US Small Cap Value ETFs

Portfolio Specification

Portfolio Description

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

Policy Report

Backtest Report

From to (3y 7m 14d)

Returns (annualized)

Portfolio 6.49%
Benchmark 7.54%

Risk (annualized)

Portfolio 22.48%
Benchmark 23.12%

Sharpe (annualized)

Portfolio 0.21
Benchmark 0.25

Excess Return (annualized)

-1.05%

Tracking Error (annualized)

6.33%

Information Ratio

-0.17
Statistic Portfolio Benchmark
Downside Volatility 21.54% 22.85%
Sortino Ratio 0.22 0.25
Calmar Ratio 0.17 0.21
Ulcer Index 14.59 14.41
Max Drawdown 27.92% 27.50%
VaR (99% Confidence) $-5,226 $-5,376
VaR (99.9% Confidence) $-6,942 $-7,141
Beta to Benchmark 0.94 N/A

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

Growth Charts

Historical Weights

Return Distribution

Excess Kurtosis

3.03

Skew

0.20
Data Table
Factor Coefficients
Factor Portfolio Benchmark Excess
High Beta (Low Beta) 0.0987 -0.0041 0.1028
Market Factor 1.0408 0.9986 0.0423
Size Factor 0.8179 0.9989 -0.1810
Style Factor 0.3990 0.0029 0.3961
U.S. Tilt (Non U.S.) 0.4273 0.3678 0.0595

Adjusted R2

Portfolio 0.95
Benchmark 1.00

Intercept

Portfolio -0.00
Benchmark -0.00

Factor Attribution