US Small Cap Value ETFs

Specification

Policy
Rebalancing Interval Quarterly
Weights Algorithm Equal Weights
Assets
AVANTIS U.S. SMALL CAP VALUE ETF (AVUV)
DIMENSIONAL US SMALL CAP VALUE ETF (DFSV)
Invesco S&P SmallCap 600 Pure Value ETF (RZV)
iShares S&P Small-Cap 600 Value ETF (IJS)
Schwab Fundamental U.S. Small Company Index ETF (FNDA)
SPDR S&P 600 Small Cap Value ETF (SLYV)
VANGUARD S&P SMALL-CAP 600 VALUE INDEX FUND ETF SHARES (VIOV)
WisdomTree U.S. SmallCap Dividend Fund (DES)
Benchmark
iShares Russell 2000 ETF (IWM)

Description

A list of small cap value strategies offered by various providers in ETF vehicles.

Policy Report

Backtest Report

From to (2y 11m 26d)

Returns (annualized)

Portfolio 6.74%
Benchmark 5.72%

Risk (annualized)

Portfolio 21.81%
Benchmark 22.76%

Sharpe (annualized)

Portfolio 0.22
Benchmark 0.17

Excess Return (annualized)

1.01%

Tracking Error (annualized)

6.33%

Information Ratio

0.16
Statistic Portfolio Benchmark
Downside Volatility 20.98% 22.55%
Sortino Ratio 0.23 0.18
Calmar Ratio 0.23 0.18
Ulcer Index 14.74 14.45
Max Drawdown 20.40% 22.37%
VaR (99% Confidence) $-5,071 $-5,290
VaR (99.9% Confidence) $-6,736 $-7,027
Beta to Benchmark 0.92 N/A

Value at Risk (VaR) is calculated off a $10,000 portfolio value.

Growth Charts

Historical Weights

Return Distribution

Excess Kurtosis

1.30

Skew

0.19
Data Table
Factor Coefficients
Factor Portfolio Benchmark
High Beta (Low Beta) 0.0825 0.0825
Market Factor 1.0239 1.0239
Size Factor 0.8214 0.8214
Style Factor 0.3792 0.3792
U.S. Tilt (Non U.S.) 0.4082 0.4082

Adjusted R2

Portfolio 0.95
Benchmark 1.00

Intercept

Portfolio -0.00
Benchmark -0.00

Factor Attribution