ETF Factor Scores through April, 2024
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) |
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
DFAT | Dimensional U.S. Targeted Value ETF | 100.00 | 97.87 | 85.96 | 81.52 | 72.96 | No Score | No Score | 2.60 | 3.45 | 1.46 | 1.24 | 2.83Y 34M | 2021-Jul | 0.98 | 104.69 |
DUHP | Dimensional US High Profitability ETF | 97.55 | 98.37 | No Score | No Score | 94.20 | 95.18 | No Score | 0.74 | 2.63 | 1.30 | 1.68 | 2.17Y 26M | 2022-Mar | 0.98 | 99.91 |
DGRO | iShares Core Dividend Growth ETF | 96.55 | 87.25 | No Score | 18.74 | 69.32 | 91.36 | No Score | -0.46 | 2.04 | 1.28 | 1.04 | 9.83Y 118M | 2014-Jul | 0.96 | 96.85 |
DFSV | Dimensional US Small Cap Value ETF | 96.28 | 98.20 | 81.80 | 98.95 | 76.09 | No Score | No Score | 2.73 | 3.36 | 1.28 | 0.48 | 2.17Y 26M | 2022-Mar | 0.98 | 95.28 |
VIOG | Vanguard S&P Small-Cap 600 Growth ETF | 93.88 | 95.70 | 91.03 | 12.00 | 45.90 | No Score | 100.00 | -0.16 | 3.01 | 1.25 | 0.71 | 13.58Y 163M | 2010-Oct | 0.96 | 79.46 |
VIOO | Vanguard S&P Small-Cap 600 ETF | 91.47 | 95.62 | 93.18 | 36.58 | 43.01 | No Score | 39.77 | -0.13 | 3.11 | 1.22 | 0.64 | 13.58Y 163M | 2010-Oct | 0.98 | 84.24 |
AVSC | Avantis U.S Small Cap Equity ETF | 89.34 | 95.94 | 100.00 | 53.28 | No Score | No Score | No Score | 1.49 | 3.28 | 1.19 | -0.11 | 2.25Y 27M | 2022-Feb | 0.99 | 94.60 |
AVUV | Avantis U.S. Small Cap Value ETF | 89.21 | 100.00 | 89.20 | 100.00 | 76.18 | No Score | No Score | 2.80 | 3.87 | 1.19 | 0.75 | 4.58Y 55M | 2019-Oct | 0.98 | 96.51 |
SLYV | SPDR S&P 600 Small Cap Value ETF | 84.48 | 95.27 | 85.50 | 62.68 | 85.49 | 46.62 | No Score | -0.96 | 3.75 | 1.12 | 1.08 | 23.50Y 282M | 2000-Nov | 0.96 | 97.90 |
VIOV | Vanguard S&P Small-Cap 600 Value ETF | 83.03 | 96.34 | 95.03 | 58.51 | 36.15 | No Score | No Score | -0.19 | 2.91 | 1.10 | 0.55 | 13.58Y 163M | 2010-Oct | 0.98 | 65.36 |
CSB | VictoryShares US Small Cap High Dividend Volatility Wtd ETF | 81.37 | 81.11 | 83.67 | 51.72 | 100.00 | No Score | No Score | -0.45 | 3.55 | 1.08 | 0.56 | 8.75Y 105M | 2015-Aug | 0.95 | 100.00 |
DSTL | Distillate US Fundamental Stability & Value ETF | 80.41 | 90.52 | No Score | No Score | 75.16 | 100.00 | No Score | 1.08 | 1.01 | 1.07 | 1.22 | 5.50Y 66M | 2018-Nov | 0.95 | 99.63 |
IJT | iShares S&P Small-Cap 600 Growth ETF | 80.33 | 98.99 | 82.34 | No Score | No Score | No Score | 80.05 | -0.36 | 2.18 | 1.07 | 1.00 | 23.75Y 285M | 2000-Aug | 0.95 | 78.41 |
VBR | Vanguard Small Cap Value ETF | 80.15 | 98.26 | 63.72 | 54.85 | 35.66 | No Score | No Score | -0.44 | 2.38 | 1.07 | 0.69 | 20.25Y 243M | 2004-Feb | 0.98 | 85.94 |
IMCV | iShares Morningstar Mid-Cap Value ETF | 78.68 | 95.97 | 25.45 | 58.00 | 40.87 | 65.28 | No Score | -0.52 | 1.92 | 1.05 | 0.74 | 19.75Y 237M | 2004-Aug | 0.96 | 98.77 |
IJR | iShares Core S&P Small Cap ETF | 76.18 | 96.57 | 87.68 | 32.70 | 42.88 | No Score | No Score | -0.98 | 2.64 | 1.01 | 1.02 | 23.92Y 287M | 2000-Jun | 0.97 | 86.78 |
SPSM | SPDR Portfolio S&P 600 Small Cap ETF | 76.00 | 95.84 | 92.06 | 31.46 | No Score | No Score | 40.23 | -0.89 | 2.65 | 1.01 | 0.49 | 10.75Y 129M | 2013-Aug | 0.98 | 94.92 |
Table Guide
Filter steps / Column Guide
- 3383 us-listed ETF fund universe
- 1968 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
- 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
Please contact us with questions or if you’d like to see the code backing this analysis.