US ETF · FF6 US RETURNS IN USD

SMLF — iShares U.S. SmallCap Equity Factor ETF

Fund overlap 2015-May → 2026-Apr (132 months) · Backtest basis 1963-Jul → 2026-Apr (754 months) · Adj. R² 0.936 · AUM US$3,440M · MER 0.15%
Structural context first: age and backtest basis explain how much live history is available versus how far the winning factor model can be replayed. Then fit, scale, cost, valuation, and payoff metrics show whether this is a clean, investable expression of the exposure it claims to deliver.
Age
11.0 years
2015-May → 2026-Apr
Long live record
Backtest Basis
62.8 years
1963-Jul → 2026-Apr
Full long-run factor record
Adj. R²
0.936
Strong model fit
AUM
US$3.4B
Large live fund
MER
0.15%
Low-cost active tilt
Dividend valuation
108
Somewhat rich
108
80 90 100 110 120+
1.06% Current recurring yield
100 = median · below 100 inexpensive · above 100 rich Dividend valuation scale
Backtested Rel. Sharpe
1.07×
Above market hurdle
R
0.5 1.0 1.3 1.8
Relative to a plain market benchmark. 1.0 = market-like risk-adjusted return; above 1.0 clears the market hurdle.
Smart-β Net
+2.07%
Strong positive value-add
S
-3% 0% 2.5% 4.5%
Annualized non-market factor contribution plus alpha. Above 0% means the smart-beta sleeve added value over plain market exposure.

What SMLF Is

SMLF (iShares U.S. SmallCap Equity Factor ETF) from IShares is a US equity ETF with $3.4B in assets, regressed on the FF6 US over 132 months. The fund tilts toward size (smb) (β=0.63); tilts toward value (hml) (β=0.21). Backtested-simulation excess return is +8.13% annualized; the in-sample realized excess was +9.02%.

Why SMLF Ranks This Way

  • Backtested relative Sharpe is 1.07, above the market's 1.00 benchmark.
  • Realized relative Sharpe is 0.65 over the fund's 132-month live sample.
  • Strongest non-market tilts point toward size (smb) (β=0.63) and toward value (hml) (β=0.21).
  • Dividend valuation is close to its historical median at 108 on a 100 median scale.
Best-fit classification
US Equity FF6 US Regression basis: USD Adj. R² 0.936 Fit window: 132M Backtest basis: 754M

This fund is classified as US Equity because that factor set produced the strongest accepted fit. Backtested figures use the winning model's full factor history (1963-Jul → 2026-Apr, 754 months), while the betas themselves are estimated over the fund-overlap window (132 months).

Factor return decomposition
Each bar = βi × factor return, geometrically annualized. Summary rows are computed from the combined monthly series they name.
Model: FF6 US
Sharpe — Backtested Sim.
0.459
Rel. to market: 1.075
Sharpe — Realized
0.472
Rel. to market: 0.653
How are these computed?

Currency basis: returns and factor contributions on this page are in USD. Fama-French US 6-factor set (Ken French data library, monthly, USD basis).

Classification winner: FF6 US with Adj. R² 0.936.

Factor context panel: each non-market row compares the current fund with stronger-fit public peers using FF6 US. Beta mode shows raw loadings, percentile mode ranks the fund within the positive-exposure subset, and the linked ticker points to the strongest peer in that factor.

Backtested Sim. applies SMLF's regression betas to the full factor history (1963-Jul → 2026-Apr, 754 months). Individual factor bars show separately annualized sleeves, while the subtotal rows are computed from the combined monthly non-market and smart-beta series directly. The Sharpe uses SMLF's realized in-sample volatility as the denominator — a deliberately conservative choice, since fixed-loading factor returns are smoother than what any real fund actually delivers.

Realized applies the same betas to the factor returns observed during SMLF's lifetime only (2015-May → 2026-Apr). The Sharpe is the fund's actual excess return over its actual volatility. Full methodology →

Factor exposure context
Each non-market row compares this fund with stronger-fit public peers using FF6 US. Toggle between raw factor beta and percentile rank within the same positive-exposure peer set.
Compared against 342 funds using FF6 US
Peer filter: Equity · AUM floor · 24M+ history · Adj. R² > 0.80 · |βmkt−1| < 0.25 · Non-Mkt > 0
Default view is percentile rank. Switch to β scale when you want the raw loading magnitude.
SMB
-0.30
0
0.23
0.45
0.68
0.90
0
20
40
60
80
90
100
0
2
4
6
8
10
12
β +0.63
71st pct
t +11.5
Current fund: 71st percentile of positive peers · Top decile begins at β +0.88 · Leader: RZV
HML
-0.30
0
0.23
0.45
0.68
0.90
0
20
40
60
80
90
100
0
2
4
6
8
10
12
β +0.21
55th pct
t +4.4
Current fund: 55th percentile of positive peers · Top decile begins at β +0.41 · Leader: KBWB
RMW
-0.30
0
0.23
0.45
0.68
0.90
0
20
40
60
80
90
100
0
2
4
6
8
10
12
β +0.10
34th pct
t +1.6
Current fund: 34th percentile of positive peers · Top decile begins at β +0.29 · Leader: DSMC
CMA
-0.30
0
0.23
0.45
0.68
0.90
0
20
40
60
80
90
100
0
2
4
6
8
10
12
β +0.00
2nd pct
t +0.0
Current fund: 2nd percentile of positive peers · Top decile begins at β +0.22 · Leader: RWJ
UMD
-0.30
0
0.23
0.45
0.68
0.90
0
20
40
60
80
90
100
0
2
4
6
8
10
12
β +0.10
74th pct
t +2.8
Current fund: 74th percentile of positive peers · Top decile begins at β +0.17 · Leader: MTUM
Factor exposures
Factor β t-stat Backtested % Realized %
Size (SMB) 0.628 11.45 +1.19% -1.46%
Value (HML) 0.207 4.38 +0.72% -0.09%
Profitability (RMW) 0.101 1.58 +0.31% +0.30%
Investment (CMA) 0.002 0.02 +0.00% -0.00%
Momentum (UMD) 0.103 2.81 +0.75% +0.40%
Non-Market Factor Contribution · combined non-market series +3.02% -0.87%
Alpha (intercept) — -0.61 -0.93%
Smart-Beta Net · combined non-market series + alpha +2.07% -1.79%
+ Mkt-RF contribution · market 1.000 33.24 +6.12% +11.38%
= Total excess return +8.13% +9.02%
+ Rf base (%) 4.44% → 12.57% total 2.02% → 11.04% total
Fund snapshot
Issuer
IShares
Asset class
Equity
Inception
2015-04-28
Dividend yield
1.06%
Div CAGR
12.20%
Dividend valuation
108 (100=median)
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6 additional factor-similar ETFs are held back for the future comparison view.

View full SMLF similarity cluster
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FAQ

What does this SMLF ETF page measure?

This page evaluates SMLF using factor regressions, relative Sharpe, valuation, and peer context. It is designed for ETF due diligence rather than quote tracking.

Why can Backtested Sim. and Realized differ?

Both views use the same estimated betas. The difference is the return window: Backtested Sim. applies them to the full factor history, while Realized applies them only during the fund's live sample.

Why might a high-return fund still look weak here?

A fund can post strong raw returns and still look unattractive on this screen if its non-market factor capture is weak, its implementation drag is high, or its volatility-adjusted return profile is weaker than the market.

How should US investors use this page?

Use it as a starting point for ETF selection: check whether the fund's live behavior, valuation, and peer context line up with the story the product label implies.

Research disclaimer

Factor decomposition shows what SMLF's historical betas would have earned under each scenario — not a forecast, not investment advice. Backtested simulation assumes loadings stay fixed across the long sample, which is unrealistic for any real-world fund. Use this as one input to ETF due diligence, not a substitute for it.

Important context

VerifiedBeta publishes educational ETF research, not personalized investment advice, portfolio management, or security recommendations. Funds that screen well here can still be unsuitable for your objectives, taxes, liquidity needs, or constraints. Review fund documents, methodology assumptions, and your own circumstances before acting. See the full disclaimer.