ETF Factor Scores through June, 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 | 86.10 | No Score | 18.32 | 83.04 | 92.83 | No Score | -0.73 | 2.04 | 1.24 | 1.00 | 10.00Y 120M | 2014-Jul | 0.96 | 101.85 |
| VIOG | Vanguard S&P Small-Cap 600 Growth ETF | 99.37 | 94.53 | 88.39 | 11.67 | 57.33 | No Score | 100.00 | -0.31 | 2.99 | 1.22 | 0.69 | 13.75Y 165M | 2010-Oct | 0.96 | 81.90 |
| DFSV | Dimensional US Small Cap Value ETF | 98.86 | 96.35 | 79.91 | 98.80 | 90.61 | No Score | No Score | 2.13 | 3.25 | 1.21 | 0.31 | 2.33Y 28M | 2022-Mar | 0.98 | 99.78 |
| DUHP | Dimensional US High Profitability ETF | 97.97 | 96.55 | No Score | No Score | 94.91 | 100.00 | No Score | 0.27 | 2.27 | 1.20 | 1.27 | 2.33Y 28M | 2022-Mar | 0.98 | 102.59 |
| VIOO | Vanguard S&P Small-Cap 600 ETF | 96.83 | 94.53 | 90.17 | 36.34 | 53.33 | No Score | 39.15 | -0.24 | 3.06 | 1.19 | 0.62 | 13.75Y 165M | 2010-Oct | 0.98 | 89.84 |
| AVSC | Avantis U.S Small Cap Equity ETF | 93.46 | 94.53 | 100.00 | 51.89 | 50.96 | No Score | No Score | 1.09 | 3.24 | 1.15 | 0.07 | 2.42Y 29M | 2022-Feb | 0.99 | 94.42 |
| AVUV | Avantis U.S. Small Cap Value ETF | 92.18 | 100.00 | 87.03 | 100.00 | 93.85 | No Score | No Score | 2.25 | 3.81 | 1.13 | 0.67 | 4.75Y 57M | 2019-Oct | 0.98 | 98.16 |
| SLYV | SPDR S&P 600 Small Cap Value ETF | 89.31 | 94.23 | 82.51 | 62.56 | 100.00 | 45.69 | No Score | -1.06 | 3.68 | 1.10 | 1.04 | 23.67Y 284M | 2000-Nov | 0.96 | 101.90 |
| VIOV | Vanguard S&P Small-Cap 600 Value ETF | 87.74 | 95.29 | 91.61 | 58.33 | 43.84 | No Score | No Score | -0.29 | 2.83 | 1.08 | 0.53 | 13.75Y 165M | 2010-Oct | 0.98 | 67.37 |
| IJT | iShares S&P Small-Cap 600 Growth ETF | 85.06 | 97.86 | 79.69 | No Score | No Score | No Score | 79.04 | -0.47 | 2.15 | 1.04 | 0.96 | 23.92Y 287M | 2000-Aug | 0.95 | 82.58 |
| VBR | Vanguard Small Cap Value ETF | 84.65 | 97.06 | 61.88 | 54.74 | 43.75 | No Score | No Score | -0.57 | 2.34 | 1.04 | 0.67 | 20.42Y 245M | 2004-Feb | 0.98 | 87.66 |
| IMCV | iShares Morningstar Mid-Cap Value ETF | 82.91 | 94.75 | 25.31 | 57.98 | 50.53 | 64.51 | No Score | -0.67 | 1.90 | 1.02 | 0.72 | 19.92Y 239M | 2004-Aug | 0.96 | 103.28 |
Table Guide
Filter steps / Column Guide
- 3383 us-listed ETF fund universe
- 1979 (1982 May) 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 5% 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.
