ETF Factor Scores through August, 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 | 100.00 | 86.57 | No Score | 20.00 | 67.08 | 79.79 | No Score | -0.31 | 2.21 | 1.34 | 1.04 | 10.17Y 122M | 2014-Jul | 0.95 | 103.84 |
| DGRW | WisdomTree US Quality Dividend Growth Fund | 100.00 | 88.84 | No Score | No Score | 79.95 | 100.00 | No Score | 0.01 | 2.00 | 1.41 | 1.11 | 11.25Y 135M | 2013-Jun | 0.95 | 113.89 |
| DUHP | Dimensional US High Profitability ETF | 95.58 | 97.79 | No Score | No Score | 72.49 | 93.36 | No Score | 0.44 | 2.33 | 1.27 | 1.30 | 2.50Y 30M | 2022-Mar | 0.98 | 112.79 |
| DFAT | Dimensional U.S. Targeted Value ETF | 94.41 | 96.91 | 89.51 | 82.16 | 66.23 | No Score | No Score | 1.22 | 3.36 | 1.26 | 0.83 | 3.17Y 38M | 2021-Jul | 0.98 | 107.65 |
| VIOG | Vanguard S&P Small-Cap 600 Growth ETF | 92.65 | 95.05 | 98.54 | 13.04 | 44.88 | No Score | 100.00 | -0.21 | 3.08 | 1.24 | 0.70 | 13.92Y 167M | 2010-Oct | 0.96 | 83.44 |
| VIOO | Vanguard S&P Small-Cap 600 ETF | 90.67 | 95.24 | 99.84 | 37.77 | 41.33 | No Score | 39.29 | -0.12 | 3.17 | 1.21 | 0.64 | 13.92Y 167M | 2010-Oct | 0.98 | 94.18 |
| VTV | Vanguard Value ETF | 88.60 | 89.71 | No Score | 49.35 | No Score | 66.83 | No Score | -0.35 | 1.49 | 1.18 | 0.90 | 20.58Y 247M | 2004-Feb | 0.96 | 111.16 |
| IUSV | iShares Core S&P US Value ETF | 84.57 | 92.61 | No Score | 48.12 | 21.00 | 64.88 | No Score | -0.70 | 1.75 | 1.13 | 1.09 | 24.00Y 288M | 2000-Sep | 0.97 | 113.80 |
| SLYV | SPDR S&P 600 Small Cap Value ETF | 83.26 | 95.06 | 90.94 | 64.19 | 78.84 | 39.51 | No Score | -0.98 | 3.76 | 1.11 | 1.06 | 23.83Y 286M | 2000-Nov | 0.96 | 101.56 |
| VIOV | Vanguard S&P Small-Cap 600 Value ETF | 82.50 | 96.16 | 100.00 | 59.82 | 33.83 | No Score | No Score | -0.16 | 2.94 | 1.10 | 0.56 | 13.92Y 167M | 2010-Oct | 0.98 | 68.72 |
| VFMF | Vanguard U.S. Multifactor ETF | 82.04 | 93.11 | 49.77 | 56.89 | 50.03 | No Score | 97.47 | -1.14 | 3.76 | 1.09 | 0.69 | 6.50Y 78M | 2018-Mar | 0.97 | 110.34 |
| CSB | VictoryShares US Small Cap High Dividend Volatility Wtd ETF | 81.22 | 80.56 | 90.10 | 53.90 | 100.00 | No Score | No Score | -0.42 | 3.64 | 1.08 | 0.57 | 9.08Y 109M | 2015-Aug | 0.95 | 106.49 |
| EQL | Alps Equal Sector Weight ETF | 81.03 | 89.68 | No Score | 10.87 | 34.36 | 66.89 | No Score | -0.84 | 1.03 | 1.08 | 0.96 | 15.08Y 181M | 2009-Aug | 0.97 | 114.41 |
| FNDA | Schwab Fundamental US Small Co. Index ETF | 80.69 | 98.77 | 79.38 | 47.07 | 35.66 | No Score | No Score | -0.34 | 2.53 | 1.08 | 0.60 | 11.00Y 132M | 2013-Sep | 0.98 | 75.66 |
| DFSV | Dimensional US Small Cap Value ETF | 80.59 | 96.92 | 81.98 | 100.00 | 63.76 | No Score | No Score | 1.16 | 3.07 | 1.07 | 0.51 | 2.50Y 30M | 2022-Mar | 0.98 | 104.74 |
| AVUV | Avantis U.S. Small Cap Value ETF | 79.68 | 100.00 | 94.26 | 100.00 | 70.17 | No Score | No Score | 1.59 | 3.78 | 1.06 | 0.69 | 4.92Y 59M | 2019-Oct | 0.98 | 102.02 |
| DFUV | Dimensional US Marketwide Value ETF | 79.52 | 88.21 | 23.89 | 56.46 | No Score | No Score | No Score | -0.32 | 2.67 | 1.06 | 0.43 | 2.25Y 27M | 2022-Jun | 0.96 | 110.89 |
| VBR | Vanguard Small Cap Value ETF | 79.00 | 98.12 | 67.45 | 55.91 | 32.35 | No Score | No Score | -0.51 | 2.40 | 1.05 | 0.69 | 20.58Y 247M | 2004-Feb | 0.98 | 93.58 |
| IJT | iShares S&P Small-Cap 600 Growth ETF | 78.87 | 98.61 | 88.35 | 10.90 | No Score | No Score | 77.56 | -0.43 | 2.21 | 1.05 | 0.98 | 24.08Y 289M | 2000-Aug | 0.95 | 78.61 |
| IMCV | iShares Morningstar Mid-Cap Value ETF | 77.87 | 95.95 | 26.99 | 58.70 | 36.97 | 60.67 | No Score | -0.59 | 1.95 | 1.04 | 0.74 | 20.08Y 241M | 2004-Aug | 0.96 | 101.78 |
| SCHM | Schwab U.S. Mid-Cap ETF | 76.51 | 100.00 | 43.26 | 24.36 | No Score | No Score | No Score | -0.43 | 1.17 | 1.02 | 0.76 | 13.58Y 163M | 2011-Feb | 0.95 | 70.56 |
| DGRS | WisdomTree US Smallcap Quality Dividend Growth Fund | 76.23 | 89.63 | 93.09 | 46.26 | 99.67 | No Score | No Score | -1.17 | 3.35 | 1.02 | 0.49 | 11.08Y 133M | 2013-Aug | 0.96 | 98.90 |
| SPSM | SPDR Portfolio S&P 600 Small Cap ETF | 75.78 | 95.42 | 98.86 | 32.59 | No Score | No Score | 40.20 | -0.89 | 2.71 | 1.01 | 0.51 | 11.08Y 133M | 2013-Aug | 0.98 | 86.78 |
| IJR | iShares Core S&P Small Cap ETF | 75.12 | 96.34 | 93.29 | 33.82 | 39.50 | No Score | No Score | -1.01 | 2.66 | 1.00 | 1.00 | 24.25Y 291M | 2000-Jun | 0.97 | 93.40 |
Table Guide
Filter steps / Column Guide
- 3383 us-listed ETF fund universe
- 2004 (1974 June) 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
- 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.
