,258  

Origin Energy Ltd.

    281,094       1,180,135  

QBE Insurance Group Ltd.

    124,963       1,010,416  

Ramsay Health Care Ltd.

    18,450       911,462  

Rio Tinto Ltd.

    31,569       2,187,244  

South32 Ltd.

    753,639       2,054,129  

Telstra Corp. Ltd.

    405,823       1,109,118  

WiseTech Global Ltd.

    10,166       360,025  

Woodside Energy Group Ltd.

    126,841       2,864,131  
   

 

 

 
          69,910,180  
Austria — 0.2%            

OMV AG

    9,120       388,420  

Verbund AG

    7,856       863,889  
   

 

 

 
      1,252,309  
Belgium — 0.3%            

D’ieteren Group

    2,980       489,096  

Elia Group SA/NV

    6,675       1,013,343  

UCB SA

    13,923       1,087,926  
   

 

 

 
      2,590,365  
Canada — 16.0%            

Alimentation Couche-Tard Inc.

    119,801       5,352,243  

AltaGas Ltd.

    29,820       664,374  

ARC Resources Ltd.

    123,749       1,735,607  

Bank of Montreal

    51,267       5,110,886  

Bank of Nova Scotia (The)

    71,627       4,363,455  

Barrick Gold Corp.

    172,116       2,712,351  

BCE Inc.

    7,665       387,275  

Brookfield Asset Management Inc., Class A

    68,791       3,413,362  

Cameco Corp.

    41,709       1,074,197  

Canadian Imperial Bank of Commerce

    52,528       2,657,267  

Canadian National Railway Co.

    34,238       4,337,535  

Canadian Natural Resources Ltd.

    197,462       10,903,548  

Cenovus Energy Inc.

    242,952       4,629,283  

Constellation Software Inc.

    1,115       1,896,741  

Dollarama Inc.

    41,404       2,509,363  

Emera Inc.

    24,435       1,158,447  

Empire Co. Ltd., Class A, NVS

    14,772       448,276  

Enbridge Inc.

    198,267       8,904,248  

Fairfax Financial Holdings Ltd.

    3,587       1,932,226  

First Quantum Minerals Ltd.

    51,743       945,520  

Fortis Inc.

    53,696       2,536,466  

George Weston Ltd.

    13,584       1,621,318  
Security   Shares     Value  
Canada (continued)            

Gildan Activewear Inc.

    9,269     $ 271,653  

Great-West Lifeco Inc.

    12,731       309,390  

Hydro One Ltd.(c)

    43,521       1,215,006  

Imperial Oil Ltd.

    39,685       1,901,893  

Intact Financial Corp.

    14,900       2,217,750  

Ivanhoe Mines Ltd., Class A(a)

    43,047       267,584  

Loblaw Companies Ltd.

    34,255       3,118,274  

Metro Inc.

    35,001       1,938,168  

Nutrien Ltd.

    113,272       9,696,518  

Pembina Pipeline Corp.

    56,852       2,170,547  

RioCan REIT

    12,065       193,617  

Rogers Communications Inc., Class B, NVS

    46,091       2,118,915  

Royal Bank of Canada

    102,970       10,040,088  

Shaw Communications Inc., Class B, NVS

    34,262       926,817  

Suncor Energy Inc.

    203,193       6,896,074  

Teck Resources Ltd., Class B

    76,473       2,248,415  

TELUS Corp.

    63,072       1,452,003  

Toromont Industries Ltd.

    7,112       598,984  

Toronto-Dominion Bank (The)

    137,065       8,903,258  

Tourmaline Oil Corp.

    64,416       4,035,841  

Wheaton Precious Metals Corp.

    38,195       1,310,600  

WSP Global Inc.

    6,521       786,767  
   

 

 

 
          131,912,150  
Denmark — 5.0%            

AP Moller - Maersk A/S, Class A

    344       921,567  

AP Moller - Maersk A/S, Class B, NVS

    540       1,474,380  

Demant A/S(a)

    5,185       197,526  

Novo Nordisk A/S, Class B

    320,327       37,309,688  

Tryg A/S

    38,677       881,888  
   

 

 

 
      40,785,049  
Finland — 0.7%            

Elisa OYJ

    13,458       744,296  

Nokia OYJ

    389,060       2,026,450  

Nordea Bank Abp

    193,030       1,903,269  

Stora Enso OYJ, Class R

    65,023       1,005,625  
   

 

 

 
      5,679,640  
France — 8.2%            

Aeroports de Paris(a)

    2,733       377,624  

Air Liquide SA

    60,917       8,375,013  

Airbus SE

    31,198       3,363,821  

ArcelorMittal SA

    36,073       890,063  

AXA SA

    122,267       2,817,338  

Bureau Veritas SA

    19,799       546,068  

Capgemini SE

    12,918       2,463,938  

Carrefour SA

    84,489       1,439,865  

Cie. de Saint-Gobain

    26,251       1,224,079  

Dassault Aviation SA

    5,063       724,124  

EssilorLuxottica SA

    17,758       2,784,141  

Eurazeo SE

    2,090       149,284  

Getlink SE

    60,351       1,207,884  

Hermes International

    1,549       2,125,141  

Ipsen SA

    3,166       320,264  

Orange SA

    207,111       2,116,350  

Pernod Ricard SA

    15,843       3,112,268  

Publicis Groupe SA

    13,220       703,507  

Remy Cointreau SA

    1,896       374,568  

Sanofi

    126,730       12,593,606  

Schneider Electric SE

    25,188       3,483,597  

Teleperformance

    3,233       1,081,118  

 

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Schedule of Investments  (continued)

July 31, 2022

  

iShares® MSCI Intl Momentum Factor ETF

(Percentages shown are based on Net Assets)

 

Security   Shares     Value  
France (continued)            

Thales SA

    18,180     $ 2,260,858  

TotalEnergies SE

    224,240       11,453,586  

Veolia Environnement SA

    41,416       1,035,849  

Vivendi SE

    64,227       609,728  
   

 

 

 
      67,633,682  
Germany — 3.0%            

Bayer AG, Registered

    111,084       6,479,556  

Deutsche Boerse AG

    19,201       3,351,828  

Deutsche Telekom AG, Registered

    279,244       5,305,350  

Mercedes-Benz Group AG

    43,328       2,555,225  

Merck KGaA

    7,479       1,424,455  

Nemetschek SE

    2,706       181,157  

Rheinmetall AG

    8,805       1,614,635  

RWE AG

    73,252       3,013,437  

Siemens Healthineers AG(c)

    12,850       658,481  

Telefonica Deutschland Holding AG

    116,845       310,647  
   

 

 

 
          24,894,771  
Hong Kong — 0.4%            

BOC Hong Kong Holdings Ltd.

    308,000       1,114,133  

CK Asset Holdings Ltd.

    166,000       1,175,235  

CK Infrastructure Holdings Ltd.

    60,500       379,382  

Power Assets Holdings Ltd.

    142,500       933,053  
   

 

 

 
      3,601,803  
Ireland — 0.1%            

Kingspan Group PLC

    9,053       585,983  
   

 

 

 
Israel — 1.1%            

Azrieli Group Ltd.

    3,316       265,800  

Bank Hapoalim BM

    99,509       927,424  

Bank Leumi Le-Israel BM

    236,351       2,298,185  

CyberArk Software Ltd.(a)(b)

    1,888       245,685  

Elbit Systems Ltd.

    5,389       1,243,422  

ICL Group Ltd.

    122,132       1,112,918  

Israel Discount Bank Ltd., Class A

    123,672       703,182  

Mizrahi Tefahot Bank Ltd.

    17,922       666,269  

Tower Semiconductor Ltd.(a)

    20,658       984,724  

ZIM Integrated Shipping Services Ltd.

    8,202       408,624  
   

 

 

 
      8,856,233  
Italy — 1.1%            

Assicurazioni Generali SpA

    65,212       974,896  

Atlantia SpA

    63,196       1,460,500  

Eni SpA

    245,392       2,949,754  

Mediobanca Banca di Credito Finanziario SpA

    28,527       244,668  

Snam SpA

    173,740       871,746  

Tenaris SA

    73,800       1,032,760  

Terna - Rete Elettrica Nazionale

    190,855       1,461,148  
   

 

 

 
      8,995,472  
Japan — 16.0%            

Ajinomoto Co. Inc.

    59,000       1,552,643  

Asahi Group Holdings Ltd.

    23,300       810,056  

Astellas Pharma Inc.

    157,200       2,461,970  

Bridgestone Corp.

    31,000       1,209,181  

Canon Inc.

    98,100       2,320,832  

Dai Nippon Printing Co. Ltd.

    16,700       368,524  

Dai-ichi Life Holdings Inc.

    95,600       1,662,950  

Daiwa Securities Group Inc.

    84,300       389,148  

Denso Corp.

    26,200       1,433,011  

Dentsu Group Inc.

    21,500       751,028  

Fuji Electric Co. Ltd.

    8,800       397,460  
Security   Shares     Value  
Japan (continued)            

Fujitsu Ltd.

    10,400     $ 1,394,248  

Hitachi Ltd.

    53,600       2,713,663  

Idemitsu Kosan Co. Ltd.

    23,200       603,311  

Inpex Corp.

    213,800       2,450,527  

Isuzu Motors Ltd.

    46,800       513,330  

ITOCHU Corp.

    134,300       3,909,427  

JFE Holdings Inc.

    25,200       284,126  

KDDI Corp.

    233,300       7,480,139  

Konami Group Corp.

    10,100       596,965  

Marubeni Corp.

    277,900       2,585,100  

Mazda Motor Corp.

    28,400       239,400  

Mitsubishi Corp.

    196,600       5,842,810  

Mitsubishi Heavy Industries Ltd.

    51,900       1,927,175  

Mitsubishi UFJ Financial Group Inc.

    1,466,500       8,262,982  

Mitsui & Co. Ltd.

    187,700       4,141,087  

Mitsui OSK Lines Ltd.

    52,400       1,436,855  

MS&AD Insurance Group Holdings Inc.

    42,600       1,381,575  

Nexon Co. Ltd.

    47,500       1,078,350  

Nippon Sanso Holdings Corp.

    8,200       138,274  

Nippon Steel Corp.

    50,200       746,987  

Nippon Telegraph & Telephone Corp.

    200,800       5,735,916  

Nippon Yusen KK

    24,800       1,948,072  

Nissin Foods Holdings Co. Ltd.

    5,200       376,616  

Nomura Real Estate Holdings Inc.

    9,900       240,168  

NTT Data Corp.

    66,500       1,006,477  

Ono Pharmaceutical Co. Ltd.

    52,200       1,467,806  

Oriental Land Co. Ltd./Japan

    20,800       3,158,037  

ORIX Corp.

    109,300       1,947,925  

Osaka Gas Co. Ltd.

    48,500       871,938  

Persol Holdings Co. Ltd.

    10,100       209,088  

Renesas Electronics Corp.(a)

    74,800       712,459  

Resona Holdings Inc.

    277,200       1,077,268  

Secom Co. Ltd.

    20,200       1,349,159  

Seven & i Holdings Co. Ltd.

    91,600       3,733,635  

Shimadzu Corp.

    12,600       448,294  

Shionogi & Co. Ltd.

    21,300       1,092,508  

Sompo Holdings Inc.

    27,300       1,218,432  

Sumitomo Chemical Co. Ltd.

    71,800       282,169  

Sumitomo Corp.

    166,200       2,336,764  

Sumitomo Metal Mining Co. Ltd.

    25,500       801,817  

Suntory Beverage & Food Ltd.

    19,300       761,529  

T&D Holdings Inc.

    48,300       546,661  

Takeda Pharmaceutical Co. Ltd.

    127,400       3,737,940  

Tokio Marine Holdings Inc.

    79,900       4,677,340  

Tokyo Electric Power Co. Holdings Inc.(a)

    211,000       830,362  

Tokyo Electron Ltd.

    10,600       3,648,450  

Tokyo Gas Co. Ltd.

    49,600       974,189  

Toppan Inc.

    23,800       404,968  

Toshiba Corp.

    32,300       1,310,331  

Toyota Motor Corp.

    1,279,400       20,765,972  

Toyota Tsusho Corp.

    11,100       378,837  

Trend Micro Inc/Japan

    14,900       865,902  

USS Co. Ltd.

    21,400       419,922  

Yakult Honsha Co. Ltd.

    15,600       950,032  
   

 

 

 
          131,370,117  
Netherlands — 1.2%            

Aegon NV

    155,928       684,868  

Davide Campari-Milano NV

    23,961       266,012  

IMCD NV

    2,984       477,884  

Koninklijke Ahold Delhaize NV

    99,560       2,741,755  

 

S C H E D U L E   O F   I N V E S T M E N T S

  15


Schedule of Investments  (continued)

July 31, 2022

  

iShares® MSCI Intl Momentum Factor ETF

(Percentages shown are based on Net Assets)

 

Security   Shares     Value  
Netherlands (continued)            

Koninklijke KPN NV

    378,978     $ 1,250,245  

NN Group NV

    20,262       950,742  

OCI NV

    16,755       581,677  

Wolters Kluwer NV

    29,527       3,206,699  
   

 

 

 
      10,159,882  
New Zealand — 0.1%            

Spark New Zealand Ltd.

    159,378       512,492  
   

 

 

 
Norway — 1.6%            

Aker BP ASA

    32,546       1,130,855  

Equinor ASA

    200,716       7,728,345  

Kongsberg Gruppen ASA

    18,077       666,114  

Mowi ASA

    42,332       976,815  

Norsk Hydro ASA

    183,532       1,243,472  

Salmar ASA

    7,156       512,575  

Yara International ASA

    13,617       580,320  
   

 

 

 
          12,838,496  
Portugal — 0.1%            

Galp Energia SGPS SA

    52,232       551,339  

Jeronimo Martins SGPS SA

    27,679       640,684  
   

 

 

 
      1,192,023  
Singapore — 1.4%            

Capitaland Investment Ltd/Singapore

    430,400       1,224,629  

City Developments Ltd.

    33,700       189,334  

DBS Group Holdings Ltd.

    152,900       3,488,925  

Keppel Corp. Ltd.

    206,400       1,031,212  

Oversea-Chinese Banking Corp. Ltd.

    213,500       1,809,348  

Singapore Airlines Ltd.(a)(b)

    99,600       394,033  

Singapore Telecommunications Ltd.

    739,200       1,397,881  

United Overseas Bank Ltd.

    110,100       2,196,642  
   

 

 

 
      11,732,004  
Spain — 1.1%            

Acciona SA

    3,554       731,308  

CaixaBank SA

    474,113       1,423,635  

EDP Renovaveis SA

    16,990       441,898  

Naturgy Energy Group SA

    27,128       795,721  

Red Electrica Corp. SA

    18,676       367,177  

Repsol SA

    188,440       2,347,634  

Telefonica SA

    692,192       3,089,731  
   

 

 

 
      9,197,104  
Sweden — 1.4%            

Boliden AB

    36,771       1,228,845  

Epiroc AB, Class A

    35,821       633,376  

Epiroc AB, Class B

    18,902       300,231  

Hexagon AB, Class B

    109,621       1,290,737  

Holmen AB, Class B

    19,818       814,360  

Investor AB, Class A

    41,163       846,322  

Investor AB, Class B

    98,738       1,842,621  

Lifco AB, Class B

    10,677       207,838  

Nibe Industrier AB, Class B

    71,298       718,264  

Svenska Cellulosa AB SCA, Class B

    99,091       1,448,669  

Tele2 AB, Class B

    63,429       724,590  

Telia Co. AB

    316,639       1,169,774  

Volvo Car AB, Class B(a)(b)

    50,418       375,401  
   

 

 

 
      11,601,028  
Switzerland — 13.3%            

ABB Ltd., Registered

    83,273       2,531,466  

Baloise Holding AG, Registered

    4,286       682,884  

Barry Callebaut AG, Registered

    335       742,247  
Security   Shares     Value  
Switzerland (continued)            

Chocoladefabriken Lindt & Spruengli AG, Participation Certificates, NVS

    109     $ 1,205,394  

Chocoladefabriken Lindt & Spruengli AG, Registered

    13       1,499,187  

Cie. Financiere Richemont SA, Class A, Registered

    42,086       5,074,625  

Kuehne + Nagel International AG, Registered

    2,566       691,079  

Nestle SA, Registered

    283,319       34,714,304  

Novartis AG, Registered

    233,132       20,032,946  

Roche Holding AG, Bearer

    2,468       1,006,116  

Roche Holding AG, NVS

    67,244       22,325,312  

Sika AG, Registered

    9,228       2,280,123  

Sonova Holding AG, Registered

    4,297       1,547,701  

Swiss Life Holding AG, Registered

    3,403       1,802,693  

Swisscom AG, Registered

    3,422       1,850,061  

UBS Group AG, Registered

    264,553       4,322,881  

Vifor Pharma AG (a)

    6,451       1,127,070  

Zurich Insurance Group AG

    14,276       6,231,878  
   

 

 

 
      109,667,967  
United Kingdom — 18.8%            

3i Group PLC

    48,251       749,712  

Anglo American PLC

    118,474       4,282,225  

AstraZeneca PLC

    201,084       26,450,832  

Aviva PLC

    207,609       1,005,414  

BAE Systems PLC

    534,126       5,020,110  

BP PLC

    1,734,532       8,489,250  

British American Tobacco PLC

    298,428       11,693,493  

BT Group PLC

    618,764       1,221,640  

Bunzl PLC

    43,820       1,644,593  

CNH Industrial NV

    84,666       1,090,723  

Diageo PLC

    253,170       11,993,133  

Ferguson PLC

    11,136       1,400,894  

GSK PLC

    604,490       12,700,457  

Haleon PLC(a)

    755,613       2,685,101  

HSBC Holdings PLC

    1,715,205       10,743,970  

National Grid PLC

    600,798       8,272,744  

NatWest Group PLC

    339,904       1,032,376  

Pearson PLC

    56,006       518,350  

RELX PLC

    192,871       5,710,802  

Segro PLC

    138,836       1,857,345  

Severn Trent PLC

    33,712       1,212,008  

Shell PLC

    1,097,047       29,265,169  

SSE PLC

    110,763       2,392,303  

Tesco PLC

    692,862       2,222,102  

United Utilities Group PLC

    72,535       963,739  

WPP PLC

    53,993       582,713  
   

 

 

 
      155,201,198  
   

 

 

 

Total Common Stocks — 99.6%
(Cost: $834,795,387)

      820,169,948  
   

 

 

 
Preferred Stocks            
Germany — 0.0%            

Bayerische Motoren Werke AG, Preference Shares, NVS

    2,944       223,523  
   

 

 

 

Total Preferred Stocks — 0.0%
(Cost: $253,640)

      223,523  
   

 

 

 

Total Long-Term Investments — 99.6%
(Cost: $835,049,027)

      820,393,471  
   

 

 

 

 

16  

2 0 2 2   I S H A R E S   A N N U A L   R E P O R T   T O   S H A R E H O L D E R S


Schedule of Investments  (continued)

July 31, 2022

  

iShares® MSCI Intl Momentum Factor ETF

(Percentages shown are based on Net Assets)

 

Security   Shares     Value  

Short-Term Securities

 

Money Market Funds — 0.2%  

BlackRock Cash Funds: Institutional, SL Agency Shares, 1.93%(d)(e)(f)

    1,219,248     $ 1,219,126  

BlackRock Cash Funds: Treasury, SL Agency Shares, 1.81%(d)(e)

    190,000       190,000  
   

 

 

 

Total Short-Term Securities — 0.2%
(Cost: $1,409,069)

 

    1,409,126  
   

 

 

 

Total Investments in Securities — 99.8%
(Cost: $836,458,096)

 

    821,802,597  

Other Assets Less Liabilities — 0.2%

 

    1,604,505  
   

 

 

 

Net Assets — 100.0%

 

  $  823,407,102  
   

 

 

 

 

(a) 

Non-income producing security.

(b) 

All or a portion of this security is on loan.

(c) 

Security exempt from registration pursuant to Rule 144A under the Securities Act of 1933, as amended. These securities may be resold in transactions exempt from registration to qualified institutional investors.

(d) 

Affiliate of the Fund.

(e) 

Annualized 7-day yield as of period end.

(f) 

All or a portion of this security was purchased with the cash collateral from loaned securities.

 

Affiliates

Investments in issuers considered to be affiliate(s) of the Fund during the year ended July 31, 2022 for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows:

 

Affiliated Issuer    Value at
07/31/21
     Purchases
at Cost
     Proceeds
from Sale
     Net Realized
Gain (Loss)
     Change in
Unrealized
Appreciation
(Depreciation)
     Value at
07/31/22
     Shares
Held at
07/31/22
     Income     

Capital

Gain
Distributions
from
Underlying
Funds

 

BlackRock Cash Funds: Institutional, SL Agency Shares

   $      $ 1,219,198 (a)     $      $ (129    $ 57      $ 1,219,126        1,219,248      $ 14,988 (b)     $  

BlackRock Cash Funds: Treasury, SL Agency Shares

     300,000               (110,000 )(a)                     190,000        190,000        7,770         
           

 

 

    

 

 

    

 

 

       

 

 

    

 

 

 
            $ (129    $ 57      $ 1,409,126         $ 22,758      $  
           

 

 

    

 

 

    

 

 

       

 

 

    

 

 

 

 

  (a) 

Represents net amount purchased (sold).

 
  (b) 

All or a portion represents securities lending income earned from the reinvestment of cash collateral from loaned securities, net of fees and collateral investment expenses, and other payments to and from borrowers of securities.

 

Derivative Financial Instruments Outstanding as of Period End

Futures Contracts

 

Description    Number of
Contracts
     Expiration
Date
     Notional
Amount
(000)
     Value/
Unrealized
Appreciation
(Depreciation)
 

Long Contracts

           

Mini TOPIX Index

     54        09/08/22      $ 785      $ 10,812  

Euro STOXX 50 Index

     11        09/16/22        415        26,553  

FTSE 100 Index

     18        09/16/22        1,616        48,437  
           

 

 

 
            $ 85,802  
           

 

 

 

 

 

S C H E D U L E   O F   I N V E S T M E N T S

  17


Schedule of Investments  (continued)

July 31, 2022

  

iShares® MSCI Intl Momentum Factor ETF

 

Derivative Financial Instruments Categorized by Risk Exposure

As of period end, the fair values of derivative financial instruments located in the Statements of Assets and Liabilities were as follows:

 

      Commodity
Contracts
       Credit
Contracts
       Equity
Contracts
       Foreign
Currency
Exchange
Contracts
       Interest
Rate
Contracts
       Other
Contracts
       Total  

Assets — Derivative Financial Instruments

                                

Futures contracts

                                

Unrealized appreciation on futures contracts(a)

   $        $        $ 85,802        $        $        $        $ 85,802  
  

 

 

      

 

 

      

 

 

      

 

 

      

 

 

      

 

 

      

 

 

 

 

  (a) 

Net cumulative unrealized appreciation (depreciation) on futures contracts are reported in the Schedule of Investments. In the Statements of Assets and Liabilities, only current day’s variation margin is reported in receivables or payables and the net cumulative unrealized appreciation (depreciation) is included in accumulated earnings (loss).

 

For the period ended July 31, 2022, the effect of derivative financial instruments in the Statements of Operations was as follows:

 

      Commodity
Contracts
       Credit
Contracts
       Equity
Contracts
       Foreign
Currency
Exchange
Contracts
       Interest
Rate
Contracts
       Other
Contracts
       Total  

Net Realized Gain (Loss) from

                                

Futures contracts

   $        $        $ (287,301      $        $        $        $ (287,301
  

 

 

      

 

 

      

 

 

      

 

 

      

 

 

      

 

 

      

 

 

 

Net Change in Unrealized Appreciation (Depreciation) on

                                

Futures contracts

   $        $        $ 103,667        $        $        $        $ 103,667  
  

 

 

      

 

 

      

 

 

      

 

 

      

 

 

      

 

 

      

 

 

 

Average Quarterly Balances of Outstanding Derivative Financial Instruments

 

 

 

Futures contracts

  

Average notional value of contracts — long

   $ 3,244,790      

 

 

For more information about the Fund’s investment risks regarding derivative financial instruments, refer to the Notes to Financial Statements.

Fair Value Hierarchy as of Period End

Various inputs are used in determining the fair value of financial instruments. For a description of the input levels and information about the Fund’s policy regarding valuation of financial instruments, refer to the Notes to Financial Statements.

The following table summarizes the Fund’s financial instruments categorized in the fair value hierarchy. The breakdown of the Fund’s financial instruments into major categories is disclosed in the Schedule of Investments above.

 

      Level 1        Level 2        Level 3        Total  

Investments

                 

Assets

                 

Common Stocks

   $ 136,911,000        $ 683,258,948        $        $ 820,169,948  

Preferred Stocks

              223,523                   223,523  

Money Market Funds

     1,409,126                            1,409,126  
  

 

 

      

 

 

      

 

 

      

 

 

 
   $ 138,320,126        $ 683,482,471        $        $ 821,802,597  
  

 

 

      

 

 

      

 

 

      

 

 

 

Derivative financial instruments(a)

                 

Assets

                 

Futures Contracts

   $        $ 85,802        $        $ 85,802  
  

 

 

      

 

 

      

 

 

      

 

 

 

 

  (a) 

Derivative financial instruments are futures contracts. Futures contracts are valued at the unrealized appreciation (depreciation) on the instrument.

 

See notes to financial statements.

 

 

18  

2 0 2 2   I S H A R E S   A N N U A L   R E P O R T   T O   S H A R E H O L D E R S


Schedule of Investments  

July 31, 2022

  

iShares® MSCI Intl Quality Factor ETF

(Percentages shown are based on Net Assets)

 

Security   Shares     Value  

Common Stocks

   
Australia — 7.5%            

Aristocrat Leisure Ltd.

    330,989     $ 8,257,530  

ASX Ltd.

    168,686       10,484,638  

BHP Group Ltd.

    3,471,616       95,002,008  

Brambles Ltd.

    771,371       6,208,535  

Dexus

    656,190       4,409,600  

Fortescue Metals Group Ltd.

    1,078,793       13,882,510  

Goodman Group

    1,649,628       24,142,406  

Insurance Australia Group Ltd.

    1,703,554       5,360,341  

Medibank Pvt Ltd.

    2,873,462       6,909,331  

Mirvac Group

    2,251,170       3,410,491  

REA Group Ltd.

    50,883       4,489,118  

Rio Tinto Ltd.

    278,685       19,308,564  

Rio Tinto PLC

    828,314       50,004,883  

Stockland

    1,310,704       3,551,597  

Washington H Soul Pattinson & Co. Ltd.

    233,496       4,227,365  

Wesfarmers Ltd.

    827,930       27,127,550  

Woodside Energy Group Ltd.

    610,080       13,775,898  
   

 

 

 
      300,552,365  
Austria — 0.3%            

OMV AG

    193,245       8,230,290  

Verbund AG

    45,509       5,004,419  
   

 

 

 
      13,234,709  
Belgium — 0.4%            

Ageas SA/NV

    102,635       4,479,535  

Proximus SADP

    82,023       1,136,592  

Sofina SA

    15,941       3,733,210  

Umicore SA

    83,111       3,010,477  

Warehouses De Pauw CVA

    79,275       2,694,890  
   

 

 

 
      15,054,704  
Canada — 6.4%            

Alimentation Couche-Tard Inc.

    342,572       15,304,786  

ARC Resources Ltd.

    972,296       13,636,669  

Canadian National Railway Co.

    340,709       43,163,657  

Canadian Tire Corp. Ltd., Class A, NVS

    29,068       3,734,315  

CCL Industries Inc., Class B, NVS

    59,774       3,002,820  

CGI Inc.(a)

    89,728       7,693,674  

Constellation Software Inc.

    11,938       20,307,885  

Franco-Nevada Corp.

    68,609       8,785,145  

Great-West Lifeco Inc.

    209,226       5,084,622  

iA Financial Corp. Inc.

    85,940       4,728,697  

IGM Financial Inc.

    58,264       1,691,660  

Intact Financial Corp.

    143,774       21,399,652  

Magna International Inc.

    137,808       8,799,782  

Manulife Financial Corp.

    1,571,341       28,762,823  

Onex Corp.

    41,549       2,220,619  

Power Corp. of Canada

    393,216       10,685,968  

Sun Life Financial Inc.

    469,117       21,782,591  

TMX Group Ltd.

    41,480       4,256,028  

Toromont Industries Ltd.

    48,360       4,072,958  

Tourmaline Oil Corp.

    429,508       26,909,864  

West Fraser Timber Co. Ltd.

    32,579       3,050,171  
   

 

 

 
      259,074,386  
Denmark — 6.0%            

AP Moller - Maersk A/S, Class A

    2,125       5,692,822  

AP Moller - Maersk A/S, Class B, NVS

    3,593       9,810,087  

Chr Hansen Holding A/S

    36,216       2,370,439  

Coloplast A/S, Class B

    100,019       11,706,115  
Security   Shares     Value  
Denmark (continued)            

DSV A/S

    96,172     $ 16,205,069  

Novo Nordisk A/S, Class B

    1,404,947       163,639,450  

Novozymes A/S, Class B

    113,344       7,240,444  

Orsted A/S(b)

    81,623       9,502,274  

Pandora A/S

    88,140       6,548,071  

Rockwool A/S, Class B

    5,184       1,284,590  

Tryg A/S

    235,286       5,364,837  
   

 

 

 
      239,364,198  
Finland — 2.1%            

Elisa OYJ

    119,584       6,613,602  

Kesko OYJ, Class B

    107,215       2,651,766  

Kone OYJ, Class B

    308,446       14,096,424  

Neste OYJ

    776,777       39,942,870  

Orion OYJ, Class B

    70,184       3,350,408  

Sampo OYJ, Class A

    384,857       16,626,874  
   

 

 

 
      83,281,944  
France — 9.7%            

Amundi SA(b)

    38,574       2,094,368  

AXA SA

    1,285,153       29,613,150  

BioMerieux

    21,485       2,325,479  

Hermes International

    25,350       34,778,776  

Ipsen SA

    20,617       2,085,557  

Kering SA

    49,453       28,311,395  

La Francaise des Jeux SAEM(b)

    96,841       3,458,969  

L’Oreal SA

    112,785       42,639,195  

LVMH Moet Hennessy Louis Vuitton SE

    180,626       125,418,384  

Sartorius Stedim Biotech

    16,890       6,756,665  

TotalEnergies SE

    2,212,200       112,993,322  
   

 

 

 
      390,475,260  
Germany — 3.9%            

adidas AG

    86,970       15,045,068  

Allianz SE, Registered

    323,847       58,812,586  

Bechtle AG

    33,426       1,546,082  

Beiersdorf AG

    37,045       3,820,255  

Brenntag SE

    78,734       5,530,677  

Deutsche Boerse AG

    148,110       25,854,866  

Deutsche Post AG, Registered

    607,952       24,281,519  

Hannover Rueck SE

    44,087       6,253,610  

Henkel AG & Co. KGaA

    34,650       2,184,849  

Knorr-Bremse AG

    48,647       2,898,172  

Nemetschek SE

    29,159       1,952,095  

Rational AG

    3,481       2,426,414  

Rheinmetall AG

    23,842       4,372,076  
   

 

 

 
      154,978,269  
Hong Kong — 5.6%            

AIA Group Ltd.

    8,958,400       90,001,852  

Chow Tai Fook Jewellery Group Ltd.

    1,355,000       2,679,862  

CK Asset Holdings Ltd.

    1,061,500       7,515,130  

CK Infrastructure Holdings Ltd.

    362,500       2,273,155  

CLP Holdings Ltd.

    924,000       7,835,122  

Hang Seng Bank Ltd.

    527,500       8,508,900  

Henderson Land Development Co. Ltd.

    741,000       2,579,529  

HK Electric Investments & HK Electric Investments Ltd., Class SS

    1,231,500       1,113,855  

Hong Kong & China Gas Co. Ltd.

    5,524,370       5,834,465  

Hong Kong Exchanges & Clearing Ltd.

    1,322,800       60,703,866  

Power Assets Holdings Ltd.

    903,500       5,915,887  

Sino Land Co. Ltd.

    1,884,000       2,799,317  

SITC International Holdings Co. Ltd.

    1,147,000       3,905,450  

 

S C H E D U L E   O F   I N V E S T M E N T S

  19


Schedule of Investments  (continued)

July 31, 2022

  

iShares® MSCI Intl Quality Factor ETF

(Percentages shown are based on Net Assets)

 

Security   Shares     Value  
Hong Kong (continued)            

Sun Hung Kai Properties Ltd.

    795,500     $ 9,495,987  

Swire Properties Ltd.

    599,400       1,428,208  

Techtronic Industries Co. Ltd.

    866,500       9,615,222  

Xinyi Glass Holdings Ltd.

    1,463,000       2,885,523  
   

 

 

 
      225,091,330  
Ireland — 0.4%            

James Hardie Industries PLC

    280,900       6,937,305  

Kingspan Group PLC

    92,945       6,016,151  

Smurfit Kappa Group PLC

    79,559       2,883,807  
   

 

 

 
      15,837,263  
Israel — 0.6%            

Azrieli Group Ltd.

    18,585       1,489,717  

Bank Hapoalim BM

    750,422       6,993,936  

Bank Leumi Le-Israel BM

    985,441       9,582,043  

Check Point Software Technologies Ltd.(a)

    60,976       7,597,609  
   

 

 

 
      25,663,305  
Italy — 2.5%            

Assicurazioni Generali SpA

    687,600       10,279,376  

DiaSorin SpA

    11,405       1,585,779  

Enel SpA

    3,635,873       18,329,396  

Ferrari NV

    107,181       22,761,196  

FinecoBank Banca Fineco SpA

    521,828       6,485,260  

Moncler SpA

    120,302       6,030,603  

Recordati Industria Chimica e Farmaceutica SpA

    62,903       2,789,704  

Snam SpA

    1,126,681       5,653,158  

Stellantis NV

    1,832,735       26,318,537  
   

 

 

 
      100,233,009  
Japan — 12.9%            

Advantest Corp.

    115,300       6,857,696  

Bandai Namco Holdings Inc.

    121,000       9,452,811  

Capcom Co. Ltd.

    162,200       4,508,759  

Chugai Pharmaceutical Co. Ltd.

    441,500       12,402,964  

CyberAgent Inc.

    406,900       4,060,211  

Daifuku Co. Ltd.

    50,500       3,220,209  

Daito Trust Construction Co. Ltd.

    58,100       5,508,029  

Daiwa House Industry Co. Ltd.

    367,400       9,077,745  

Disco Corp.

    14,200       3,469,482  

Hakuhodo DY Holdings Inc.

    142,500       1,465,705  

Hoya Corp.

    209,200       20,960,090  

Idemitsu Kosan Co. Ltd.

    224,300       5,832,877  

Itochu Techno-Solutions Corp.

    39,300       1,053,228  

Japan Exchange Group Inc.

    455,400       7,241,193  

Japan Real Estate Investment Corp.

    603       2,911,864  

Japan Tobacco Inc.

    398,600       7,157,107  

Kakaku.com Inc.

    135,100       2,646,155  

Kao Corp.

    159,700       6,946,055  

KDDI Corp.

    1,054,400       33,806,508  

Kikkoman Corp.

    56,500       3,350,151  

Kobayashi Pharmaceutical Co. Ltd.

    19,500       1,299,088  

Kobe Bussan Co. Ltd.

    83,500       2,380,180  

Koei Tecmo Holdings Co. Ltd.

    38,490       1,343,699  

Koito Manufacturing Co. Ltd.

    51,200       1,683,031  

Konami Group Corp.

    61,300       3,623,163  

Lasertec Corp.

    52,800       7,559,379  

M3 Inc.

    220,700       7,689,168  

Makita Corp.

    114,100       2,788,427  

McDonald’s Holdings Co. Japan Ltd.

    53,900       2,023,160  

MEIJI Holdings Co. Ltd.

    42,600       2,224,146  

MISUMI Group Inc.

    167,400       4,164,627  
Security   Shares     Value  
Japan (continued)            

MonotaRO Co. Ltd.

    218,000     $ 3,892,463  

MS&AD Insurance Group Holdings Inc.

    350,000       11,350,968  

Nexon Co. Ltd.

    316,900       7,194,296  

Nihon M&A Center Holdings Inc.

    237,900       3,183,586  

Nintendo Co. Ltd.

    100,100       44,762,022  

Nippon Building Fund Inc.

    709       3,761,065  

Nippon Prologis REIT Inc.

    1,035       2,691,524  

Nippon Telegraph & Telephone Corp.

    640,800       18,304,656  

Nissan Chemical Corp.

    67,800       3,466,826  

Nitori Holdings Co. Ltd.

    47,600       5,036,012  

Nitto Denko Corp.

    50,500       3,251,961  

Nomura Research Institute Ltd.

    129,900       3,902,754  

Obic Co. Ltd.

    29,100       4,652,206  

Open House Group Co. Ltd.

    46,400       2,024,210  

Oracle Corp. Japan

    30,000       1,871,046  

Osaka Gas Co. Ltd.

    189,500       3,406,849  

Otsuka Corp.

    44,500       1,387,763  

Recruit Holdings Co. Ltd.

    861,400       32,193,129  

SCSK Corp.

    56,900       1,002,023  

Secom Co. Ltd.

    103,400       6,906,093  

Sekisui Chemical Co. Ltd.

    181,300       2,550,793  

Sekisui House Ltd.

    299,500       5,304,563  

SG Holdings Co. Ltd.

    190,600       3,637,512  

Shimadzu Corp.

    92,000       3,273,261  

Shimano Inc.

    51,000       8,519,357  

Shin-Etsu Chemical Co. Ltd.

    154,000       19,726,512  

SMC Corp.

    32,000       15,770,760  

Sompo Holdings Inc.

    265,800       11,862,975  

Square Enix Holdings Co. Ltd.

    68,500       3,178,386  

T&D Holdings Inc.

    394,700       4,467,230  

Tokio Marine Holdings Inc.

    494,300       28,936,282  

Tokyo Electron Ltd.

    99,700       34,316,086  

Tosoh Corp.

    108,700       1,416,926  

Trend Micro Inc/Japan

    54,200       3,149,790  

Unicharm Corp.

    161,000       5,831,780  

USS Co. Ltd.

    136,300       2,674,549  

Welcia Holdings Co. Ltd.

    39,700       886,696  

Yamaha Corp.

    76,000       3,241,708  

Yamaha Motor Co. Ltd.

    148,000       2,858,935  

ZOZO Inc.

    125,600       2,713,171  
   

 

 

 
      517,265,631  
Netherlands — 5.9%            

Adyen NV(a)(b)

    12,304       22,132,088  

ASM International NV

    24,351       7,479,937  

ASML Holding NV

    279,041       160,381,013  

Euronext NV(b)

    59,109       4,816,116  

NN Group NV

    184,192       8,642,730  

Randstad NV

    66,863       3,379,455  

Universal Music Group NV

    510,575       11,557,630  

Wolters Kluwer NV

    174,801       18,983,784  
   

 

 

 
      237,372,753  
New Zealand — 0.3%            

Fisher & Paykel Healthcare Corp. Ltd.

    447,273       5,981,214  

Mercury NZ Ltd.

    341,181       1,304,989  

Meridian Energy Ltd.

    679,679       2,132,999  

Spark New Zealand Ltd.

    1,424,282       4,579,885  
   

 

 

 
      13,999,087  
Norway — 1.4%            

Aker BP ASA

    227,996       7,922,028  

 

20  

2 0 2 2   I S H A R E S   A N N U A L   R E P O R T   T O   S H A R E H O L D E R S


Schedule of Investments  (continued)

July 31, 2022

  

iShares® MSCI Intl Quality Factor ETF

(Percentages shown are based on Net Assets)

 

Security   Shares     Value  
Norway (continued)            

Equinor ASA

    997,854     $ 38,421,254  

Gjensidige Forsikring ASA

    220,949       4,621,314  

Mowi ASA

    130,525       3,011,876  

Orkla ASA

    249,707       2,155,539  

Salmar ASA

    24,340       1,743,443  
   

 

 

 
      57,875,454  
Singapore — 0.8%            

Ascendas Real Estate Investment Trust

    1,663,500       3,580,615  

Oversea-Chinese Banking Corp. Ltd.

    2,275,400       19,283,326  

Singapore Exchange Ltd.

    958,800       6,873,245  

Singapore Technologies Engineering Ltd.

    1,034,600       3,016,645  
   

 

 

 
      32,753,831  
Spain — 1.5%            

EDP Renovaveis SA

    138,256       3,595,939  

Enagas SA

    30,251       597,114  

Endesa SA

    291,694       5,346,582  

Iberdrola SA

    3,002,342       32,060,429  

Iberdrola SA, NVS

    83,398       889,025  

Industria de Diseno Textil SA

    683,597       16,602,489  

Red Electrica Corp. SA

    120,954       2,378,002  
   

 

 

 
      61,469,580  
Sweden — 3.8%            

Alfa Laval AB

    160,371       4,795,383  

Assa Abloy AB, Class B

    556,983       13,159,292  

Atlas Copco AB, Class A

    2,090,860       24,440,814  

Atlas Copco AB, Class B

    1,210,713       12,576,509  

Boliden AB

    122,733       4,101,598  

Electrolux AB, Class B

    144,994       2,091,367  

Epiroc AB, Class A

    500,445       8,848,711  

Epiroc AB, Class B

    301,682       4,791,790  

EQT AB

    317,766       8,625,216  

Evolution AB(b)

    129,024       12,519,299  

Husqvarna AB, Class B

    231,426       1,844,403  

Indutrade AB

    168,316       3,956,024  

Investment AB Latour, Class B

    72,547       1,805,066  

Kinnevik AB, Class B(a)

    185,981       3,349,866  

Lifco AB, Class B

    147,902       2,879,060  

Nibe Industrier AB, Class B

    820,770       8,268,523  

Sagax AB, Class B

    140,196       3,613,144  

Sandvik AB

    609,864       11,237,463  

SKF AB, Class B

    214,897       3,616,596  

Volvo AB, Class A

    108,993       2,030,924  

Volvo AB, Class B

    813,820       14,611,343  
   

 

 

 
      153,162,391  
Switzerland — 13.3%            

ABB Ltd., Registered

    923,509       28,074,304  

Baloise Holding AG, Registered

    31,344       4,994,010  

EMS-Chemie Holding AG, Registered

    4,989       3,961,688  

Geberit AG, Registered

    34,142       17,981,794  

Givaudan SA, Registered

    3,338       11,668,168  

Kuehne + Nagel International AG, Registered

    46,040       12,399,554  

Logitech International SA, Registered

    112,295       6,317,960  

Nestle SA, Registered

    1,164,290       142,657,278  

Partners Group Holding AG

    28,000       30,568,886  

Roche Holding AG, Bearer

    17,582       7,167,559  

Roche Holding AG, NVS

    458,161       152,111,521  

Schindler Holding AG, Participation Certificates, NVS

    27,773       5,428,478  

Schindler Holding AG, Registered

    15,611       2,964,322  

Sonova Holding AG, Registered

    28,332       10,204,670  
Security   Shares     Value  
Switzerland (continued)            

Straumann Holding AG

    68,148     $ 9,217,050  

Swiss Re AG

    218,051       16,361,849  

Swisscom AG, Registered

    15,679       8,476,653  

Temenos AG, Registered

    29,102       2,309,899  

VAT Group AG(b)

    23,198       6,754,593  

Zurich Insurance Group AG

    121,937       53,228,955  
   

 

 

 
      532,849,191  
United Kingdom — 14.1%            

abrdn PLC

    1,404,053       2,846,608  

Admiral Group PLC

    219,915       5,139,761  

Anglo American PLC

    751,036       27,146,083  

Ashtead Group PLC

    249,403       14,038,822  

Auto Trader Group PLC(b)

    1,120,072       8,635,210  

Aviva PLC

    1,959,570       9,489,852  

BAE Systems PLC

    1,776,471       16,696,586  

Barratt Developments PLC

    566,418       3,473,103  

Berkeley Group Holdings PLC

    70,202       3,638,110  

British Land Co. PLC (The)

    435,662       2,619,521  

Bunzl PLC

    198,555       7,451,898  

Burberry Group PLC

    279,754       6,149,988  

Croda International PLC

    59,729       5,462,217  

Diageo PLC

    1,053,340       49,898,671  

Experian PLC

    578,004       20,237,223  

Ferguson PLC

    190,852       24,008,932  

GSK PLC

    2,462,744       51,742,751  

Haleon PLC(a)

    3,078,431       10,939,328  

Halma PLC

    166,308       4,683,712  

Hargreaves Lansdown PLC

    474,939       4,916,931  

Hikma Pharmaceuticals PLC

    82,523       1,744,288  

Imperial Brands PLC

    465,796       10,227,171  

Intertek Group PLC

    110,430       5,901,953  

JD Sports Fashion PLC

    1,394,854       2,215,533  

Johnson Matthey PLC

    78,145       2,043,061  

London Stock Exchange Group PLC

    226,387       22,093,713  

Mondi PLC

    190,767       3,620,226  

National Grid PLC

    1,620,983       22,320,277  

Next PLC

    88,858       7,397,588  

Persimmon PLC

    250,054       5,767,798  

Prudential PLC

    2,040,748       25,171,373  

Reckitt Benckiser Group PLC

    323,456       26,237,047  

RELX PLC

    1,319,661       39,074,424  

Rentokil Initial PLC

    1,044,050       6,893,819  

Sage Group PLC (The)

    428,102       3,689,431  

Schroders PLC

    104,366       3,785,532  

Segro PLC

    620,526       8,301,384  

Spirax-Sarco Engineering PLC

    52,063       7,596,457  

St. James’s Place PLC

    531,811       7,988,369  

Taylor Wimpey PLC

    1,986,402       3,091,792  

Unilever PLC

    1,359,675       66,220,098  

WPP PLC

    704,057       7,598,453  
   

 

 

 
      568,195,094  
   

 

 

 

Total Common Stocks — 99.4%
(Cost: $3,970,272,179)

      3,997,783,754  
   

 

 

 

 

S C H E D U L E   O F   I N V E S T M E N T S

  21


Schedule of Investments  (continued)

July 31, 2022

  

iShares® MSCI Intl Quality Factor ETF

    (Percentages shown are based on Net Assets)

 

Security   Shares     Value  

Preferred Stocks

   
Germany — 0.1%            

Henkel AG & Co. KGaA, Preference Shares, NVS

    56,906     $ 3,635,343  
   

 

 

 

Total Preferred Stocks — 0.1%
(Cost: $5,370,562)

 

    3,635,343  
   

 

 

 

Total Long-Term Investments — 99.5%
(Cost: $3,975,642,741)

 

    4,001,419,097  
   

 

 

 

Short-Term Securities

   
Money Market Funds — 0.0%            

BlackRock Cash Funds: Treasury, SL Agency Shares, 1.81%(c)(d)

    910,000       910,000  
   

 

 

 

Total Short-Term Securities — 0.0%
(Cost: $910,000)

 

    910,000  
   

 

 

 

Total Investments in Securities — 99.5%
(Cost: $3,976,552,741)

 

    4,002,329,097  

Other Assets Less Liabilities — 0.5%

      19,547,811  
   

 

 

 

Net Assets — 100.0%

    $   4,021,876,908  
   

 

 

 

 

(a) 

Non-income producing security.

(b) 

Security exempt from registration pursuant to Rule 144A under the Securities Act of 1933, as amended. These securities may be resold in transactions exempt from registration to qualified institutional investors.

(c) 

Affiliate of the Fund.

(d) 

Annualized 7-day yield as of period end.

Affiliates

Investments in issuers considered to be affiliate(s) of the Fund during the year ended July 31, 2022 for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows:

 

 

 
Affiliated Issuer   Value at
07/31/21
    Purchases
at Cost
    Proceeds
from Sale
    Net Realized
Gain (Loss)
    Change in
Unrealized
Appreciation
(Depreciation)
    Value at
07/31/22
    Shares
Held at
07/31/22
    Income    

Capital

Gain
Distributions
from
Underlying
Funds

 

 

 

BlackRock Cash Funds: Institutional, SL Agency Shares(a)

  $     $ 6,850 (b)    $     $ (6,850   $     $           $ 73,094 (c)    $       —  

BlackRock Cash Funds: Treasury, SL Agency Shares

    1,880,000             (970,000 )(b)                  910,000       910,000       9,324             —  
       

 

 

   

 

 

   

 

 

     

 

 

   

 

 

 
        $ (6,850   $     $ 910,000       $ 82,418     $       —  
       

 

 

   

 

 

   

 

 

     

 

 

   

 

 

 

 

  (a) 

As of period end, the entity is no longer held.

 
  (b) 

Represents net amount purchased (sold).

 
  (c) 

All or a portion represents securities lending income earned from the reinvestment of cash collateral from loaned securities, net of fees and collateral investment expenses, and other payments to and from borrowers of securities.

 

Derivative Financial Instruments Outstanding as of Period End

Futures Contracts

 

Description    Number of
Contracts
       Expiration
Date
       Notional
Amount
(000)
       Value/
Unrealized
Appreciation
(Depreciation)
 

Long Contracts

                 

TOPIX Index

     27          09/08/22        $ 3,923        $ (8,124

SPI 200 Index

     31          09/15/22          3,710          191,161  

Euro STOXX 50 Index

     194          09/16/22          7,323          444,986  

FTSE 100 Index

     54          09/16/22          4,848          148,035  
                 

 

 

 
                  $ 776,058  
                 

 

 

 

 

 

22  

2 0 2 2   I S H A R E S   A N N U A L   R E P O R T   T O   S H A R E H O L D E R S


Schedule of Investments  (continued)

July 31, 2022

  

iShares® MSCI Intl Quality Factor ETF

 

Derivative Financial Instruments Categorized by Risk Exposure

As of period end, the fair values of derivative financial instruments located in the Statements of Assets and Liabilities were as follows:

 

      Commodity
Contracts
     Credit
Contracts
     Equity
Contracts
     Foreign
Currency
Exchange
Contracts
     Interest
Rate
Contracts
     Other
Contracts
     Total  

Assets — Derivative Financial Instruments

 

           

Futures contracts

                    

Unrealized appreciation on futures contracts(a)

   $      $      $ 784,182      $      $      $      $ 784,182  
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Liabilities — Derivative Financial Instruments

 

           

Futures contracts

                    

Unrealized depreciation on futures contracts(a)

   $      $      $ 8,124      $      $      $      $ 8,124  
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

 

  (a)

Net cumulative unrealized appreciation (depreciation) on futures contracts are reported in the Schedule of Investments. In the Statements of Assets and Liabilities, only current day’s variation margin is reported in receivables or payables and the net cumulative unrealized appreciation (depreciation) is included in accumulated earnings (loss).

 

For the period ended July 31, 2022, the effect of derivative financial instruments in the Statements of Operations was as follows:

 

     Commodity
Contracts
     Credit
Contracts
     Equity
Contracts
     Foreign
Currency
Exchange
Contracts
     Interest
Rate
Contracts
     Other
Contracts
     Total  

Net Realized Gain (Loss) from

                   

Futures contracts

  $      $      $ (667,563    $      $      $      $ (667,563
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Net Change in Unrealized Appreciation (Depreciation) on

 

Futures contracts

  $      $      $ 900,055      $      $      $      $ 900,055  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Average Quarterly Balances of Outstanding Derivative Financial Instruments

 

Futures contracts

        

Average notional value of contracts — long

   $ 21,339,848  

For more information about the Fund’s investment risks regarding derivative financial instruments, refer to the Notes to Financial Statements.

Fair Value Hierarchy as of Period End

Various inputs are used in determining the fair value of financial instruments. For a description of the input levels and information about the Fund’s policy regarding valuation of financial instruments, refer to the Notes to Financial Statements.

The following table summarizes the Fund’s financial instruments categorized in the fair value hierarchy. The breakdown of the Fund’s financial instruments into major categories is disclosed in the Schedule of Investments above.

 

      Level 1        Level 2        Level 3        Total  

Investments

                 

Assets

                 

Common Stocks

   $ 278,725,178        $ 3,719,058,576        $        $ 3,997,783,754  

Preferred Stocks

              3,635,343                   3,635,343  

Money Market Funds

     910,000                            910,000  
  

 

 

      

 

 

      

 

 

      

 

 

 
   $ 279,635,178        $ 3,722,693,919        $        $ 4,002,329,097  
  

 

 

      

 

 

      

 

 

      

 

 

 

Derivative financial instruments(a)

                 

Assets

                 

Futures Contracts

   $        $ 784,182        $        $ 784,182  

Liabilities

                 

Futures Contracts

              (8,124                 (8,124
  

 

 

      

 

 

      

 

 

      

 

 

 
   $        $ 776,058        $        $ 776,058  
  

 

 

      

 

 

      

 

 

      

 

 

 

 

  (a) 

Derivative financial instruments are futures contracts. Futures contracts are valued at the unrealized appreciation (depreciation) on the instrument.

 

See notes to financial statements.

 

 

S C H E D U L E   O F   I N V E S T M E N T S

  23


Schedule of Investments

July 31, 2022

  

iShares® MSCI Intl Size Factor ETF

(Percentages shown are based on Net Assets)

 

Security   Shares     Value  

Common Stocks

   
Australia — 6.8%            

Ampol Ltd.

    742     $ 17,579  

APA Group

    2,146       17,596  

Aristocrat Leisure Ltd.

    708       17,663  

ASX Ltd.

    312       19,392  

Aurizon Holdings Ltd.

    6,282       17,780  

Australia & New Zealand Banking Group Ltd.

    891       14,400  

Australia & New Zealand Banking Group Ltd., New

    59       944  

BHP Group Ltd.

    478       13,081  

BlueScope Steel Ltd.

    1,359       15,963  

Brambles Ltd.

    2,224       17,900  

Cochlear Ltd.

    117       17,635  

Coles Group Ltd.

    1,512       19,914  

Commonwealth Bank of Australia

    216       15,340  

Computershare Ltd.

    1,050       18,550  

CSL Ltd.

    81       16,493  

Dexus

    2,301       15,463  

Domino’s Pizza Enterprises Ltd.

    367       18,765  

Endeavour Group Ltd./Australia

    3,214       17,907  

Evolution Mining Ltd.

    6,948       12,835  

Fortescue Metals Group Ltd.

    1,206       15,519  

Glencore PLC

    2,583       14,640  

Goodman Group

    1,232       18,030  

GPT Group (The)

    4,938       15,886  

IDP Education Ltd.

    1,026           20,643  

Insurance Australia Group Ltd.

    5,736       18,049  

Lendlease Corp. Ltd.

    2,586       18,735  

Lottery Corp. Ltd. (The)(a)

    5,757       18,262  

Macquarie Group Ltd.

    132       16,894  

Medibank Pvt Ltd.

    8,532       20,515  

Mineral Resources Ltd.

    423       16,118  

Mirvac Group

    11,597       17,569  

National Australia Bank Ltd.

    742       16,025  

Newcrest Mining Ltd.

    978       13,180  

Northern Star Resources Ltd.

    2,697       14,822  

Orica Ltd.

    1,623       19,236  

Origin Energy Ltd.

    3,621       15,202  

Qantas Airways Ltd.(a)

    5,022       16,183  

QBE Insurance Group Ltd.

    1,966       15,896  

Ramsay Health Care Ltd.

    312       15,413  

REA Group Ltd.

    180       15,880  

Reece Ltd.

    1,311       14,159  

Rio Tinto Ltd.

    199       13,788  

Rio Tinto PLC

    276       16,662  

Santos Ltd.

    2,941       15,288  

Scentre Group

    8,166       16,734  

SEEK Ltd.

    834       13,508  

Sonic Healthcare Ltd.

    729       17,555  

South32 Ltd.

    5,248       14,304  

Stockland

    6,453       17,486  

Suncorp Group Ltd.

    2,056       16,237  

Telstra Corp. Ltd.

    6,852       18,727  

Transurban Group

    1,845       18,859  

Treasury Wine Estates Ltd.

    2,433       20,972  

Vicinity Centres

    13,722       20,078  

Washington H Soul Pattinson & Co. Ltd.

    891       16,131  

Wesfarmers Ltd.

    465       15,236  

Westpac Banking Corp.

    984       14,901  

WiseTech Global Ltd.

    561       19,868  
Security   Shares     Value  
Australia (continued)            

Woodside Energy Group Ltd.

    1,299     $ 29,332  

Woolworths Group Ltd.

    666       17,522  
   

 

 

 
          1,005,244  
Austria — 0.4%            

Erste Group Bank AG

    549       13,919  

OMV AG

    309       13,160  

Verbund AG

    207       22,763  

voestalpine AG

    519       11,686  
   

 

 

 
      61,528  
Belgium — 1.3%            

Ageas SA/NV

    399       17,414  

Anheuser-Busch InBev SA/NV

    312       16,713  

D’ieteren Group

    99       16,248  

Elia Group SA/NV

    114       17,307  

Groupe Bruxelles Lambert SA

    192       16,995  

KBC Group NV

    261       13,670  

Proximus SADP

    1,023       14,176  

Sofina SA

    72       16,862  

Solvay SA

    174       15,283  

UCB SA

    180       14,065  

Umicore SA

    447       16,191  

Warehouses De Pauw CVA

    384       13,054  
   

 

 

 
      187,978  
Canada — 9.9%            

Agnico Eagle Mines Ltd.

    313       13,458  

Air Canada(a)

    1,149       15,604  

Algonquin Power & Utilities Corp.

    1,443       20,182  

Alimentation Couche-Tard Inc.

    372       16,620  

AltaGas Ltd.

    772       17,200  

ARC Resources Ltd.

    300       4,208  

Bank of Montreal

    180       17,944  

Bank of Nova Scotia (The)

    255       15,534  

Barrick Gold Corp.

    802       12,639  

Bausch Health Companies Inc.(a)

    1,668       7,685  

BCE Inc.

    313       15,814  

BlackBerry Ltd.(a)

    2,865       17,608  

Brookfield Asset Management Inc., Class A

    343       17,019  

Brookfield Renewable Corp., Class A

    495       19,366  

BRP Inc.

    207       15,745  

CAE Inc.(a)

    672       17,779  

Cameco Corp.

    813       20,938  

Canadian Apartment Properties REIT

    444       16,820  

Canadian Imperial Bank of Commerce

    300       15,176  

Canadian National Railway Co.

    153       19,383  

Canadian Natural Resources Ltd.

    261       14,412  

Canadian Pacific Railway Ltd.

    255       20,106  

Canadian Tire Corp. Ltd., Class A, NVS

    156       20,041  

Canadian Utilities Ltd., Class A, NVS

    522       16,897  

CCL Industries Inc., Class B, NVS

    390       19,592  

Cenovus Energy Inc.

    781       14,881  

CGI Inc.(a)

    243       20,836  

Constellation Software Inc.

    12       20,413  

Dollarama Inc.

    334       20,243  

Emera Inc.

    315       14,934  

Empire Co. Ltd., Class A, NVS

    555       16,842  

Enbridge Inc.

    444       19,940  

Fairfax Financial Holdings Ltd.

    31       16,699  

First Quantum Minerals Ltd.

    598       10,927  

FirstService Corp.

    117       15,652  

 

24  

2 0 2 2   I S H A R E S   A N N U A L   R E P O R T   T O   S H A R E H O L D E R S


Schedule of Investments  (continued)

July 31, 2022

  

iShares® MSCI Intl Size Factor ETF

(Percentages shown are based on Net Assets)

 

Security   Shares     Value  
Canada (continued)            

Fortis Inc.

    342     $ 16,155  

Franco-Nevada Corp.

    129       16,518  

George Weston Ltd.

    159       18,977  

GFL Environmental Inc.

    507       14,032  

Gildan Activewear Inc.

    513       15,035  

Great-West Lifeco Inc.

    588       14,290  

Hydro One Ltd.(b)

    627       17,504  

iA Financial Corp. Inc.

    324       17,828  

IGM Financial Inc.

    617       17,914  

Imperial Oil Ltd.

    327       15,671  

Intact Financial Corp.

    123       18,308  

Ivanhoe Mines Ltd., Class A(a)

    2,349       14,602  

Keyera Corp.

    684       17,728  

Kinross Gold Corp.

    3,013       10,329  

Lightspeed Commerce Inc.(a)

    816       17,511  

Loblaw Companies Ltd.

    195       17,751  

Lundin Mining Corp.

    2,200       12,404  

Magna International Inc.

    234       14,942  

Manulife Financial Corp.

    969       17,737  

Metro Inc.

    325       17,997  

National Bank of Canada

    243       17,050  

Northland Power Inc.

    597       19,571  

Nutrien Ltd.

    160       13,697  

Nuvei Corp.(a)(b)