Verified factor-set theme
Size 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
79 funds · 411 qualifying comparison pairs
Funds in Qualifying Pairs
1.302
1.266
1.261
1.188
1.183
1.159
State Street SPDR S&P 600 Small Cap Value ETF
Rel. Sharpe 1.103 · Adj. R2 0.956 · MER 0.15%
1.103
Invesco S&P SmallCap 600 QVM Multi-factor ETF
Rel. Sharpe 1.096 · Adj. R2 0.967 · MER 0.15%
1.096
1.080
iShares U.S. SmallCap Equity Factor ETF
Rel. Sharpe 1.078 · Adj. R2 0.934 · MER 0.15%
1.078
1.076
1.073
1.062
1.050
VictoryShares US Small Mid Cap Value Momentum ETF
Rel. Sharpe 1.039 · Adj. R2 0.961 · MER 0.29%
1.039
Fidelity Fundamental Small-Mid Cap ETF
Rel. Sharpe 1.030 · Adj. R2 0.908 · MER 0.43%
1.030
WisdomTree US Smallcap Quality Dividend Growth Fund
Rel. Sharpe 1.029 · Adj. R2 0.953 · MER 0.38%
1.029
1.017
Schwab Fundamental U.S. Small Company ETF
Rel. Sharpe 1.012 · Adj. R2 0.973 · MER 0.25%
1.012
1.009
JPMorgan Diversified Return U.S. Small Cap Equity ETF
Rel. Sharpe 1.008 · Adj. R2 0.971 · MER 0.29%
1.008
Invesco S&P MidCap Value with Momentum ETF
Rel. Sharpe 1.007 · Adj. R2 0.898 · MER 0.41%
1.007
State Street SPDR Portfolio S&P 600 Small Cap ETF
Rel. Sharpe 0.999 · Adj. R2 0.977 · MER 0.03%
0.999
0.997
0.989
0.984
0.967
0.954
0.940
0.939
First Trust Small Cap Core Alphadex Fund
Rel. Sharpe 0.937 · Adj. R2 0.975 · MER 0.58%
0.937
0.936
State Street SPDR Portfolio S&P 400 Mid Cap ETF
Rel. Sharpe 0.932 · Adj. R2 0.938 · MER 0.03%
0.932
Invesco S&P MidCap 400 QVM Multi-factor ETF
Rel. Sharpe 0.927 · Adj. R2 0.932 · MER 0.15%
0.927
0.924
Invesco Russell 2000 Dynamic Multifactor ETF
Rel. Sharpe 0.906 · Adj. R2 0.939 · MER 0.39%
0.906
0.906
0.903
0.900
0.888
0.887
State Street SPDR S&P 400 Mid Cap Value ETF
Rel. Sharpe 0.881 · Adj. R2 0.948 · MER 0.15%
0.881
WisdomTree U.S. SmallCap Dividend Fund
Rel. Sharpe 0.874 · Adj. R2 0.938 · MER 0.38%
0.874
State Street SPDR S&P 400 Mid Cap Growth ETF
Rel. Sharpe 0.860 · Adj. R2 0.906 · MER 0.15%
0.860
iShares Morningstar Small Cap Value ETF
Rel. Sharpe 0.853 · Adj. R2 0.969 · MER 0.06%
0.853
JPMorgan BetaBuilders U.S. Small Cap Equity Fund
Rel. Sharpe 0.848 · Adj. R2 0.985 · MER 0.09%
0.848
0.839
0.823
iShares ESG Aware MSCI USA Small-Cap ETF
Rel. Sharpe 0.820 · Adj. R2 0.978 · MER 0.17%
0.820
iShares ESG Select Screened S&P Small-Cap ETF
Rel. Sharpe 0.783 · Adj. R2 0.970 · MER 0.12%
0.783
0.779
Janus Henderson Small/Mid Cap Growth Alpha ETF
Rel. Sharpe 0.771 · Adj. R2 0.911 · MER 0.30%
0.771
ALPS O'Shares US Small-Cap Quality Dividend ETF
Rel. Sharpe 0.748 · Adj. R2 0.924 · MER 0.48%
0.748
0.722
iShares Morningstar Small-Cap Growth ETF
Rel. Sharpe 0.717 · Adj. R2 0.959 · MER 0.06%
0.717
JPMorgan BetaBuilders U.S. Mid Cap Equity ETF
Rel. Sharpe 0.694 · Adj. R2 0.941 · MER 0.07%
0.694
First Trust Industrials/Producer Durables AlphaDEX Fund
Rel. Sharpe 0.668 · Adj. R2 0.855 · MER 0.60%
0.668
Invesco S&P Smallcap 600 Pure Value ETF
Rel. Sharpe 0.667 · Adj. R2 0.913 · MER 0.35%
0.667
0.660
John Hancock Multifactor Small Cap ETF
Rel. Sharpe 0.639 · Adj. R2 0.963 · MER 0.46%
0.639
0.625
State Street SPDR S&P 600 Small Cap Growth ETF
Rel. Sharpe 0.621 · Adj. R2 0.925 · MER 0.15%
0.621
Janus Henderson Small Cap Growth Alpha ETF
Rel. Sharpe 0.616 · Adj. R2 0.910 · MER 0.30%
0.616
iShares ESG Select Screened S&P Mid-Cap ETF
Rel. Sharpe 0.597 · Adj. R2 0.935 · MER 0.12%
0.597
0.591
Invesco Bloomberg Analyst Rating Improvers ETF
Rel. Sharpe 0.580 · Adj. R2 0.879 · MER 0.40%
0.580
Top Pair Comparisons
IJH
SPMD
SPMD
Modeled factor tracking error 0.03%/yr · longer factor history 0.03%/yr · Very close factor fit
100
IJK
MDYG
MDYG
Modeled factor tracking error 0.04%/yr · longer factor history 0.07%/yr · Very close factor fit
100
IJR
SPSM
SPSM
Modeled factor tracking error 0.08%/yr · longer factor history 0.07%/yr · Very close factor fit
99
IJH
IVOO
IVOO
Modeled factor tracking error 0.06%/yr · longer factor history 0.10%/yr · Very close factor fit
99
IJR
VIOO
VIOO
Modeled factor tracking error 0.09%/yr · longer factor history 0.10%/yr · Very close factor fit
99
IVOO
SPMD
SPMD
Modeled factor tracking error 0.07%/yr · longer factor history 0.11%/yr · Very close factor fit
99
IJT
VIOG
VIOG
Modeled factor tracking error 0.09%/yr · longer factor history 0.11%/yr · Very close factor fit
99
IWM
VTWO
VTWO
Modeled factor tracking error 0.12%/yr · longer factor history 0.12%/yr · Very close factor fit
99
SLYG
VIOG
VIOG
Modeled factor tracking error 0.10%/yr · longer factor history 0.13%/yr · Very close factor fit
99
IJJ
MDYV
MDYV
Modeled factor tracking error 0.14%/yr · longer factor history 0.15%/yr · Very close factor fit
99
SPSM
VIOO
VIOO
Modeled factor tracking error 0.16%/yr · longer factor history 0.16%/yr · Very close factor fit
99
IJT
SLYG
SLYG
Modeled factor tracking error 0.12%/yr · longer factor history 0.18%/yr · Very close factor fit
99
IWO
VTWG
VTWG
Modeled factor tracking error 0.16%/yr · longer factor history 0.18%/yr · Very close factor fit
99
IJJ
IVOV
IVOV
Modeled factor tracking error 0.19%/yr · longer factor history 0.23%/yr · Very close factor fit
98
IJK
IVOG
IVOG
Modeled factor tracking error 0.24%/yr · longer factor history 0.30%/yr · Very close factor fit
98
IVOG
MDYG
MDYG
Modeled factor tracking error 0.26%/yr · longer factor history 0.36%/yr · Very close factor fit
98
SPSM
XJR
XJR
Modeled factor tracking error 0.46%/yr · longer factor history 0.60%/yr · Very close factor fit
96
IJR
XJR
XJR
Modeled factor tracking error 0.47%/yr · longer factor history 0.61%/yr · Very close factor fit
96
VIOO
XJR
XJR
Modeled factor tracking error 0.50%/yr · longer factor history 0.67%/yr · Very close factor fit
96
QVMS
XJR
XJR
Modeled factor tracking error 0.45%/yr · longer factor history 0.68%/yr · Very close factor fit
95
IJR
QVMS
QVMS
Modeled factor tracking error 0.54%/yr · longer factor history 0.75%/yr · Very close factor fit
95
QVMS
SPSM
SPSM
Modeled factor tracking error 0.56%/yr · longer factor history 0.76%/yr · Very close factor fit
95
IJH
QVMM
QVMM
Modeled factor tracking error 0.74%/yr · longer factor history 0.76%/yr · Very close factor fit
95
QVMM
SPMD
SPMD
Modeled factor tracking error 0.75%/yr · longer factor history 0.77%/yr · Very close factor fit
95
IVOO
QVMM
QVMM
Modeled factor tracking error 0.77%/yr · longer factor history 0.79%/yr · Very close factor fit
95
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