ETF Factor Scores through May, 2025
| Ticker | Fund Name | Fund Score | Mkt Beta Score | Small Factor Score | Value Factor Score | Profitability Factor Score | Investment Factor Score | Momentum Factor Score | Alpha % | Factor Beta % (backtested simulation) | Fund Sharpe / Market Sharpe (backtested simulation) | Fund Sharpe / Market Sharpe (fund lifetime, actual) | Analysis Period | Start Date | Score Quality (Adj. R^2) | Relative Dividend Valuation (100 = median) |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| VFMO | Vanguard U.S. Momentum Factor ETF | 100 | 100 | 47.00 | 19.45 | No Score | No Score | 100 | 1.55 | 2.98 | 1.39 | 0.81 | 7.25Y 87M | 2018-Mar | 0.96 | 100.19 |
| FLRG | Fidelity U.S. Multifactor ETF | 91.82 | 83.94 | No Score | No Score | 95.05 | No Score | 26.08 | -1.11 | 2.14 | 1.16 | 1.25 | 4.67Y 56M | 2020-Oct | 0.95 | 105.38 |
| VTV | Vanguard Value ETF | 89.93 | 84.67 | No Score | 60.83 | No Score | 100.00 | No Score | -0.59 | 1.48 | 1.13 | 0.86 | 21.33Y 256M | 2004-Feb | 0.96 | 113.11 |
| VIOO | Vanguard S&P Small-Cap 600 ETF | 89.01 | 91.16 | 85.29 | 43.57 | 52.36 | No Score | 16.46 | -0.52 | 2.97 | 1.12 | 0.57 | 14.67Y 176M | 2010-Oct | 0.98 | 107.62 |
| VFMF | Vanguard U.S. Multifactor ETF | 87.55 | 89.15 | 40.71 | 69.37 | 50.66 | No Score | 39.55 | -0.97 | 3.52 | 1.10 | 0.62 | 7.25Y 87M | 2018-Mar | 0.97 | 98.13 |
| DFSV | Dimensional US Small Cap Value ETF | 85.82 | 96.06 | 82.15 | 92.38 | 100 | No Score | No Score | 0.17 | 3.65 | 1.08 | 0.02 | 3.25Y 39M | 2022-Mar | 0.98 | 87.99 |
| AVLV | Avantis U.S. Large Cap Value ETF | 84.49 | 95.12 | No Score | 61.10 | No Score | No Score | No Score | -0.66 | 2.10 | 1.07 | 1.01 | 3.67Y 44M | 2021-Oct | 0.95 | 104.03 |
| AVSC | Avantis U.S Small Cap Equity ETF | 83.18 | 91.89 | 100 | 51.13 | 65.71 | No Score | No Score | 0.16 | 3.33 | 1.05 | -0.15 | 3.33Y 40M | 2022-Feb | 0.99 | 102.25 |
| FYC | First Trust Small Cap Growth AlphaDEX Fund | 80.79 | 98.17 | 93.27 | No Score | No Score | No Score | 65.00 | -1.00 | 2.66 | 1.02 | 0.53 | 14.08Y 169M | 2011-May | 0.96 | 35.20 |
| VBR | Vanguard Small Cap Value ETF | 80.53 | 93.56 | 56.99 | 64.32 | 37.60 | No Score | No Score | -0.64 | 2.24 | 1.02 | 0.64 | 21.33Y 256M | 2004-Feb | 0.98 | 90.87 |
| AVUV | Avantis U.S. Small Cap Value ETF | 80.39 | 99.35 | 85.48 | 100 | 99.94 | No Score | No Score | 0.61 | 3.88 | 1.01 | 0.54 | 5.67Y 68M | 2019-Oct | 0.98 | 96.49 |
| DFAS | Dimensional U.S. Small Cap ETF | 79.61 | 93.87 | 79.06 | 51.13 | 74.41 | No Score | No Score | -0.94 | 2.99 | 1.00 | -0.09 | 3.92Y 47M | 2021-Jul | 0.99 | 104.15 |
Table Guide
Filter steps / Column Guide
- 4048 us-listed ETF fund universe
- 2140 current funds with at least 24 months of total return data
- $100M+ AUM
- Score Quality (regression R-squared) greater than 0.95
- market beta between 0.75 and 1.25 (are long equity funds)
- Fund Sharpe / Market Sharpe (backtested simulation) greater than 1.0 (risk-adjusted returns superior to market)
- Yielding at least 0.5% as a proxy for directly-held equities
- Backtested Factor Beta % contribution equal to at least 100 bps to ensure expected long-term factor capture is meaningful
- Not more than 15% overvalued on the basis of historical relative dividend yield
Please contact us with questions or if you’d like to see the code backing this analysis.
