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 29d)

Returns (annualized)

Portfolio 7.11%
Benchmark 7.96%

Risk (annualized)

Portfolio 22.51%
Benchmark 23.18%

Sharpe (annualized)

Portfolio 0.23
Benchmark 0.27

Excess Return (annualized)

-0.85%

Tracking Error (annualized)

6.37%

Information Ratio

-0.13
Statistic Portfolio Benchmark
Downside Volatility 21.63% 22.92%
Sortino Ratio 0.24 0.27
Calmar Ratio 0.19 0.22
Ulcer Index 14.60 14.43
Max Drawdown 27.92% 27.50%
VaR (99% Confidence) $-5,232 $-5,390
VaR (99.9% Confidence) $-6,951 $-7,160
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

2.98

Skew

0.18
Data Table
Factor Coefficients
Factor Portfolio Benchmark Excess
High Beta (Low Beta) 0.1019 -0.0037 0.1056
Market Factor 1.0436 0.9987 0.0450
Size Factor 0.8075 0.9985 -0.1910
Style Factor 0.4051 0.0032 0.4019
U.S. Tilt (Non U.S.) 0.4271 0.3678 0.0594

Adjusted R2

Portfolio 0.95
Benchmark 1.00

Intercept

Portfolio -0.00
Benchmark -0.00

Factor Attribution