SMART BETA ETF RANKING

Analyse the Factor Exposure of Selected US and European Smart Beta ETFs.

DESCRIPTION

The Smart Beta ETF Ranking highlights the factor exposure of selected smart beta ETFs in the US and Europe. 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 smart beta ETF approximates the behaviour of the factor, on average. The Multi-Factor Beta (MUL) is an average across all seven factors. Please see the factor definitions below or our Factor Guide for further details on factor construction.

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

Please see our ETF Analyser for factor exposure analysis of 3,000+ ETFs in the US and Europe.

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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