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 4m 15d)

Returns (annualized)

Portfolio 5.83%
Benchmark 5.29%

Risk (annualized)

Portfolio 22.77%
Benchmark 23.48%

Sharpe (annualized)

Portfolio 0.18
Benchmark 0.16

Excess Return (annualized)

0.54%

Tracking Error (annualized)

6.33%

Information Ratio

0.08
Statistic Portfolio Benchmark
Downside Volatility 22.06% 23.39%
Sortino Ratio 0.18 0.16
Calmar Ratio 0.15 0.14
Ulcer Index 14.58 14.35
Max Drawdown 27.92% 27.50%
VaR (99% Confidence) $-5,293 $-5,460
VaR (99.9% Confidence) $-7,031 $-7,252
Beta to Benchmark 0.93 N/A

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

Growth Charts

Historical Weights

Return Distribution

Excess Kurtosis

3.02

Skew

0.17
Data Table
Factor Coefficients
Factor Portfolio Benchmark
High Beta (Low Beta) 0.1018 0.1018
Market Factor 1.0365 1.0365
Size Factor 0.8185 0.8185
Style Factor 0.3935 0.3935
U.S. Tilt (Non U.S.) 0.4299 0.4299

Adjusted R2

Portfolio 0.95
Benchmark 1.00

Intercept

Portfolio -0.00
Benchmark -0.00

Factor Attribution