ETF Factor Scores through October, 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 | 84.28 | No Score | 19.56 | 90.49 | 100 | No Score | -0.41 | 2.21 | 1.33 | 1.03 | 10.33Y 124M | 2014-Jul | 0.95 | 105.11 |
| VIOG | Vanguard S&P Small-Cap 600 Growth ETF | 95.92 | 92.60 | 93.55 | 12.37 | 62.87 | No Score | 63.36 | -0.42 | 3.04 | 1.20 | 0.68 | 14.08Y 169M | 2010-Oct | 0.96 | 88.96 |
| VIOO | Vanguard S&P Small-Cap 600 ETF | 94.95 | 92.77 | 94.61 | 36.95 | 56.71 | No Score | 24.45 | -0.24 | 3.12 | 1.19 | 0.63 | 14.08Y 169M | 2010-Oct | 0.98 | 101.07 |
| VTV | Vanguard Value ETF | 93.26 | 87.39 | No Score | 48.49 | No Score | 85.94 | No Score | -0.42 | 1.48 | 1.17 | 0.89 | 20.75Y 249M | 2004-Feb | 0.96 | 112.74 |
| SLYV | SPDR S&P 600 Small Cap Value ETF | 88.15 | 92.60 | 85.98 | 63.19 | 100 | 51.29 | No Score | -0.97 | 3.71 | 1.11 | 1.04 | 24.00Y 288M | 2000-Nov | 0.96 | 109.73 |
| DFSV | Dimensional US Small Cap Value ETF | 87.69 | 94.42 | 77.64 | 99.23 | 85.30 | No Score | No Score | 1.13 | 3.01 | 1.10 | 0.40 | 2.67Y 32M | 2022-Mar | 0.98 | 112.16 |
| VIOV | Vanguard S&P Small-Cap 600 Value ETF | 87.47 | 93.65 | 95.40 | 58.84 | 45.13 | No Score | No Score | -0.16 | 2.89 | 1.10 | 0.55 | 14.08Y 169M | 2010-Oct | 0.98 | 74.25 |
| AVUV | Avantis U.S. Small Cap Value ETF | 85.97 | 100 | 89.02 | 100 | 92.67 | No Score | No Score | 1.67 | 3.70 | 1.08 | 0.67 | 5.08Y 61M | 2019-Oct | 0.98 | 109.42 |
| RDVI | FT Vest Rising Dividend Achievers Target Income ETF | 84.44 | 89.72 | No Score | 74.91 | No Score | No Score | No Score | -0.37 | 1.21 | 1.06 | 0.60 | 2.00Y 24M | 2022-Nov | 0.95 | 106.22 |
| VBR | Vanguard Small Cap Value ETF | 84.25 | 95.57 | 63.70 | 54.95 | 42.56 | No Score | No Score | -0.46 | 2.36 | 1.06 | 0.69 | 20.75Y 249M | 2004-Feb | 0.98 | 98.74 |
| IMCV | iShares Morningstar Mid-Cap Value ETF | 82.81 | 93.46 | 25.51 | 57.76 | 49.11 | 78.65 | No Score | -0.57 | 1.92 | 1.04 | 0.73 | 20.25Y 243M | 2004-Aug | 0.96 | 104.67 |
| DFUV | Dimensional US Marketwide Value ETF | 82.72 | 85.88 | 22.61 | 56.74 | No Score | No Score | No Score | -0.71 | 2.66 | 1.04 | 0.38 | 2.42Y 29M | 2022-Jun | 0.97 | 114.46 |
| FYC | First Trust Small Cap Growth AlphaDEX Fund | 81.90 | 99.68 | 100 | No Score | No Score | No Score | 100 | -1.24 | 2.86 | 1.03 | 0.56 | 13.50Y 162M | 2011-May | 0.96 | 40.14 |
Table Guide
Filter steps / Column Guide
- 3383 us-listed ETF fund universe
- 1991 surviving funds (up from 1982 funds in August) 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.
