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 to (2y 10m 20d)

Returns (annualized)

Portfolio 6.98%
Benchmark 5.17%

Risk (annualized)

Portfolio 22.02%
Benchmark 22.99%

Sharpe (annualized)

Portfolio 0.23
Benchmark 0.15

Excess Return (annualized)

1.81%

Tracking Error (annualized)

6.32%

Information Ratio

0.29
Statistic Portfolio Benchmark
Downside Volatility 21.11% 22.85%
Sortino Ratio 0.24 0.15
Calmar Ratio 0.25 0.16
Ulcer Index 14.73 14.44
Max Drawdown 20.40% 22.37%
VaR (99% Confidence) $-5,119 $-5,343
VaR (99.9% Confidence) $-6,800 $-7,098
Beta to Benchmark 0.92 N/A

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

Growth Charts

Historical Weights

Return Distribution

Excess Kurtosis

1.27

Skew

0.19
Data Table
Factor Coefficients
Factor Portfolio Benchmark
High Beta (Low Beta) 0.0889 0.0889
Market Factor 1.0255 1.0255
Size Factor 0.8166 0.8166
Style Factor 0.3875 0.3875
U.S. Tilt (Non U.S.) 0.4134 0.4134

Adjusted R2

Portfolio 0.95
Benchmark 1.00

Intercept

Portfolio -0.00
Benchmark -0.00

Factor Attribution