Monthly Updated US ETF Scores

ETF Factor Scores through May, 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)
CGDV Capital Group Dividend Value ETF 100.00 89.00 No Score No Score No Score 100.00 No Score 6.24 1.30 1.93 2.09 2.25Y 27M 2022-Mar 0.96 104.07
DFAT Dimensional U.S. Targeted Value ETF 100.00 98.78 86.71 81.49 67.75 No Score No Score 2.53 3.41 1.44 1.12 2.92Y 35M 2021-Jul 0.98 103.83
DFSV Dimensional US Small Cap Value ETF 88.49 98.89 81.56 99.87 67.91 No Score No Score 2.66 3.25 1.26 0.60 2.25Y 27M 2022-Mar 0.98 94.95
DGRO iShares Core Dividend Growth ETF 88.43 88.18 No Score 18.66 63.44 55.90 No Score -0.55 1.99 1.26 1.03 9.92Y 119M 2014-Jul 0.96 96.87
VIOG Vanguard S&P Small-Cap 600 Growth ETF 87.26 96.74 92.45 12.03 43.64 No Score 100.00 -0.18 3.02 1.24 0.71 13.67Y 164M 2010-Oct 0.97 77.78
VIOO Vanguard S&P Small-Cap 600 ETF 84.99 96.66 94.64 36.76 40.88 No Score 39.57 -0.14 3.11 1.21 0.65 13.67Y 164M 2010-Oct 0.98 84.17
DUHP Dimensional US High Profitability ETF 84.73 98.58 No Score No Score 75.99 61.99 No Score 0.37 2.33 1.21 1.35 2.25Y 27M 2022-Mar 0.98 100.20
AVSC Avantis U.S Small Cap Equity ETF 83.20 96.87 100.00 53.65 No Score No Score No Score 1.48 3.26 1.19 0.36 2.33Y 28M 2022-Feb 0.99 88.37
AVUV Avantis U.S. Small Cap Value ETF 82.19 100.00 89.96 100.00 70.51 No Score No Score 2.69 3.83 1.17 0.75 4.67Y 56M 2019-Oct 0.98 93.87
VTV Vanguard Value ETF 81.15 91.09 No Score 48.02 No Score 46.06 No Score -0.42 1.40 1.16 0.89 20.33Y 244M 2004-Feb 0.97 101.61
SLYV SPDR S&P 600 Small Cap Value ETF 78.51 96.30 86.89 63.08 82.03 27.68 No Score -0.97 3.76 1.12 1.08 23.58Y 283M 2000-Nov 0.96 94.19
DFUV Dimensional US Marketwide Value ETF 78.06 90.34 No Score 56.26 No Score No Score No Score 0.59 2.40 1.11 0.41 2.00Y 24M 2022-Jun 0.97 104.52
VIOV Vanguard S&P Small-Cap 600 Value ETF 77.01 97.37 96.46 58.77 33.87 No Score No Score -0.21 2.90 1.10 0.55 13.67Y 164M 2010-Oct 0.98 62.28
IJT iShares S&P Small-Cap 600 Growth ETF 74.83 100.00 83.69 No Score No Score No Score 80.17 -0.36 2.19 1.07 1.00 23.83Y 286M 2000-Aug 0.95 78.33
VBR Vanguard Small Cap Value ETF 74.36 99.30 64.66 55.11 33.18 No Score No Score -0.46 2.37 1.06 0.69 20.33Y 244M 2004-Feb 0.98 82.28
CSB VictoryShares US Small Cap High Dividend Volatility Wtd ETF 74.24 81.95 84.30 51.84 100.00 No Score No Score -0.57 3.50 1.06 0.56 8.83Y 106M 2015-Aug 0.95 99.30
IMCV iShares Morningstar Mid-Cap Value ETF 72.90 96.99 25.75 58.25 38.11 39.43 No Score -0.54 1.90 1.04 0.74 19.83Y 238M 2004-Aug 0.96 97.82
DGRS WisdomTree US Smallcap Quality Dividend Growth Fund 71.92 91.33 86.98 44.86 99.17 No Score No Score -1.11 3.25 1.03 0.50 10.83Y 130M 2013-Aug 0.96 93.55
IVOO Vanguard S&P Mid-Cap 400 ETF 71.22 98.93 49.92 33.85 43.30 No Score No Score -1.31 2.06 1.02 0.72 13.67Y 164M 2010-Oct 0.96 101.70
JAVA JPMorgan Active Value ETF 71.09 82.03 No Score 45.39 No Score 74.84 No Score 0.11 1.27 1.01 2.76 2.58Y 31M 2021-Nov 0.95 97.92
IJR iShares Core S&P Small Cap ETF 70.91 97.61 89.10 32.91 41.01 No Score No Score -0.99 2.65 1.01 1.02 24.00Y 288M 2000-Jun 0.97 86.64
SPSM SPDR Portfolio S&P 600 Small Cap ETF 70.70 96.89 93.50 31.63 No Score No Score 40.06 -0.91 2.65 1.01 0.51 10.83Y 130M 2013-Aug 0.98 92.50
DTD WisdomTree U.S. Total Dividend Fund 70.45 89.31 No Score 34.24 47.94 51.54 No Score -1.21 1.55 1.00 0.86 17.92Y 215M 2006-Jul 0.96 103.62


Table Guide

Filter steps / Column Guide 

  1. 3383 us-listed ETF fund universe
  2. 1982 (up from 1968 April) 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 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.

Leave a Reply

Your email address will not be published. Required fields are marked *