Verified factor-set theme
Size + Value + Profitability + Momentum ETFs
This theme groups US-listed equity ETFs that share the same statistically significant, material FF6 US non-market factor set. It is a factor-exposure cluster, not a category label or recommendation.
SMB
HML
RMW
UMD
7 funds · 10 qualifying comparison pairs
Funds in This Factor Set
Invesco S&P SmallCap Low Volatility ETF
Rel. Sharpe 1.077 · Adj. R2 0.842 · MER 0.25%
1.077
0.881
First Trust Small Cap Value AlphaDEX Fund
Rel. Sharpe 0.842 · Adj. R2 0.960 · MER 0.70%
0.842
0.800
First Trust Multi Cap Value AlphaDEX Fund
Rel. Sharpe 0.758 · Adj. R2 0.961 · MER 0.66%
0.758
First Trust Mid Cap Value AlphaDEX Fund
Rel. Sharpe 0.682 · Adj. R2 0.957 · MER 0.74%
0.682
Invesco S&P Smallcap 600 Pure Value ETF
Rel. Sharpe 0.650 · Adj. R2 0.918 · MER 0.35%
0.650
Top Pair Comparisons
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