ETF Factor Scores through July, 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 | 47.06 | 18.92 | No Score | No Score | 100 | 1.44 | 2.97 | 1.37 | 0.81 | 7.42Y 89M | 2018-Mar | 0.96 | 111.79 |
| FLRG | Fidelity U.S. Multifactor ETF | 88.67 | 83.79 | No Score | No Score | 97.73 | No Score | 26.09 | -1.36 | 2.14 | 1.13 | 1.17 | 4.83Y 58M | 2020-Oct | 0.95 | 114.37 |
| DFSV | Dimensional US Small Cap Value ETF | 88.11 | 96.00 | 81.66 | 89.09 | 93.86 | No Score | No Score | 0.54 | 3.49 | 1.13 | 0.16 | 3.42Y 41M | 2022-Mar | 0.98 | 84.74 |
| AVSC | Avantis U.S Small Cap Equity ETF | 85.12 | 91.85 | 100 | 48.87 | 60.58 | No Score | No Score | 0.47 | 3.20 | 1.09 | 0.06 | 3.50Y 42M | 2022-Feb | 0.99 | 100.96 |
| VFMF | Vanguard U.S. Multifactor ETF | 84.22 | 88.98 | 40.83 | 67.85 | 51.80 | No Score | 38.76 | -1.21 | 3.51 | 1.08 | 0.60 | 7.42Y 89M | 2018-Mar | 0.97 | 105.93 |
| FYC | First Trust Small Cap Growth AlphaDEX Fund | 79.72 | 98.29 | 92.62 | No Score | No Score | No Score | 62.19 | -0.93 | 2.57 | 1.02 | 0.54 | 14.25Y 171M | 2011-May | 0.96 | 40.26 |
| DFAS | Dimensional U.S. Small Cap ETF | 79.39 | 93.74 | 78.90 | 49.40 | 73.34 | No Score | No Score | -0.92 | 2.93 | 1.01 | 0.08 | 4.08Y 49M | 2021-Jul | 0.99 | 109.86 |
| AVUV | Avantis U.S. Small Cap Value ETF | 79.35 | 99.15 | 85.37 | 100 | 100 | No Score | No Score | 0.58 | 3.83 | 1.01 | 0.53 | 5.83Y 70M | 2019-Oct | 0.98 | 98.83 |
| VBR | Vanguard Small Cap Value ETF | 78.85 | 93.29 | 57.03 | 63.83 | 39.43 | No Score | No Score | -0.69 | 2.23 | 1.01 | 0.64 | 21.50Y 258M | 2004-Feb | 0.98 | 96.01 |
Table Guide
Filter steps / Column Guide
- 4048 us-listed ETF fund universe
- 2158 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.
