US Small Cap Value ETFs

Specification

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 2m 22d)

Returns (annualized)

Portfolio 6.11%
Benchmark 3.72%

Risk (annualized)

Portfolio 22.37%
Benchmark 23.46%

Sharpe (annualized)

Portfolio 0.20
Benchmark 0.10

Excess Return (annualized)

2.38%

Tracking Error (annualized)

6.61%

Risk Free Rate (annualized)

4.10%

Growth Charts

Historical Weights

Return Distribution

Excess Kurtosis

0.77

Skew

0.09
Data Table
Factor Coefficients
Factor Portfolio Benchmark
High Beta (Low Beta) 0.1053 0.1053
Market Factor 1.0331 1.0331
Size Factor 0.7980 0.7980
Style Factor 0.4423 0.4423
U.S. Tilt (Non U.S.) 0.4339 0.4339

Adjusted R2

Portfolio 0.95
Benchmark 1.00

Intercept

Portfolio -0.00
Benchmark -0.00

Factor Attribution