ETF ANALYSER

Analyse the Factor Exposure of 3,000+ US and European ETFs.

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DESCRIPTION

The ETF Analyser highlights the factor exposure of ETFs in the US and Europe to common equity factors, including the market, and bonds. The exposure represents the factor betas derived from a one-year regression analysis utilising daily data. The factor betas represent the sensitivity to the factor, i.e. the closer the beta to 1, the more the ETF approximates the behaviour of the factor, on average. Please see the factor definitions below or our Factor Guide for further details on factor construction.

Please be aware that the ETF universe includes nearly all tradable ETFs in US and Europe, including commodity, fixed income, alternative and international ETFs. The factor exposure analysis should only be considered for US equity ETFs.

We provide detailed factor exposure reports for ETF, fund and stock portfolios across markets. Please get in touch for further information.

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FACTOR DEFINITIONS

Ticker Value Size Momentum Low Volatility Quality Growth Dividend Yield Market Bonds R2
SMCP 0.21 0.44 0.01 -0.14 -0.37 0.23 -0.23 0.95 0.18 0.53
QLD -0.63 -0.22 0.04 -0.22 -0.21 0.36 -0.01 2.50 0.63 0.92
IBML 0.00 -0.04 0.02 -0.02 0.02 0.01 0.03 0.00 0.39 0.35
RXI 0.00 -0.07 -0.11 -0.10 0.06 0.01 -0.04 0.85 -0.00 0.81
REK 0.48 -0.22 0.13 -0.37 -0.04 -0.02 -0.56 -0.56 -0.29 0.67
DUST 0.50 0.23 0.39 0.53 -0.24 1.26 0.20 -1.49 -5.73 0.20
HSCZ 0.11 -0.07 0.16 0.03 -0.17 -0.12 0.02 0.58 -0.46 0.60
ROBO -0.03 -0.07 0.28 -0.11 0.12 -0.29 -0.01 1.06 0.07 0.74
BKLN 0.03 0.02 0.02 -0.00 -0.03 -0.01 -0.03 0.07 0.06 0.18
CHEP 0.29 -0.22 -0.18 -0.01 -0.10 0.08 -0.16 0.05 -0.55 0.06
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