SMART BETA ETFS: FACTOR SCORES

Measuring the Factor Bang for the Buck

Factor:

Market Cap:

Ticker	Name	Factor	Market Cap	Factor Score	Factor Beta	R2	Fees	AUM ($m)
CFA	VictoryShares US 500 Volatility Wtd ETF	Low Volatility	Large Cap	0.20	0.07	0.94	0.35	917
CSA	VictoryShares US Small Cap Volatility Wtd ETF	Low Volatility	Small Cap	-0.40	-0.10	0.80	0.35	24
DEF	Invesco Defensive Equity ETF	Low Volatility	Total Market	0.87	0.48	0.91	0.55	290
FDLO	Fidelity Low Volatility Factor ETF	Low Volatility	Large Cap	1.53	0.44	0.94	0.29	408
JMIN	JPMorgan U.S. Minimum Volatility ETF	Low Volatility	Large Cap	4.72	0.56	0.92	0.12	114
LGLV	SPDR SSGA U.S. Large Cap Low Volatility Index ETF	Low Volatility	Large Cap	5.85	0.70	0.96	0.12	996
ONEV	SPDR Russell 1000 Low Volatility Focus ETF	Low Volatility	Large Cap	0.62	0.12	0.87	0.20	591
RBUS	Nationwide Risk-Based U.S. Equity ETF	Low Volatility	Large Cap	1.79	0.53	0.91	0.30	122
SMLV	SPDR SSGA U.S. Small Cap Low Volatility Index ETF	Low Volatility	Small Cap	1.36	0.16	0.92	0.12	328
SMMV	iShares Edge MSCI Min Vol U.S.A. Small-Cap ETF	Low Volatility	Small Cap	2.82	0.56	0.84	0.20	541
SPLV	Invesco S&P 500 Low Volatility ETF	Low Volatility	Large Cap	3.82	0.95	0.92	0.25	12,390
USLB	Invesco Russell 1000 Low Beta Equal Weight ETF	Low Volatility	Large Cap	0.85	0.29	0.79	0.35	65
USMV	iShares Edge MSCI Min Vol U.S.A. ETF	Low Volatility	Total Market	4.97	0.74	0.95	0.15	38,240
XMLV	Invesco S&P MidCap Low Volatility ETF	Low Volatility	Mid Cap	2.21	0.55	0.84	0.25	3,760
XRLV	Invesco S&P 500 ex-Rate Sensitive Low Volatility ETF	Low Volatility	Large Cap	1.94	0.48	0.93	0.25	134
XSLV	Invesco S&P SmallCap Low Volatility ETF	Low Volatility	Small Cap	1.32	0.33	0.88	0.25	2,400
DWAQ	Invesco DWA NASDAQ Momentum ETF	Momentum	Total Market	1.33	0.79	0.56	0.60	52
DWAS	Invesco DWA SmallCap Momentum ETF	Momentum	Small Cap	0.85	0.51	0.86	0.60	249
EPS	WisdomTree U.S. LargeCap Fund	Momentum	Large Cap	-1.70	-0.10	0.97	0.08	433
FDMO	Fidelity Momentum Factor ETF	Momentum	Large Cap	1.54	0.44	0.94	0.29	102
JMOM	JPMorgan U.S. Momentum Factor ETF	Momentum	Large Cap	3.35	0.40	0.96	0.12	59
MMTM	SPDR S&P 1500 Momentum Tilt ETF	Momentum	Total Market	1.66	0.19	0.94	0.12	63
MTUM	iShares Edge MSCI U.S.A. Momentum Factor ETF	Momentum	Total Market	3.08	0.46	0.88	0.15	10,070
ONEO	SPDR Russell 1000 Momentum Focus ETF	Momentum	Large Cap	0.21	0.04	0.92	0.20	357
PDP	Invesco DWA Momentum ETF	Momentum	Total Market	0.94	0.58	0.93	0.62	1,840
QMOM	Alpha Architect U.S. Quantitative Momentum ETF	Momentum	Total Market	2.29	1.12	0.84	0.49	66
SPMO	Invesco S&P 500 Momentum ETF	Momentum	Large Cap	3.41	0.44	0.86	0.13	67
XMMO	Invesco S&P Midcap Momentum ETF	Momentum	Mid Cap	1.04	0.40	0.84	0.39	696
XSMO	Invesco S&P SmallCap Momentum ETF	Momentum	Small Cap	1.20	0.47	0.89	0.39	87
AUSF	Global X Adaptive U.S. Factor ETF	Multi-Factor	Total Market	1.55	0.41	0.87	0.27	209
CLRG	IQ Chaikin U.S. Large Cap ETF	Multi-Factor	Large Cap	0.80	0.20	0.76	0.25	279
CSML	IQ Chaikin U.S. Small Cap ETF	Multi-Factor	Small Cap	-0.40	-0.10	0.91	0.35	159
CZA	Invesco Zacks Mid-Cap ETF	Multi-Factor	Mid Cap	-0.10	0.00	0.86	0.76	325
DEUS	Xtrackers Russell 1000 Comprehensive Factor ETF	Multi-Factor	Large Cap	4.33	0.73	0.95	0.17	230
FCTR	First Trust Lunt U.S. Factor Rotation ETF	Multi-Factor	Large Cap	1.17	0.76	0.87	0.65	66
FEX	First Trust Large Cap Core AlphaDEX Fund	Multi-Factor	Large Cap	0.77	0.46	0.96	0.60	1,350
FLQL	Franklin LibertyQ U.S. Equity ETF	Multi-Factor	Large Cap	4.10	0.61	0.96	0.15	1,470
FNDA	Schwab Fundamental U.S. Small Company Index ETF	Multi-Factor	Small Cap	0.50	0.12	0.95	0.25	3,870
FNDB	Schwab Fundamental U.S. Broad Market Index ETF	Multi-Factor	Total Market	0.01	0.00	0.93	0.25	297
FNDX	Schwab Fundamental U.S. Large Company Index ETF	Multi-Factor	Large Cap	0.46	0.11	0.94	0.25	6,250
FNX	First Trust Mid Cap Core AlphaDEX Fund	Multi-Factor	Mid Cap	-0.10	0.00	0.92	0.61	875
FYT	First Trust Small Cap Value AlphaDEX Fund	Multi-Factor	Small Cap	-0.30	-0.20	0.79	0.72	66
FYX	First Trust Small Cap Core AlphaDEX Fund	Multi-Factor	Small Cap	0.00	0.00	0.95	0.63	549
GSLC	Goldman Sachs ActiveBeta U.S. Large Cap Equity ETF	Multi-Factor	Large Cap	2.58	0.23	0.99	0.09	8,180
GSSC	Goldman Sachs ActiveBeta U.S. Small Cap Equity ETF	Multi-Factor	Small Cap	0.44	0.08	0.97	0.20	96
IUS	Invesco RAFI Strategic US ETF	Multi-Factor	Large Cap	-0.40	0.00	0.48	0.19	134
IUSS	Invesco RAFI Strategic US Small Company ETF	Multi-Factor	Small Cap	-0.90	-0.20	0.42	0.23	27
JHML	John Hancock Multifactor Large Cap ETF	Multi-Factor	Large Cap	0.77	0.26	0.98	0.34	937
JHMM	John Hancock Multifactor Mid Cap ETF	Multi-Factor	Mid Cap	0.06	0.02	0.98	0.44	1,650
JHSC	John Hancock Multifactor Small Cap ETF	Multi-Factor	Small Cap	0.49	0.24	0.95	0.50	533
JPME	JPMorgan Diversified Return U.S. Mid Cap Equity ETF	Multi-Factor	Mid Cap	0.60	0.14	0.96	0.24	217
JPSE	JPMorgan Diversified Return U.S. Small Cap Equity ETF	Multi-Factor	Small Cap	0.74	0.21	0.96	0.29	192
JPUS	JPMorgan Diversified Return U.S. Equity ETF	Multi-Factor	Large Cap	2.99	0.56	0.96	0.19	852
LRGF	iShares Edge MSCI Multifactor U.S.A. ETF	Multi-Factor	Total Market	1.61	0.32	0.94	0.20	961
LSAF	LeaderShares AlphaFactor U.S. Core Equity ETF	Multi-Factor	Large Cap	0.69	0.51	0.91	0.75	77
MFUS	PIMCO RAFI Dynamic Multi-Factor U.S. Equity ETF	Multi-Factor	Total Market	1.58	0.45	0.94	0.29	135
OMFL	Invesco Russell 1000 Dynamic Multifactor ETF	Multi-Factor	Large Cap	0.41	0.12	0.74	0.29	1,190
OMFS	Invesco Russell 2000 Dynamic Multifactor ETF	Multi-Factor	Small Cap	-0.40	-0.10	0.80	0.39	59
PRF	Invesco FTSE RAFI U.S. 1000 ETF	Multi-Factor	Large Cap	0.31	0.12	0.94	0.39	5,520
PSC	Principal U.S. Small-Cap Multi-Factor Index ETF	Multi-Factor	Small Cap	-0.10	0.00	0.71	0.38	393
PWC	Invesco Dynamic Market ETF	Multi-Factor	Total Market	0.87	0.51	0.90	0.59	144
QUS	SPDR MSCI USA StrategicFactors ETF	Multi-Factor	Total Market	1.39	0.20	0.92	0.15	695
ROUS	Hartford Multifactor US Equity ETF	Multi-Factor	Large Cap	2.24	0.42	0.89	0.19	350
SCIU	Global X Scientific Beta U.S. ETF	Multi-Factor	Large Cap	3.07	0.58	0.95	0.19	96
SMLF	iShares Edge MSCI Multifactor U.S.A. Small-Cap ETF	Multi-Factor	Small Cap	0.85	0.25	0.95	0.30	317
TILT	FlexShares Morningstar US Market Factor Tilt Index Fund	Multi-Factor	Total Market	0.23	0.05	0.96	0.25	1,520
USMC	Principal U.S. Mega-Cap Multi-Factor Index ETF	Multi-Factor	Large Cap	-0.10	0.00	0.91	0.12	1,510
USMF	WisdomTree U.S. Multifactor Fund	Multi-Factor	Total Market	1.98	0.55	0.91	0.28	206
VSMV	VictoryShares U.S. Multi-Factor Minimum Volatility ETF	Multi-Factor	Total Market	1.29	0.45	0.78	0.35	165
VUSE	Vident Core U.S. Equity Fund	Multi-Factor	Total Market	0.86	0.41	0.83	0.48	469
EZM	WisdomTree U.S. MidCap Fund	Quality	Mid Cap	-0.10	0.00	0.87	0.38	1,100
FQAL	Fidelity Quality Factor ETF	Quality	Large Cap	0.51	0.14	0.96	0.29	161
FTCS	First Trust Capital Strength ETF	Quality	Large Cap	0.45	0.27	0.94	0.60	3,560
JQUA	JPMorgan U.S. Quality Factor ETF	Quality	Large Cap	2.11	0.25	0.97	0.12	143
QARP	Xtrackers Russell 1000 U.S. Quality at a Reasonable Price ET?	Quality	Large Cap	1.10	0.21	0.92	0.19	110
QGRO	American Century STOXX U.S. Quality Growth ETF	Quality	Total Market	1.47	0.42	0.87	0.29	153
QUAL	iShares Edge MSCI U.S.A. Quality Factor ETF	Quality	Total Market	0.75	0.11	0.97	0.15	17,370
SPHQ	Invesco S&P 500 Quality ETF	Quality	Large Cap	1.49	0.22	0.95	0.15	1,800
XMHQ	Invesco S&P Midcap Quality ETF	Quality	Mid Cap	0.18	0.04	0.85	0.25	26
FDM	First Trust Dow Jones Select MicroCap Index Fund	Size	Small Cap	1.88	1.13	0.46	0.60	155
IJH	iShares Core S&P Mid-Cap ETF	Size	Mid Cap	12.30	0.73	0.27	0.06	53,090
IJR	iShares Core S&P Small-Cap ETF	Size	Small Cap	15.70	1.10	0.43	0.07	47,810
IVOO	Vanguard S&P Mid-Cap 400 ETF	Size	Mid Cap	18.60	0.74	0.27	0.04	1,000
IWM	iShares Russell 2000 ETF	Size	Small Cap	5.19	0.98	0.37	0.19	44,890
IWR	iShares Russell Mid-Cap ETF	Size	Mid Cap	2.20	0.41	0.14	0.19	21,850
MDY	SPDR S&P Midcap 400 ETF Trust	Size	Mid Cap	3.24	0.74	0.27	0.23	18,750
SCHA	Schwab U.S. Small-Cap ETF	Size	Small Cap	21.70	0.86	0.32	0.04	9,070
SIZE	iShares Edge MSCI U.S.A. Size Factor ETF	Size	Total Market	2.67	0.40	0.13	0.15	1,290
SLY	SPDR S&P 600 Small Cap ETF	Size	Small Cap	7.27	1.09	0.42	0.15	1,340
VB	Vanguard Small-Cap ETF	Size	Small Cap	15.00	0.75	0.27	0.05	29,160
VO	Vanguard Mid-Cap ETF	Size	Mid Cap	9.40	0.37	0.13	0.04	30,320
VXF	Vanguard Extended Market ETF	Size	Total Market	9.80	0.68	0.24	0.07	8,420
CALF	Pacer U.S. Small Cap Cash Cows 100 ETF	Value	Small Cap	0.56	0.33	0.87	0.59	44
COWZ	Pacer U.S. Cash Cows 100 ETF	Value	Large Cap	1.12	0.55	0.91	0.49	236
DVP	Deep Value ETF	Value	Large Cap	1.49	0.88	0.85	0.59	302
FAB	First Trust Multi Cap Value AlphaDEX Fund	Value	Total Market	0.85	0.60	0.90	0.71	84
FNK	First Trust Mid Cap Value AlphaDEX Fund	Value	Mid Cap	0.92	0.64	0.87	0.70	52
FTA	First Trust Large Cap Value AlphaDEX Fund	Value	Large Cap	0.95	0.57	0.96	0.60	1,100
FVAL	Fidelity Value Factor ETF	Value	Large Cap	0.78	0.22	0.95	0.29	202
FVL	First Trust Value Line 100 ETF	Value	Total Market	-0.40	-0.30	0.85	0.70	39
IJJ	iShares S&P Mid-Cap 400 Value ETF	Value	Mid Cap	1.59	0.39	0.94	0.25	6,350
IJS	iShares S&P Small-Cap 600 Value ETF	Value	Small Cap	1.04	0.26	0.96	0.25	6,450
IUSV	iShares Core S&P U.S. Value ETF	Value	Total Market	5.38	0.21	0.96	0.04	6,760
IVE	iShares S&P 500 Value ETF	Value	Large Cap	1.25	0.22	0.97	0.18	17,510
IVOV	Vanguard S&P Mid-Cap 400 Value ETF	Value	Mid Cap	2.72	0.40	0.93	0.15	762
IWD	iShares Russell 1000 Value ETF	Value	Large Cap	1.01	0.19	0.95	0.19	40,980
IWN	iShares Russell 2000 Value ETF	Value	Small Cap	0.85	0.20	0.96	0.24	9,460
IWS	iShares Russell Mid-Cap Value ETF	Value	Mid Cap	0.64	0.15	0.96	0.24	11,720
IWX	iShares Russell Top 200 Value ETF	Value	Large Cap	0.79	0.15	0.92	0.20	495
JKF	iShares Morningstar Large-Cap Value ETF	Value	Large Cap	0.78	0.19	0.90	0.25	550
JKI	iShares Morningstar Mid-Cap Value ETF	Value	Mid Cap	0.86	0.25	0.87	0.30	478
JKL	iShares Morningstar Small Cap Value ETF	Value	Small Cap	1.05	0.31	0.93	0.30	405
JVAL	JPMorgan U.S. Value Factor ETF	Value	Large Cap	2.97	0.35	0.96	0.12	75
MDYV	SPDR S&P 400 Mid Cap Value ETF	Value	Mid Cap	2.71	0.40	0.94	0.15	1,480
MGV	Vanguard Mega Cap Value ETF	Value	Large Cap	2.11	0.14	0.94	0.07	2,750
NULV	Nuveen ESG Large-Cap Value ETF	Value	Large Cap	0.38	0.13	0.91	0.35	140
NUMV	Nuveen ESG Mid-Cap Value ETF	Value	Mid Cap	0.49	0.19	0.92	0.40	54
PWV	Invesco Dynamic Large Cap Value ETF	Value	Large Cap	0.48	0.26	0.92	0.55	1,110
QVAL	Alpha Architect U.S. Quantitative Value ETF	Value	Total Market	1.59	0.77	0.91	0.49	104
RFV	Invesco S&P MidCap 400 Pure Value ETF	Value	Mid Cap	2.27	0.79	0.88	0.35	136
RPV	Invesco S&P 500 Pure Value ETF	Value	Large Cap	1.58	0.55	0.94	0.35	953
RZV	Invesco S&P SmallCap 600 Pure Value ETF	Value	Small Cap	1.62	0.56	0.90	0.35	180
SCHV	Schwab U.S. Large-Cap Value ETF	Value	Large Cap	4.58	0.18	0.94	0.04	7,060
SLYV	SPDR S&P 600 Small Cap Value ETF	Value	Small Cap	1.74	0.26	0.96	0.15	2,390
SPVU	Invesco S&P 500 Enhanced Value ETF	Value	Large Cap	4.71	0.61	0.93	0.13	79
SPYV	SPDR Portfolio S&P 500 Value ETF	Value	Large Cap	5.62	0.22	0.97	0.04	4,240
VBR	Vanguard Small-Cap Value ETF	Value	Small Cap	2.07	0.14	0.95	0.07	14,680
VIOV	Vanguard S&P Small-Cap 600 Value ETF	Value	Small Cap	1.77	0.26	0.95	0.15	416
VLUE	iShares Edge MSCI U.S.A. Value Factor ETF	Value	Total Market	3.10	0.46	0.95	0.15	4,630
VOE	Vanguard Mid-Cap Value ETF	Value	Mid Cap	2.40	0.16	0.95	0.07	10,390
VONV	Vanguard Russell 1000 Value ETF	Value	Large Cap	2.33	0.18	0.95	0.08	2,250
VOOV	Vanguard S&P 500 Value ETF	Value	Large Cap	1.49	0.22	0.96	0.15	1,240
VTV	Vanguard Value ETF	Value	Large Cap	4.27	0.17	0.94	0.04	55,490
VTWV	Vanguard Russell 2000 Value ETF	Value	Small Cap	1.50	0.22	0.95	0.15	283
JSMD	Janus Henderson Small/Mid Cap Growth Alpha ETF	Growth	Mid Cap	1.44	0.50	0.83	0.35	112
IWF	iShares Russell 1000 Growth ETF	Growth	Large Cap	2.15	0.40	0.96	0.19	51,070
VUG	Vanguard Growth ETF	Growth	Large Cap	8.95	0.35	0.95	0.04	49,710
IVW	iShares S&P 500 Growth ETF	Growth	Large Cap	1.26	0.22	0.95	0.18	25,640
SCHG	Schwab U.S. Large-Cap Growth ETF	Growth	Large Cap	8.94	0.35	0.96	0.04	9,720
SPYG	SPDR Portfolio S&P 500 Growth ETF	Growth	Large Cap	5.57	0.22	0.95	0.04	6,510
MGK	Vanguard Mega Cap Growth ETF	Growth	Large Cap	5.60	0.39	0.94	0.07	5,610
VONG	Vanguard Russell 1000 Growth ETF	Growth	Large Cap	5.03	0.40	0.95	0.08	3,540
VOOG	Vanguard S&P 500 Growth ETF	Growth	Large Cap	2.18	0.21	0.95	0.10	3,320
RPG	Invesco S&P 500 Pure Growth ETF	Growth	Large Cap	0.28	0.10	0.93	0.35	2,740
IWY	iShares Russell Top 200 Growth ETF	Growth	Large Cap	2.03	0.40	0.95	0.20	1,860
JKE	iShares Morningstar Large-Cap Growth ETF	Growth	Large Cap	2.04	0.51	0.91	0.25	1,300
FTC	First Trust Large Cap Growth AlphaDEX Fund	Growth	Large Cap	0.57	0.34	0.86	0.61	1,040
PWB	Invesco Dynamic Large Cap Growth ETF	Growth	Large Cap	0.41	0.23	0.85	0.55	732
SPGP	Invesco S&P 500 GARP ETF	Growth	Large Cap	0.35	0.12	0.85	0.35	511
NULG	Nuveen ESG Large-Cap Growth ETF	Growth	Large Cap	1.06	0.37	0.93	0.35	127
IWP	iShares Russell Mid-Cap Growth ETF	Growth	Mid Cap	1.93	0.46	0.94	0.24	11,920
IJK	iShares S&P Mid-Cap 400 Growth ETF	Growth	Mid Cap	0.16	0.04	0.95	0.24	7,520
VOT	Vanguard Mid-Cap Growth ETF	Growth	Mid Cap	4.52	0.31	0.94	0.07	7,240
MDYG	SPDR S&P 400 Mid Cap Growth ETF	Growth	Mid Cap	0.42	0.06	0.94	0.15	1,730
IVOG	Vanguard S&P Mid-Cap 400 Growth ETF	Growth	Mid Cap	0.63	0.09	0.94	0.15	803
JKH	iShares Morningstar Mid-Cap Growth ETF	Growth	Mid Cap	2.10	0.63	0.90	0.30	545
RFG	Invesco S&P MidCap 400 Pure Growth ETF	Growth	Mid Cap	0.37	0.13	0.88	0.35	383
FNY	First Trust Mid Cap Growth AlphaDEX Fund	Growth	Mid Cap	0.82	0.57	0.86	0.70	325
NUMG	Nuveen ESG Mid-Cap Growth ETF	Growth	Mid Cap	1.08	0.43	0.92	0.40	62
VBK	Vanguard Small-Cap Growth ETF	Growth	Small Cap	6.98	0.48	0.90	0.07	10,070
IWO	iShares Russell 2000 Growth ETF	Growth	Small Cap	1.42	0.34	0.96	0.24	9,850
IJT	iShares S&P Small-Cap 600 Growth ETF	Growth	Small Cap	0.25	0.06	0.97	0.25	5,520
SLYG	SPDR S&P 600 Small Cap Growth ETF	Growth	Small Cap	0.50	0.07	0.97	0.15	1,970
VIOG	Vanguard S&P Small-Cap 600 Growth ETF	Growth	Small Cap	0.77	0.12	0.96	0.16	397
VTWG	Vanguard Russell 2000 Growth ETF	Growth	Small Cap	2.17	0.32	0.96	0.15	345
FYC	First Trust Small Cap Growth AlphaDEX Fund	Growth	Small Cap	0.37	0.26	0.93	0.70	228
JKK	iShares Morningstar Small-Cap Growth ETF	Growth	Small Cap	2.32	0.69	0.90	0.30	227
RZG	Invesco S&P SmallCap 600 Pure Growth ETF	Growth	Small Cap	0.23	0.08	0.93	0.35	178
JSML	Janus Henderson Small Cap Growth Alpha ETF	Growth	Small Cap	1.38	0.48	0.75	0.35	47
IUSG	iShares Core S&P U.S. Growth ETF	Growth	Total Market	4.90	0.19	0.94	0.04	8,200
FAD	First Trust Multi Cap Growth AlphaDEX Fund	Growth	Total Market	0.56	0.37	0.85	0.66	186
VFMV	Vanguard U.S. Minimum Volatility ETF	Low Volatility	Total Market	3.65	0.47	0.87	0.13	109
VFMF	Vanguard U.S. Multifactor ETF	Multi-Factor	Total Market	2.39	0.43	0.90	0.18	100
FLLV	Franklin Liberty U.S. Low Volatility ETF	Low Volatility	Total Market	1.54	0.44	0.92	0.29	84
		Factor	Market Cap

DESCRIPTION

FactorResearch’s Factor Scores are calculated by dividing the factor exposure by the expense ratio, i.e. higher the factor score, the better the value-for-money proposition of an ETF. An investor seeking factor exposure via smart beta ETFs can use Factor Scores to compare products on relative basis.

The exposure represents the factor betas derived from a one-year regression analysis utilising daily data. Our current universe of smart beta ETFs only includes single-factor and multi-factor products in the US, which total 172 and represent a combined market capitalization of $800 billion. 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.

RELATED RESEARCH

How To Evaluate Smart Beta ETFs

Factor Scoring Smart Beta ETFs

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

SMART BETA ETFS: FACTOR SCORES

DESCRIPTION

RELATED RESEARCH

DOWNLOAD FACTOR GUIDE

FACTOR DEFINITIONS