ETF Factor Scores through November, 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) |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| DGRO | iShares Core Dividend Growth ETF | 100 | 84.90 | No Score | 19.99 | 69.97 | 83.57 | No Score | -0.43 | 2.19 | 1.32 | 1.01 | 10.42Y 125M | 2014-Jul | 0.95 | 101.53 |
| DGRW | WisdomTree US Quality Dividend Growth Fund | 100 | 87.04 | No Score | No Score | 83.66 | 100 | No Score | -0.17 | 1.97 | 1.38 | 1.08 | 11.50Y 138M | 2013-Jun | 0.95 | 103.01 |
| DFAT | Dimensional U.S. Targeted Value ETF | 96.47 | 95.45 | 81.41 | 83.56 | 68.57 | No Score | No Score | 1.23 | 3.41 | 1.26 | 0.83 | 3.42Y 41M | 2021-Jul | 0.98 | 105.35 |
| VIOG | Vanguard S&P Small-Cap 600 Growth ETF | 92.07 | 93.39 | 89.03 | 12.83 | 48.11 | No Score | 66.87 | -0.39 | 3.11 | 1.20 | 0.70 | 14.17Y 170M | 2010-Oct | 0.96 | 90.28 |
| FLRG | Fidelity U.S. Multifactor ETF | 91.12 | 86.11 | No Score | No Score | 87.99 | No Score | 37.98 | -0.93 | 2.20 | 1.19 | 1.24 | 4.17Y 50M | 2020-Oct | 0.96 | 109.31 |
| VIOO | Vanguard S&P Small-Cap 600 ETF | 91.02 | 93.54 | 89.97 | 37.97 | 43.49 | No Score | 25.92 | -0.21 | 3.19 | 1.19 | 0.65 | 14.17Y 170M | 2010-Oct | 0.98 | 82.46 |
| VTV | Vanguard Value ETF | 89.27 | 88.10 | No Score | 49.77 | No Score | 69.33 | No Score | -0.40 | 1.46 | 1.17 | 0.89 | 20.83Y 250M | 2004-Feb | 0.96 | 110.60 |
| CSB | VictoryShares US Small Cap High Dividend Volatility Wtd ETF | 86.23 | 79.47 | 81.56 | 55.34 | 100 | No Score | No Score | -0.06 | 3.65 | 1.13 | 0.59 | 9.33Y 112M | 2015-Aug | 0.95 | 98.97 |
| DFSV | Dimensional US Small Cap Value ETF | 85.48 | 95.60 | 75.28 | 100 | 65.22 | No Score | No Score | 1.37 | 3.14 | 1.12 | 0.58 | 2.75Y 33M | 2022-Mar | 0.98 | 100.81 |
| IUSV | iShares Core S&P US Value ETF | 85.29 | 90.92 | No Score | 48.61 | 22.05 | 67.70 | No Score | -0.75 | 1.73 | 1.11 | 1.07 | 24.25Y 291M | 2000-Sep | 0.97 | 102.75 |
| SLYV | SPDR S&P 600 Small Cap Value ETF | 84.94 | 93.40 | 81.88 | 64.97 | 80.41 | 40.41 | No Score | -0.92 | 3.75 | 1.11 | 1.05 | 24.08Y 289M | 2000-Nov | 0.96 | 100.75 |
| VFMF | Vanguard U.S. Multifactor ETF | 84.06 | 91.43 | 44.85 | 57.89 | 50.79 | No Score | 66.31 | -1.13 | 3.76 | 1.10 | 0.70 | 6.75Y 81M | 2018-Mar | 0.97 | 107.69 |
| VIOV | Vanguard S&P Small-Cap 600 Value ETF | 83.96 | 94.43 | 90.72 | 60.41 | 34.59 | No Score | No Score | -0.14 | 2.95 | 1.10 | 0.57 | 14.17Y 170M | 2010-Oct | 0.98 | 90.83 |
| AVUV | Avantis U.S. Small Cap Value ETF | 82.74 | 100 | 84.85 | 100 | 71.03 | No Score | No Score | 1.77 | 3.77 | 1.08 | 0.71 | 5.17Y 62M | 2019-Oct | 0.98 | 103.28 |
| EQL | Alps Equal Sector Weight ETF | 82.41 | 88.09 | No Score | 10.73 | 35.56 | 69.66 | No Score | -0.85 | 1.00 | 1.08 | 0.96 | 15.33Y 184M | 2009-Aug | 0.97 | 113.79 |
| DFUV | Dimensional US Marketwide Value ETF | 82.13 | 87.12 | 23.19 | 56.79 | No Score | No Score | No Score | -0.52 | 2.75 | 1.07 | 0.49 | 2.50Y 30M | 2022-Jun | 0.97 | 103.40 |
| FNDA | Schwab Fundamental US Small Co. Index ETF | 81.27 | 97.19 | 71.68 | 47.37 | 37.49 | No Score | No Score | -0.40 | 2.52 | 1.06 | 0.60 | 11.25Y 135M | 2013-Sep | 0.98 | 88.19 |
| VBR | Vanguard Small Cap Value ETF | 80.52 | 96.29 | 60.38 | 56.26 | 33.16 | No Score | No Score | -0.49 | 2.40 | 1.05 | 0.70 | 20.83Y 250M | 2004-Feb | 0.98 | 96.60 |
| DTD | WisdomTree U.S. Total Dividend Fund | 80.26 | 86.50 | No Score | 36.10 | 48.31 | 76.78 | No Score | -1.01 | 1.60 | 1.05 | 0.88 | 18.42Y 221M | 2006-Jul | 0.96 | 94.93 |
| FYC | First Trust Small Cap Growth AlphaDEX Fund | 79.71 | 100 | 99.19 | No Score | No Score | No Score | 100 | -1.12 | 2.94 | 1.04 | 0.60 | 13.58Y 163M | 2011-May | 0.96 | 34.58 |
| DGRS | WisdomTree US Smallcap Quality Dividend Growth Fund | 79.50 | 88.40 | 84.35 | 47.12 | 100.00 | No Score | No Score | -0.96 | 3.35 | 1.04 | 0.52 | 11.33Y 136M | 2013-Aug | 0.96 | 84.83 |
| AVSC | Avantis U.S Small Cap Equity ETF | 79.44 | 92.59 | 100 | 59.17 | 42.83 | No Score | No Score | 0.37 | 3.30 | 1.04 | 0.55 | 2.83Y 34M | 2022-Feb | 0.99 | 113.36 |
| IMCV | iShares Morningstar Mid-Cap Value ETF | 79.10 | 94.17 | 24.16 | 59.18 | 38.04 | 64.25 | No Score | -0.59 | 1.92 | 1.03 | 0.74 | 20.33Y 244M | 2004-Aug | 0.96 | 98.04 |
| IJT | iShares S&P Small-Cap 600 Growth ETF | 78.95 | 96.86 | 79.67 | 10.81 | No Score | No Score | 51.65 | -0.57 | 2.24 | 1.03 | 0.97 | 24.33Y 292M | 2000-Aug | 0.95 | 74.67 |
| DFAS | Dimensional U.S. Small Cap ETF | 78.88 | 95.72 | 84.01 | 42.18 | 66.18 | No Score | No Score | -0.85 | 3.21 | 1.03 | 0.49 | 3.42Y 41M | 2021-Jul | 0.99 | 114.08 |
Table Guide
Filter steps / Column Guide
- 3383 us-listed ETF fund universe
- 2086 surviving 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
- 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.
