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

Factor Description Variables
Value (VAL) Buy cheap and sell expensive stocks Combination of price-to-book and price-to-earnings ratios
Size (SIZ) Buy small and sell large stocks Current market capitalisation
Momentum (MOM) Buy winners and sell losers Return over the past 12 months, excluding the most recent month
Low Volatility (LOV) Buy less volatile and sell more volatile stocks Standard deviation over the past 12 months
Quality (QUA) Buy high and sell low quality companies Combination of return-on-equity and debt-over-equity ratios
Growth (GRO) Buy growing and sell declining companies Combination of 3-year sales per share and earnings per share growth rates
Dividend Yield (DIV) Buy high yielding and sell low yielding stocks Current dividend yield

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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