US Small Cap Value ETFs

Portfolio Specification

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)

Policy

Rebalancing Interval Quarterly
Weights Algorithm Equal Weights

Benchmark

iShares Russell 2000 ETF (IWM)

This portfolio is listed on the Community Portfolios page.

Portfolio Description

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

Policy Report

Backtest Report

From to (4m 16d)

Returns

Portfolio 13.12%
Benchmark 15.53%

Risk (annualized)

Portfolio 18.79%
Benchmark 19.57%

Sharpe (annualized)

Portfolio 1.60
Benchmark 1.82

Excess Return

-2.41%

Tracking Error (annualized)

7.76%

Information Ratio

-1.01
Statistic Portfolio Benchmark
Downside Volatility 15.52% 17.79%
Sortino Ratio 1.94 2.00
Calmar Ratio 4.15 4.21
Ulcer Index 15.62 15.63
Max Drawdown 7.23% 8.48%
VaR (99% Confidence) $-4,349 $-4,529
VaR (99.9% Confidence) $-5,777 $-6,016
Beta to Benchmark 0.88 N/A

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

Growth Charts

Historical Weights

Return Distribution

Excess Kurtosis

1.74

Skew

0.58
Data Table
Factor Coefficients
Factor Portfolio Benchmark Excess
High Beta (Low Beta) 0.0805 -0.0055 0.0860
Market Factor 1.2112 0.9986 0.2126
Size Factor 0.5779 0.9925 -0.4146
Style Factor 0.5908 0.0170 0.5738
U.S. Tilt (Non U.S.) 0.2954 0.3401 -0.0448

Adjusted R2

Portfolio 0.89
Benchmark 1.00

Intercept

Portfolio -0.00
Benchmark -0.00

Factor Attribution