Verified factor-set theme
Size + Value + Profitability ETFs
These US-listed equity ETFs appear in qualifying close-risk pairs that share verified FF6 US exposure to the factors shown below. Individual funds can have additional material factor exposures. How similarity is measured.
SMB
HML
RMW
10 funds · 13 qualifying comparison pairs
Funds in Qualifying Pairs
State Street SPDR US Small Cap Low Volatility Index ETF
Rel. Sharpe 1.363 · Adj. R2 0.910 · MER 0.12%
1.363
ProShares Russell 2000 Dividend Growers ETF
Rel. Sharpe 1.215 · Adj. R2 0.809 · MER 0.40%
1.215
VictoryShares US Small Cap High Dividend Volatility Wtd ETF
Rel. Sharpe 1.098 · Adj. R2 0.946 · MER 0.40%
1.098
1.076
WisdomTree US Smallcap Quality Dividend Growth Fund
Rel. Sharpe 1.029 · Adj. R2 0.953 · MER 0.38%
1.029
Invesco S&P MidCap Value with Momentum ETF
Rel. Sharpe 1.007 · Adj. R2 0.898 · MER 0.41%
1.007
WisdomTree U.S. SmallCap Dividend Fund
Rel. Sharpe 0.874 · Adj. R2 0.938 · MER 0.38%
0.874
First Trust Small Cap Value AlphaDEX Fund
Rel. Sharpe 0.869 · Adj. R2 0.956 · MER 0.70%
0.869
First Trust Multi Cap Value AlphaDEX Fund
Rel. Sharpe 0.783 · Adj. R2 0.959 · MER 0.66%
0.783
First Trust Mid Cap Value AlphaDEX Fund
Rel. Sharpe 0.704 · Adj. R2 0.954 · MER 0.74%
0.704
Top Pair Comparisons
SMDV
SMLV
SMLV
Modeled factor tracking error 0.92%/yr · longer factor history 1.04%/yr · Very close factor fit
93
DES
SMLV
SMLV
Modeled factor tracking error 1.09%/yr · longer factor history 1.14%/yr · Very close factor fit
92
AVUV
DGRS
DGRS
Modeled factor tracking error 0.98%/yr · longer factor history 1.16%/yr · Very close factor fit
92
FNK
XMVM
XMVM
Modeled factor tracking error 1.59%/yr · longer factor history 1.64%/yr · Factor-similar
89
DES
SMDV
SMDV
Modeled factor tracking error 1.55%/yr · longer factor history 1.84%/yr · Factor-similar
88
CSB
SMDV
SMDV
Modeled factor tracking error 2.21%/yr · longer factor history 2.21%/yr · Factor-similar
85
CSB
SMLV
SMLV
Modeled factor tracking error 2.37%/yr · longer factor history 2.22%/yr · Factor-similar
84
DES
DGRS
DGRS
Modeled factor tracking error 1.98%/yr · longer factor history 2.37%/yr · Factor-similar
84
FAB
XMVM
XMVM
Modeled factor tracking error 2.35%/yr · longer factor history 2.65%/yr · Factor-similar
82
CSB
DES
DES
Modeled factor tracking error 2.84%/yr · longer factor history 2.70%/yr · Factor-similar
81
AVUV
DES
DES
Modeled factor tracking error 2.15%/yr · longer factor history 2.91%/yr · Factor-similar
81
AVUV
FYT
FYT
Modeled factor tracking error 2.91%/yr · longer factor history 2.54%/yr · Factor-similar
81
DGRS
FYT
FYT
Modeled factor tracking error 2.94%/yr · longer factor history 2.92%/yr · Factor-similar
80
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