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)

This portfolio is listed on the Community Portfolios page.

Portfolio Description

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

Policy Report

Backtest Report

From to (4y 3m 24d)

Returns (annualized)

Portfolio 10.52%
Benchmark 11.23%

Risk (annualized)

Portfolio 21.78%
Benchmark 22.76%

Sharpe (annualized)

Portfolio 0.38
Benchmark 0.40

Excess Return (annualized)

-0.70%

Tracking Error (annualized)

7.03%

Information Ratio

-0.10
Statistic Portfolio Benchmark
Downside Volatility 20.98% 22.65%
Sortino Ratio 0.40 0.40
Calmar Ratio 0.30 0.33
Ulcer Index 14.73 14.58
Max Drawdown 27.92% 27.50%
VaR (99% Confidence) $-5,064 $-5,291
VaR (99.9% Confidence) $-6,727 $-7,029
Beta to Benchmark 0.91 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

0.18
Data Table
Factor Coefficients
Factor Portfolio Benchmark Excess
High Beta (Low Beta) 0.0401 -0.0052 0.0453
Market Factor 1.0158 0.9975 0.0183
Size Factor 0.8016 0.9990 -0.1974
Style Factor 0.3775 0.0019 0.3756
U.S. Tilt (Non U.S.) 0.4618 0.3675 0.0943

Adjusted R2

Portfolio 0.93
Benchmark 1.00

Intercept

Portfolio -0.00
Benchmark -0.00

Factor Attribution