ETF Factor Scores through June, 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 | 47.52 | 19.80 | No Score | No Score | 100 | 1.57 | 2.97 | 1.38 | 0.82 | 7.33Y 88M | 2018-Mar | 0.96 | 101.67 |
| FLRG | Fidelity U.S. Multifactor ETF | 92.66 | 83.95 | No Score | No Score | 97.94 | No Score | 26.46 | -1.16 | 2.13 | 1.16 | 1.20 | 4.75Y 57M | 2020-Oct | 0.95 | 106.55 |
| VTV | Vanguard Value ETF | 90.37 | 84.66 | No Score | 62.21 | No Score | 100 | No Score | -0.63 | 1.49 | 1.13 | 0.86 | 21.42Y 257M | 2004-Feb | 0.96 | 113.63 |
| DFSV | Dimensional US Small Cap Value ETF | 90.11 | 96.29 | 82.59 | 91.98 | 94.25 | No Score | No Score | 0.62 | 3.50 | 1.12 | 0.14 | 3.33Y 40M | 2022-Mar | 0.98 | 85.86 |
| VIOO | Vanguard S&P Small-Cap 600 ETF | 89.67 | 91.20 | 86.24 | 44.38 | 53.63 | No Score | 16.55 | -0.52 | 2.95 | 1.12 | 0.57 | 14.75Y 177M | 2010-Oct | 0.98 | 106.80 |
| VFMF | Vanguard U.S. Multifactor ETF | 88.54 | 89.24 | 41.07 | 70.49 | 50.98 | No Score | 39.46 | -0.94 | 3.48 | 1.10 | 0.62 | 7.33Y 88M | 2018-Mar | 0.97 | 98.25 |
| AVSC | Avantis U.S Small Cap Equity ETF | 86.63 | 92.11 | 100 | 50.44 | 60.94 | No Score | No Score | 0.49 | 3.21 | 1.08 | 0.02 | 3.42Y 41M | 2022-Feb | 0.99 | 100.84 |
| AVLV | Avantis U.S. Large Cap Value ETF | 83.99 | 95.05 | No Score | 63.29 | No Score | No Score | No Score | -0.86 | 2.14 | 1.05 | 0.96 | 3.75Y 45M | 2021-Oct | 0.95 | 104.02 |
| FYC | First Trust Small Cap Growth AlphaDEX Fund | 82.62 | 98.56 | 93.64 | No Score | No Score | No Score | 63.45 | -0.80 | 2.55 | 1.03 | 0.55 | 14.17Y 170M | 2011-May | 0.96 | 35.52 |
| DFAS | Dimensional U.S. Small Cap ETF | 81.94 | 94.02 | 79.81 | 51.08 | 73.50 | No Score | No Score | -0.79 | 2.92 | 1.02 | 0.05 | 4.00Y 48M | 2021-Jul | 0.99 | 103.17 |
| AVUV | Avantis U.S. Small Cap Value ETF | 81.39 | 99.44 | 86.33 | 100 | 100 | No Score | No Score | 0.65 | 3.84 | 1.02 | 0.53 | 5.75Y 69M | 2019-Oct | 0.98 | 94.16 |
| VBR | Vanguard Small Cap Value ETF | 80.85 | 93.55 | 57.72 | 65.81 | 39.67 | No Score | No Score | -0.69 | 2.24 | 1.01 | 0.64 | 21.42Y 257M | 2004-Feb | 0.98 | 90.93 |
| DFAC | Dimensional U.S. Core Equity 2 ETF | 80.29 | 92.38 | 17.82 | 22.26 | 40.75 | 45.57 | No Score | -0.81 | 1.41 | 1.00 | 0.84 | 4.00Y 48M | 2021-Jul | 0.99 | 114.88 |
Table Guide
Filter steps / Column Guide
- 4048 us-listed ETF fund universe
- 2140 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.
