VerifiedBeta

Monthly Updated US ETF Scores

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 

  1. 3383 us-listed ETF fund universe
  2. 1968 funds with at least 24 months of total return data
  3. $100M+ AUM
  4. Score Quality (regression R-squared) greater than 0.95
  5. market beta between 0.75 and 1.25
  6. Fund Sharpe / Market Sharpe (backtested simulation) greater than 1.0 (risk-adjusted returns superior to market)
  7. Yielding at least 0.5% as a proxy for directly-held equities
  8. Backtested Factor Beta % contribution equal to at least 100 bps to ensure expected long-term factor capture is meaningful
 
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