ETF Factor Scores through April, 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) |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| FNDX | Schwab Fundamental U.S. Large Company ETF | 100 | 92.34 | No Score | 58.01 | 32.79 | 100 | No Score | -0.21 | 1.69 | 1.24 | 0.89 | 11.67Y 140M | 2013-Sep | 0.98 | 98.47 |
| FNDB | Schwab Fundamental U.S. Broad Market ETF | 98.77 | 93.17 | 8.86 | 58.22 | 28.45 | 93.68 | No Score | -0.22 | 1.66 | 1.21 | 0.85 | 11.67Y 140M | 2013-Sep | 0.98 | 101.60 |
| VTV | Vanguard Value ETF | 94.27 | 88.01 | No Score | 86.27 | No Score | 69.66 | No Score | -0.54 | 1.53 | 1.16 | 0.87 | 21.25Y 255M | 2004-Feb | 0.96 | 109.53 |
| CSB | VictoryShares US Small Cap High Dividend Volatility Wtd ETF | 91.62 | 80.02 | 82.22 | 96.32 | 100 | No Score | No Score | 0.10 | 3.34 | 1.13 | 0.51 | 9.75Y 117M | 2015-Aug | 0.95 | 110.92 |
| AVLV | Avantis U.S. Large Cap Value ETF | 91.47 | 98.88 | No Score | 83.61 | No Score | No Score | No Score | -0.35 | 2.17 | 1.12 | 1.12 | 3.58Y 43M | 2021-Oct | 0.95 | 106.05 |
| VIOO | Vanguard S&P Small-Cap 600 ETF | 91.45 | 94.14 | 93.59 | 63.91 | 53.04 | No Score | 25.95 | -0.55 | 2.99 | 1.12 | 0.56 | 14.58Y 175M | 2010-Oct | 0.98 | 103.11 |
| VFMF | Vanguard U.S. Multifactor ETF | 89.33 | 91.97 | 44.54 | 100 | 50.70 | No Score | 62.61 | -1.01 | 3.51 | 1.10 | 0.61 | 7.17Y 86M | 2018-Mar | 0.97 | 97.56 |
| VBR | Vanguard Small Cap Value ETF | 83.03 | 96.71 | 62.63 | 94.19 | 38.55 | No Score | No Score | -0.66 | 2.27 | 1.02 | 0.64 | 21.25Y 255M | 2004-Feb | 0.98 | 85.19 |
| DIVB | iShares Core Dividend ETF | 82.25 | 89.98 | No Score | 61.65 | 43.91 | 77.85 | No Score | -0.12 | 1.33 | 1.01 | 0.88 | 7.42Y 89M | 2017-Dec | 0.96 | 87.98 |
| FYC | First Trust Small Cap Growth AlphaDEX Fund | 81.64 | 100 | 100 | No Score | No Score | No Score | 100 | -1.09 | 2.62 | 1.00 | 0.51 | 14.00Y 168M | 2011-May | 0.96 | 33.11 |
Table Guide
Filter steps / Column Guide
- 4048 us-listed ETF fund universe
- 2120 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.
