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 2022-02-25 to 2024-07-25 (2y 5m)

Returns (annualized)

Portfolio	7.58%
Benchmark	6.10%

Risk (annualized)

Portfolio	22.16%
Benchmark	23.18%

Sharpe (annualized)

Portfolio	0.26
Benchmark	0.19

Excess Return (annualized)

1.48%

Tracking Error (annualized)

6.58%

Risk Free Rate (annualized)

4.19%

Growth Charts

Historical Weights

Return Distribution

Excess Kurtosis

0.80

Skew

0.12

Data Table

Factor Coefficients
Factor	Portfolio	Benchmark
High Beta (Low Beta)	0.0996	0.0996
Market Factor	1.0318	1.0318
Size Factor	0.7940	0.7940
Style Factor	0.4273	0.4273
U.S. Tilt (Non U.S.)	0.4232	0.4232

Adjusted R²

Portfolio	0.95
Benchmark	1.00

Intercept

Portfolio	-0.00
Benchmark	-0.00

Factor Attribution