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)

Portfolio Description

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

Policy Report

Backtest Report

From to (3y 4m 16d)

Returns (annualized)

Portfolio 5.49%
Benchmark 4.85%

Risk (annualized)

Portfolio 22.76%
Benchmark 23.48%

Sharpe (annualized)

Portfolio 0.16
Benchmark 0.14

Excess Return (annualized)

0.64%

Tracking Error (annualized)

6.33%

Information Ratio

0.10
Statistic Portfolio Benchmark
Downside Volatility 22.05% 23.39%
Sortino Ratio 0.17 0.14
Calmar Ratio 0.13 0.12
Ulcer Index 14.58 14.35
Max Drawdown 27.92% 27.50%
VaR (99% Confidence) $-5,291 $-5,459
VaR (99.9% Confidence) $-7,029 $-7,252
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

3.02

Skew

0.18
Data Table
Factor Coefficients
Factor Portfolio Benchmark
High Beta (Low Beta) 0.1023 0.1023
Market Factor 1.0365 1.0365
Size Factor 0.8178 0.8178
Style Factor 0.3939 0.3939
U.S. Tilt (Non U.S.) 0.4301 0.4301

Adjusted R2

Portfolio 0.95
Benchmark 1.00

Intercept

Portfolio -0.00
Benchmark -0.00

Factor Attribution