ESML
iShares ESG Aware MSCI USA Small-Cap ETF
SMB
Adj. R2
0.980
Rel. Sharpe
0.866
Mkt beta
1.00
AUM
US$2.3B
MER
0.17%
Valuation
134
ETF comparison
Verified factor-similar pair
ESML vs IWM
These two ETFs meet the same FF6 US comparison criteria: US-listed equity ETFs, the same USD model basis, at least one material non-market factor, and 100% overlap in statistically significant material factor exposure.
SMB
Similarity score
95
Near substitute
The score combines exposure-level distance, factor-vector shape, market-beta closeness, and a small backtested relative-Sharpe term.
Quick Read
- ESML has the higher backtested relative Sharpe (0.866 vs 0.798).
- ESML has the lower published fee (0.17% vs 0.19%).
- ESML is cheaper on dividend valuation (134 vs 142, where 100 is each fund's historical median).
- IWM has the stronger regression fit (adjusted R-squared 0.986 vs 0.980).
These are screening signals, not a complete review of portfolio construction, turnover, taxes, or trading quality.
IWM
iShares Russell 2000 ETF
SMB
Adj. R2
0.986
Rel. Sharpe
0.798
Mkt beta
1.02
AUM
US$73.2B
MER
0.19%
Valuation
142
Factor Exposure Match
Blue bars compare raw factor beta magnitude. Green bars compare absolute t-stat strength. Dim bars indicate the t-stat is below 1.96.
SMB
diff -0.08
HML
diff +0.02
RMW
diff +0.05
CMA
diff +0.02
UMD
diff -0.00
Why This Pair Matches
Exposure level
95
Exposure shape
100
Mkt beta diff
0.01
Rel. Sharpe diff
0.068
This comparison focuses on measured factor exposure. It does not compare holdings methodology, turnover, tax handling, or issuer process. Backtested relative Sharpe is a secondary signal rather than a stand-alone forecast. See methodology.
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