ETF Factor Scores through Aug, 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 | 46.57 | 19.11 | No Score | No Score | 100 | 1.36 | 2.99 | 1.37 | 0.82 | 7.50Y 90M | 2018-Mar | 0.96 | 106.93 |
| FLRG | Fidelity U.S. Multifactor ETF | 91.36 | 83.74 | No Score | No Score | 97.58 | No Score | 26.94 | -1.20 | 2.15 | 1.17 | 1.18 | 4.92Y 59M | 2020-Oct | 0.95 | 113.34 |
| DFSV | Dimensional US Small Cap Value ETF | 87.90 | 95.95 | 81.05 | 89.79 | 93.74 | No Score | No Score | 0.51 | 3.58 | 1.12 | 0.34 | 3.50Y 42M | 2022-Mar | 0.98 | 82.92 |
| VIOO | Vanguard S&P Small-Cap 600 ETF | 87.59 | 90.96 | 84.79 | 43.26 | 53.31 | No Score | 17.04 | -0.59 | 3.03 | 1.12 | 0.59 | 14.92Y 179M | 2010-Oct | 0.98 | 113.86 |
| MFUS | PIMCO RAFI Dynamic Multi-Factor U.S. Equity ETF | 86.60 | 86.06 | No Score | 39.81 | No Score | 100.00 | 29.96 | -1.14 | 2.41 | 1.11 | 0.88 | 7.92Y 95M | 2017-Oct | 0.96 | 112.70 |
| AVSC | Avantis U.S Small Cap Equity ETF | 86.38 | 91.79 | 100 | 49.37 | 59.73 | No Score | No Score | 0.61 | 3.29 | 1.10 | 0.27 | 3.58Y 43M | 2022-Feb | 0.99 | 100.30 |
| VFMF | Vanguard U.S. Multifactor ETF | 85.77 | 88.96 | 40.93 | 68.40 | 51.40 | No Score | 40.33 | -1.10 | 3.55 | 1.10 | 0.64 | 7.50Y 90M | 2018-Mar | 0.97 | 106.01 |
| FYC | First Trust Small Cap Growth AlphaDEX Fund | 82.66 | 98.12 | 93.07 | No Score | No Score | No Score | 64.51 | -0.67 | 2.65 | 1.06 | 0.57 | 14.33Y 172M | 2011-May | 0.96 | 52.10 |
| AVUV | Avantis U.S. Small Cap Value ETF | 78.81 | 99.25 | 84.50 | 100 | 100 | No Score | No Score | 0.41 | 3.93 | 1.01 | 0.58 | 5.92Y 71M | 2019-Oct | 0.98 | 96.29 |
| VBR | Vanguard Small Cap Value ETF | 78.59 | 93.37 | 56.42 | 64.14 | 39.40 | No Score | No Score | -0.77 | 2.29 | 1.00 | 0.65 | 21.58Y 259M | 2004-Feb | 0.98 | 93.17 |
Table Guide
Filter steps / Column Guide
- 4048 us-listed ETF fund universe
- 2166 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.
