SMART BETA ETFS: FACTOR SCORES
Measuring the Factor Bang for the Buck
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
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 |