SMART BETA ETFS: FACTOR SCORES

Measuring the Factor Bang for the Buck

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.

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FACTOR DEFINITIONS