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 6m 3d)

Returns (annualized)

Portfolio 6.91%
Benchmark 6.57%

Risk (annualized)

Portfolio 22.71%
Benchmark 23.37%

Sharpe (annualized)

Portfolio 0.22
Benchmark 0.21

Excess Return (annualized)

0.34%

Tracking Error (annualized)

6.34%

Information Ratio

0.05
Statistic Portfolio Benchmark
Downside Volatility 21.83% 23.12%
Sortino Ratio 0.23 0.21
Calmar Ratio 0.18 0.18
Ulcer Index 14.57 14.37
Max Drawdown 27.92% 27.50%
VaR (99% Confidence) $-5,280 $-5,434
VaR (99.9% Confidence) $-7,013 $-7,219
Beta to Benchmark 0.94 N/A

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

Growth Charts

Historical Weights

Return Distribution

Excess Kurtosis

2.96

Skew

0.20
Data Table
Factor Coefficients
Factor Portfolio Benchmark Excess
High Beta (Low Beta) 0.1008 -0.0041 0.1049
Market Factor 1.0390 0.9984 0.0406
Size Factor 0.8203 0.9995 -0.1791
Style Factor 0.3975 0.0024 0.3950
U.S. Tilt (Non U.S.) 0.4287 0.3682 0.0605

Adjusted R2

Portfolio 0.95
Benchmark 1.00

Intercept

Portfolio -0.00
Benchmark -0.00

Factor Attribution