Verified factor-set theme
Value + Momentum 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.
HML
UMD
8 funds · 9 qualifying comparison pairs
Funds in Qualifying Pairs
1.096
State Street SPDR Russell 1000 Yield Focus ETF
Rel. Sharpe 0.938 · Adj. R2 0.923 · MER 0.20%
0.938
Invesco High Yield Equity Dividend Achievers ETF
Rel. Sharpe 0.845 · Adj. R2 0.768 · MER 0.54%
0.845
First Trust Multi Cap Value AlphaDEX Fund
Rel. Sharpe 0.783 · Adj. R2 0.959 · MER 0.66%
0.783
First Trust Large Cap Value AlphaDEX Fund
Rel. Sharpe 0.770 · Adj. R2 0.936 · MER 0.58%
0.770
0.761
Top Pair Comparisons
DFNL
ONEY
ONEY
Modeled factor tracking error 1.56%/yr · longer factor history 1.71%/yr · Factor-similar
89
ONEY
SDOG
SDOG
Modeled factor tracking error 2.11%/yr · longer factor history 2.17%/yr · Factor-similar
86
DFNL
FTA
FTA
Modeled factor tracking error 2.13%/yr · longer factor history 2.27%/yr · Factor-similar
85
FTA
SDOG
SDOG
Modeled factor tracking error 1.49%/yr · longer factor history 2.28%/yr · Factor-similar
85
DFNL
RPV
RPV
Modeled factor tracking error 1.70%/yr · longer factor history 2.40%/yr · Factor-similar
84
PEY
RPV
RPV
Modeled factor tracking error 2.41%/yr · longer factor history 2.41%/yr · Factor-similar
84
ONEY
RPV
RPV
Modeled factor tracking error 1.98%/yr · longer factor history 2.44%/yr · Factor-similar
84
FAB
PEY
PEY
Modeled factor tracking error 2.31%/yr · longer factor history 2.69%/yr · Factor-similar
82
DFNL
VFH
VFH
Modeled factor tracking error 2.43%/yr · longer factor history 2.90%/yr · Factor-similar
81
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