SSPY — Stratified LargeCap Index ETF factor decomposition

Factor return decomposition

Each bar = β_i × factor return, geometrically annualized.

Sharpe — Backtested Sim.

0.440

Rel. to market: 1.026

Sharpe — Realized

0.578

Rel. to market: 0.809

How are these computed?

Currency basis: returns and factor contributions on this page are in USD. Fama-French (Ken French data library, 1964→present)

Backtested Sim. applies SSPY's regression betas to the full factor history (geometric mean per factor, annualized). The Sharpe uses SSPY'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 SSPY's lifetime only (2015-Jan → 2026-Feb). The Sharpe is the fund's actual excess return over its actual volatility. Full methodology →

Factor exposures

Factor	β	t-stat	Backtested %	Realized %
Size (SMB)	0.132	3.55	+0.28%	-0.29%
Value (HML)	0.144	4.28	+0.50%	-0.13%
Profitability (RMW)	0.155	3.45	+0.49%	+0.54%
Investment (CMA)	0.151	3.11	+0.45%	-0.12%
Momentum (UMD)	-0.034	-1.30	-0.24%	-0.09%
Factor-Beta subtotal · non-market			+1.48%	-0.08%
Alpha (intercept)	—	-0.97	-1.12%
Smart-Beta Net · Factor-Beta + Alpha			+0.36%	-1.20%
+ Mkt-RF contribution · market	0.935	43.40	+5.74%	+10.34%
= Total excess return			+6.10%	+8.99%
+ Rf base (%)			4.44% → 10.54% total	1.94% → 10.93% total

Fund snapshot

Issuer

Stratified

Asset class

Equity

Inception

2014-12-31

Dividend yield

1.02%

Div CAGR

-2.69%

Dividend valuation

107 (100=median)

Embed this chart

Use this iframe URL on Discourse forums (e.g. Rational Reminder Community) or any site that allows iframe embeds. For Reddit and Twitter, paste the page URL directly — the social card image is auto-generated.

<iframe src="https://verifiedbeta.com/embed/us/SSPY/waterfall/" width="720" height="540" style="border:0;" loading="lazy"></iframe>

All US Leaders US Universe Methodology

Research disclaimer

Factor decomposition shows what SSPY'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.

Monthly updates

Get the next US ETF leaders update

Get one monthly email when the US leaders table refreshes, plus methodology and download-access updates.

Monthly leaders refresh Download-access updates Low-volume research notes

One monthly email when the data drop lands. This browser will remember you after signup.