VerifiedBeta

Monthly Updated US ETF Scores

ETF Factor Scores through December, 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 94.94 80.82 82.79 74.92 No Score No Score 0.81 3.39 1.20 0.60 3.50Y 42M 2021-Jul 0.98 105.76
VIOO Vanguard S&P Small-Cap 600 ETF 99.48 92.76 88.71 37.55 46.94 No Score 26.04 -0.35 3.14 1.16 0.61 14.25Y 171M 2010-Oct 0.98 83.17
VIOG Vanguard S&P Small-Cap 600 Growth ETF 98.81 92.86 88.22 13.17 51.39 No Score 66.86 -0.70 3.11 1.16 0.66 14.25Y 171M 2010-Oct 0.96 91.45
VTV Vanguard Value ETF 97.39 87.37 No Score 49.24 No Score 99.71 No Score -0.58 1.49 1.14 0.86 20.92Y 251M 2004-Feb 0.96 112.51
CSB VictoryShares US Small Cap High Dividend Volatility Wtd ETF 94.42 78.87 80.46 54.55 100 No Score No Score -0.21 3.61 1.10 0.55 9.42Y 113M 2015-Aug 0.95 99.07
SLYV SPDR S&P 600 Small Cap Value ETF 94.09 92.45 80.48 63.84 87.55 57.41 No Score -0.93 3.68 1.10 1.03 24.17Y 290M 2000-Nov 0.96 101.25
VIOV Vanguard S&P Small-Cap 600 Value ETF 92.98 93.44 89.10 59.33 37.70 No Score No Score -0.13 2.86 1.09 0.54 14.25Y 171M 2010-Oct 0.98 91.26
IUSV iShares Core S&P US Value ETF 92.95 90.15 No Score 48.08 23.53 96.96 No Score -0.92 1.74 1.09 1.04 24.33Y 292M 2000-Sep 0.97 104.63
FLRG Fidelity U.S. Multifactor ETF 92.14 86.14 No Score No Score 96.53 No Score 41.09 -1.75 2.35 1.08 1.18 4.25Y 51M 2020-Oct 0.95 110.41
DFSV Dimensional US Small Cap Value ETF 91.11 95.10 75.13 99.20 70.79 No Score No Score 0.91 3.13 1.07 0.37 2.83Y 34M 2022-Mar 0.98 101.36
AVUV Avantis U.S. Small Cap Value ETF 90.52 100 83.82 100 77.21 No Score No Score 1.53 3.72 1.06 0.64 5.25Y 63M 2019-Oct 0.98 102.66
VFMF Vanguard U.S. Multifactor ETF 90.51 90.85 44.76 57.08 54.46 No Score 65.93 -1.42 3.76 1.06 0.63 6.83Y 82M 2018-Mar 0.97 109.51
EQL Alps Equal Sector Weight ETF 88.92 87.46 No Score 10.96 37.81 100 No Score -1.09 1.05 1.04 0.94 15.42Y 185M 2009-Aug 0.97 111.68
VBR Vanguard Small Cap Value ETF 88.30 95.40 59.64 55.47 35.74 No Score No Score -0.60 2.36 1.03 0.67 20.92Y 251M 2004-Feb 0.98 97.39
FYC First Trust Small Cap Growth AlphaDEX Fund 86.65 99.90 97.85 No Score No Score No Score 100 -1.28 2.90 1.01 0.56 13.67Y 164M 2011-May 0.96 34.84
RECS Columbia Research Enhanced Core ETF 86.54 92.01 No Score No Score 46.85 94.48 No Score 0.06 1.01 1.01 1.13 5.25Y 63M 2019-Oct 0.98 113.21
IMCV iShares Morningstar Mid-Cap Value ETF 86.16 93.38 24.25 58.43 40.65 92.75 No Score -0.76 1.92 1.01 0.71 20.42Y 245M 2004-Aug 0.96 97.97
AVSC Avantis U.S Small Cap Equity ETF 86.14 91.83 100 58.18 46.58 No Score No Score 0.18 3.24 1.01 0.30 2.92Y 35M 2022-Feb 0.99 114.43


Table Guide

Filter steps / Column Guide 

  1. 4048 us-listed ETF fund universe
  2. 1921 surviving 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
  9. Not more than 15% overvalued on the basis of historical relative dividend yield
 
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