Have you ever asked yourself, "What really is that beta in your ETF?" As more and more money continues to flow into passive ETFs, how and what is exactly the best way to value your ETF. Nowadays, there are dozens of US Large-Cap, Value, and Growth ETFs, and investors must find a way to select the best ETF in each category. In, "What Really Is That Beta In Your ETF?", we dive into these topics.

1. 1

2. 2
What Are ETFs?
ETFs, or Exchange-Traded Funds, are a basket of securities representing a portfolio
that investors can purchase to introduce a desired exposure or allocation
Unlike mutual funds, ETF prices are updated regularly through the trading day and
can be bought or sold just like a stock
ETFs typically offer lower fees compared to those of mutual funds

3. 3
ETF Industry Observations
ETFs offer investors cost-efficient methods of building diversified portfolios at a low
cost
ETF industry continues to gain market share of investable assets:
2017 ETF Inflows: $476 billion
2018 ETF Inflows: $315 billion
In 2017, less than 1% of all ETFs received more than 50% of all ETF inflows
Does the typical investors have the ability to ask and answer the question “What is
actually inside my ETF?”
Source: MarketWatch, ETF.com

4. ETFs and Portfolio
Attribution
 Attribution analysis of holdings should be a point of consideration
for any investor selecting an ETF
 Attribution analysis can be applied to ETF holdings based on:
4
 Sectors
 Factors
 Size – Market Capitalization, Sales, etc.
 Geographic Location

5. 5
State of the ETF Industry
$204.3B $283.2B
$396.5B
$565.9B
$794.2B $710.7B
$1,042.5B
$1,311.6B$1,353.7B
$1,756.2B
$2,253.2B
$2,647.1B
$2,911.3B
$3,328.8B
$4,464.1B
$0B
$500B
$1,000B
$1,500B
$2,000B
$2,500B
$3,000B
$3,500B
$4,000B
$4,500B
$5,000B
2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017
Global ETFsTotal Assets Under Management in USD$ Billions (2003-2017)
Source: Statista

6. 6
Institutional ETF Ownership
Source: Bloomberg.com, Deutsche Bank Delta-1 and Quant Strategy, Factset

7. 7
ETF Providers – AUM
 Strategists have highlighted that the ETF
industry in its current state may pose a high
concentration risk
 ETFs managed by BlackRock,Vanguard, and
State Street combine to make up nearly 2/3
of total assets under management in the ETF
industry
 Right now, north of 10,000 mutual funds in
the US with just over 4,000 ETFs based in the
US
Source: ETF Global,Quantamize
$1,433.50B
$923.74B
$622.82B
$180.14B
$59.66B
$36.12B
$0B$500B$1,000B$1,500B$2,000B
BlackRock
Vanguard
State Street
Invesco
First Trust
Van Eck
Total ETF Assets Under Management as of
02/22/19 (in USD$ billions)
Total Assets Under Management (in USD$ billions)

8. 8
ETF Providers – Fund Flows
Source: ETF Global,Quantamize
$207.51B
$72.70B
$7.79B $4.52B $0.19B $0.05B
$0B
$50B
$100B
$150B
$200B
$250B
BlackRock Vanguard Invesco First Trust State Street Global
Advisers
Van Eck
ETF Provider 2018 Fund Flows (in USD$ billions)

9. 9
How Do Investors Select ETFs
Investors select an ETF because it
represents a desired strategy
Strategies
Investors select an ETF because it
maintains a low expense ratio
Expense Ratios
Investors select an ETF to benefit
from its tax incentives
Tax Benefits
Investors select an ETF based on strong
historical performance
Performance
Investors select an ETF based on
a familiar name
Brands
Investors select an ETF because it
has among the highest AUM
Assets Under Management

10. 10
How Investors Select ETFs: Brands

11. 11
Top 10 USValue ETFs by AUM Top 10 US Growth ETFs by AUM
How Investors Select ETFs: Assets
Under Management (AUM)
Name Ticker Issuer Expense Ratio AUM
Vanguard Value ETF VTV Vanguard 0.05% $46.27B
iShares Russell 100 Value ETF IWD BlackRock 0.20% $38.13B
iShares S&P 500 Value ETF IVE BlackRock 0.18% $15.28B
Vanguard Vsmall-Cap Value ETF VBR Vanguard 0.07% $13.39B
iShares Russell Mid-Cap Value ETF IWS BlackRock 0.25% $11.28B
iShares Russell 2000 Value ETF IWN BlackRock 0.24% $9.50B
Vanguard Mid-Cap Value ETF VOE Vanguard 0.07% $9.02B
iShares S&P Small-Cap Value ETF IJS BlackRock 0.25% $6.63B
iShares S&P Mid-Cap 400 Value ETF IJJ BlackRock 0.25% $6.53B
Schwab US Large-Cap Value ETF SCHV Schwab 0.04% $5.72B
Name Ticker Issuer Expense Ratio AUM
Schwab US Large-Cap Growth ETF SCHG Schwab 0.04% $6.81B
iShares Core S&P US Growth ETF IUSG BlackRock 0.04% $5.64B
SPDR Portfolio S&P 500 Growth ETF SPYG State Street 0.04% $3.76B
Vanguard Growth ETF VUG Vanguard 0.05% $36.63B
Vanguard Small-Cap Growth ETF VBK Vanguard 0.07% $8.43B
Vanguard Mid-Cap Growth ETF VOT Vanguard 0.07% $5.76B
Vanguard Mega Cap Growth ETF MGK Vanguard 0.07% $3.94B
Vanguard Russell 1000 Growth ETF VONG Vanguard 0.12% $2.27B
Vanguard S&P 500 Growth ETF VOOG Vanguard 0.15% $2.35B
SPDR S&P 600 Small-Cap Growth ETF SLYG State Street 0.15% $1.92B
Source: ETF.com

12. 12
Top 10 USValue ETFs by Expense Ratio Top 10 US Growth ETFs by Expense Ratio
How Investors Select ETFs: Expense
Ratios
Name Ticker Issuer Expense Ratio AUM
Schwab US Large-Cap Value ETF SCHV Schwab 0.04% $5.72B
iShares Core S&P US Value ETF IUSV BlackRock 0.04% $5.12B
SPDR Portfolio S&P 500 Value ETF SPYV State Street 0.04% $2.53B
Vanguard Value ETF VTV Vanguard 0.05% $46.27B
Vanguard Small-Cap Value ETF VBR Vanguard 0.07% $13.39B
Vanguard Mid-Cap Value ETF VOE Vanguard 0.07% $9.02B
Vanguard Mega Cap Value ETF MGV Vanguard 0.07% $2.29B
Vanguard Russell 1000 Value ETF VONV Vanguard 0.12% $1.81B
JPMorgan US Value Factor ETF JVAL JPMorgan 0.12% $0.06B
Vanguard US Value Factor ETF VFVA Vanguard 0.13% $0.06B
Name Ticker Issuer Expense Ratio AUM
iShares Russell 1000 Growth ETF IWF BlackRock 0.20% $41.62B
Vanguard Growth ETF VUG Vanguard 0.05% $36.63B
iShares S&P 500 Growth ETF IVW BlackRock 0.18% $27.87B
iShares Russell Mid-Cap Growth ETF IWP BlackRock 0.25% $9.92B
iShares Russell 2000 Growth ETF IWO BlackRock 0.24% $9.23B
Vanguard Small-Cap Growth ETF VBK Vanguard 0.07% $8.43B
iShares S&P Mid-Cap 400 Growth ETF IJK BlackRock 0.25% $7.67B
Schwab US Large-Cap Growth ETF SCHG Schwab 0.04% $6.81B
iShares S&P Small-Cap 600 Growth ETF IJT BlackRock 0.25% $5.82B
Vanguard Mid-Cap Growth ETF VOT Vanguard 0.07% $5.76B
Source: ETF.com

13. 13
But How Do We Properly Measure
ETFs?

14. 14
S&P Capital IQ
FactSet
Bulge Bracket Investment Banks
Bloomberg
Axioma
Elite Quant Hedge Funds
Examples of Who Can Value ETFs

15. 15
What Did We Do?
For our study of ETF attribution, we focused on 3 groups:
US Large-Cap
USValue
US LowVolatility
We apply 3 types of analytics tools in our study:
S&P Risk Analysis
Bloomberg Risk Analysis
Proprietary AI Factor Methodology

16. 16
What Did We Do?
Next, we ranked the ETFs in each category from best to worst based on sub-factor
exposures scoring each sub-factor group by terciles
Scores are based on ordinal ranking – z-score methodology
Absolute measures are less important than their relative rank within a category
When selecting an ETF within a category, what matters most is how it ranks relative
to its peers in the category

17. 17
S&P Model Results: US
Large-Cap
Name Ticker Expense Ratio AUM Market
Analyst
Expectations
Capital
Efficiency
Earnings
Quality
Historical
Growth
Price
Momentum Size Valuation Volatility
Aggregate
Factor Score Final Rating
First Trust Large-Cap FEX 0.61% $1.45B Overweight Overweight Underweight Overweight Overweight Overweight Overweight Overweight Overweight 5.0 Best
Invesco S&P500 Equal Weight RSP 0.20% $15.30B Overweight Overweight Underweight Overweight Overweight Neutral Overweight Overweight Overweight 4.5 Good
iShares Dow Jones IYY 0.20% $1.19B Overweight Overweight Neutral Neutral Overweight Overweight Overweight Neutral Overweight 4.5 Good
Oppenheimer ESG Revenue ESGL 0.40% $0.02B Underweight Overweight Neutral Overweight Underweight Neutral Overweight Overweight Overweight 4.2 Good
Invesco RAFI 1000 PRF 0.39% $5.25B Neutral Neutral Underweight Overweight Underweight Overweight Overweight Overweight Neutral 4.0 Caution
Oppenheimer S&P500 Revenue RWL 0.39% $0.98B Underweight Overweight Neutral Overweight Underweight Overweight Neutral Overweight Overweight 3.5 Caution
Schwab US Large-Cap SCHX 0.03% $12.70B Overweight Neutral Neutral Neutral Overweight Overweight Neutral Underweight Neutral 3.0 Caution
Vanguard US Large-Cap VV 0.05% $12.61B Overweight Neutral Neutral Underweight Overweight Neutral Neutral Underweight Neutral 3.0 Caution
iShares Core S&P 500 IVV 0.04% $150.46B Neutral Neutral Neutral Neutral Neutral Neutral Neutral Neutral Neutral 2.5 Caution
SPDR SPY SPY 0.09% $269.28B Neutral Neutral Overweight Neutral Neutral Neutral Neutral Neutral Neutral 2.5 Caution
Vanguard S&P500 VOO 0.04% $92.23B Neutral Neutral Overweight Neutral Neutral Neutral Neutral Neutral Neutral 2.5 Caution
Morningstar US Large-Cap JKD 0.20% $0.98B Underweight Underweight Overweight Neutral Neutral Underweight Underweight Neutral Underweight 2.0 Poor
Vanguard Mega-Cap MGC 0.07% $1.47B Neutral Underweight Overweight Underweight Neutral Underweight Underweight Underweight Underweight 2.0 Poor
S&P 100 OEF 0.20% $5.37B Neutral Underweight Overweight Underweight Neutral Underweight Underweight Neutral Underweight 1.5 Poor
iShares Russell 1000 IWB 0.15% $20.39B Underweight Underweight Underweight Underweight Underweight Underweight Underweight Underweight Underweight 1.5 Poor
Source: S&P Capital IQ

18. 18
S&P Model Results: US
Low Volatility
Name Ticker Expense Ratio AUM Market
Analyst
Expectations
Capital
Efficiency
Earnings
Quality
Historical
Growth
Price
Momentum Size Valuation Volatility
Aggregate
Factor Score Final Rating
Invesco S&P Midcap Low Volatility XMLV 0.25% $1.35B Overweight Neutral Neutral Underweight Overweight Overweight Overweight Overweight Neutral 3.2 Best
SPDR Russell 1000 Low Volatility ONEV 0.20% $0.48B Neutral Overweight Overweight Neutral Overweight Neutral Neutral Overweight Overweight 3.0 Good
VictoryShares US 500 Enhanced Volatility CFO 0.35% $0.83B Underweight Overweight Overweight Overweight Underweight Neutral Overweight Underweight Overweight 2.7 Caution
Invesco S&P Smallcap Low Volatility XSLV 0.25% $1.22B Overweight Neutral Underweight Underweight Overweight Overweight Overweight Overweight Neutral 2.5 Caution
Invesco Russell 1000 Low Beta USLB 0.35% $0.16B Neutral Neutral Neutral Neutral Neutral Overweight Neutral Neutral Neutral 2.1 Caution
First Trust Low Volatility FTCS 0.61% $0.88B Underweight Overweight Overweight Overweight Underweight Underweight Neutral Underweight Underweight 1.5 Caution
SPDR US Large-Cap Low Volatility LGLV 0.12% $0.11B Neutral Neutral Neutral Neutral Neutral Underweight Neutral Neutral Overweight 1.5 Caution
Invesco S&P 500 Low Volatility SPLV 0.25% $7.63B Overweight Underweight Underweight Neutral Neutral Neutral Underweight Neutral Neutral 1.3 Poor
iShares MSCI USA Minimum Volatility USMV 0.15% $15.62B Neutral Underweight Neutral Overweight Neutral Neutral Underweight Neutral Underweight 1.2 Worst
Source: S&P Capital IQ

19. 19
S&P Model Results: US
Value
Name Ticker Expense Ratio AUM Market
Analyst
Expectations
Capital
Efficiency
Earnings
Quality
Historical
Growth
Price
Momentum Size Valuation Volatility
Aggregate
Factor Score Final Rating
Invesco S&P MidCap 400 Pure Value RFV 0.35% $0.11B Underweight Overweight Overweight Underweight Overweight Neutral Overweight Overweight Overweight 4.2 Best
Vanguard SmallCap Value VBR 0.07% $13.05B Overweight Overweight Neutral Underweight Neutral Overweight Overweight Overweight Underweight 4.0 Good
iShares S&P Midcap 400 Value IJJ 0.25% $5.92B Overweight Overweight Neutral Underweight Overweight Neutral Overweight Overweight Overweight 4.0 Good
SPDR S&P600 Value SLYV 0.15% $0.64B Neutral Overweight Overweight Neutral Overweight Neutral Overweight Overweight Neutral 3.8 Good
Vanguard MidCap Value VOE 0.07% $8.43B Overweight Neutral Neutral Underweight Neutral Overweight Neutral Neutral Underweight 3.7 Good
iShares Russell 2000 Value IWN 0.24% $9.33B Overweight Overweight Overweight Underweight Neutral Overweight Overweight Overweight Overweight 3.7 Good
Invesco S&P 500 Pure Value RPV 0.35% $0.86B Neutral Neutral Overweight Neutral Neutral Overweight Neutral Underweight Overweight 3.6 Caution
iShares Russell Midcap Value IWS 0.25% $10.49B Overweight Neutral Underweight Underweight Neutral Overweight Neutral Neutral Underweight 3.6 Caution
First Trust Large-Cap Value AlphaDEX FTA 0.62% $1.05B Overweight Underweight Neutral Underweight Overweight Neutral Underweight Neutral Overweight 3.5 Caution
Alpha Architect US Quant Value QVAL 0.79% $0.13B Underweight Neutral Overweight Overweight Overweight Neutral Neutral Neutral Underweight 3.5 Caution
Invesco S&P 600 Pure Value RZV 0.35% $0.16B Underweight Overweight Overweight Overweight Overweight Underweight Overweight Overweight Overweight 3.5 Caution
iShares Core S&P Value IUSV 0.04% $3.67B Neutral Neutral Neutral Neutral Neutral Underweight Underweight Neutral Neutral 2.5 Caution
iShares Edge MSCI US Value Factor VLUE 0.15% $3.31B Underweight Neutral Neutral Overweight Underweight Overweight Neutral Underweight Neutral 2.5 Caution
iShares Russell 300 Value IWV 0.20% $8.61B Neutral Neutral Neutral Neutral Underweight Underweight Underweight Underweight Neutral 2.5 Caution
Vanguard Russell 1K Value VONV 0.12% $1.35B Neutral Underweight Underweight Neutral Underweight Neutral Underweight Underweight Underweight 2.3 Caution
iShares Russell 1000 Value IWD 0.20% $36.93B Underweight Underweight Underweight Neutral Underweight Neutral Underweight Neutral Underweight 2.3 Caution
iShares S&P500 Value IVE 0.18% $15.97B Underweight Underweight Underweight Neutral Underweight Underweight Underweight Underweight Neutral 2.0 Poor
Schwab Large-Cap Value SCHV 0.04% $4.30B Neutral Underweight Underweight Overweight Neutral Underweight Underweight Neutral Underweight 1.8 Poor
Vanguard Value VTV 0.05% $37.73B Neutral Underweight Underweight Overweight Underweight Underweight Neutral Underweight Neutral 1.7 Poor
Vanguard MegaCap 300 Value MGV 0.07% $2.00B Underweight Underweight Underweight Overweight Underweight Underweight Neutral Underweight Neutral 1.5 Worst
Source: S&P Capital IQ

20. 20
Bloomberg Model Results: US Large-
Cap
Name Ticker Expense Ratio AUM Leverage
Earnings
Variability Momentum Size Volatility
Aggregate
Factor Score Final Rating
First Trust Large-Cap FEX 0.61% $1.45B Neutral Overweight Overweight Overweight Overweight 4.2 Best
Vanguard Mega-Cap MGC 0.07% $1.47B Overweight Neutral Overweight Overweight Neutral 3.8 Good
Morningstar US Large-Cap JKD 0.20% $0.98B Neutral Overweight Overweight Underweight Overweight 3.6 Good
Vanguard S&P500 VOO 0.04% $92.23B Overweight Neutral Neutral Overweight Neutral 3.5 Good
iShares Dow Jones IYY 0.20% $1.19B Neutral Neutral Neutral Overweight Overweight 3.4 Caution
Oppenheimer ESG Revenue ESGL 0.40% $0.02B Underweight Overweight Overweight Underweight Overweight 3.4 Caution
Schwab US Large-Cap SCHX 0.03% $12.70B Neutral Neutral Neutral Neutral Neutral 3.4 Caution
Vanguard US Large-Cap VV 0.05% $12.61B Neutral Neutral Neutral Neutral Neutral 3.0 Caution
iShares Core S&P 500 IVV 0.04% $150.46B Overweight Underweight Underweight Neutral Neutral 2.8 Caution
Invesco S&P500 Equal Weight RSP 0.20% $15.30B Underweight Overweight Underweight Neutral Overweight 2.6 Caution
S&P 100 OEF 0.20% $5.37B Overweight Underweight Underweight Overweight Underweight 2.6 Caution
SPDR SPY SPY 0.09% $269.28B Overweight Underweight Neutral Neutral Neutral 2.6 Caution
iShares Russell 1000 IWB 0.15% $20.39B Neutral Neutral Neutral Underweight Underweight 2.2 Poor
Oppenheimer S&P500 Revenue RWL 0.39% $0.98B Underweight Overweight Underweight Underweight Underweight 2.0 Poor
Invesco RAFI 1000 PRF 0.39% $5.25B Underweight Underweight Overweight Neutral Underweight 1.8 Worst
Source: Bloomberg

21. 21
Bloomberg Model Results: US Low
Volatility
Name Ticker Expense Ratio AUM Leverage
Earnings
Variability Momentum Size Volatility
Aggregate
Factor Score Final Rating
Invesco S&P Midcap Low Volatility XMLV 0.25% $1.35B Overweight Underweight Overweight Overweight Underweight 3.4 Best
First Trust Low Volatility FTCS 0.61% $0.88B Overweight Overweight Overweight Underweight Overweight 3.2 Good
VictoryShares US 500 Enhanced Volatility CFO 0.35% $0.83B Neutral Overweight Overweight Underweight Overweight 3.0 Good
SPDR Russell 1000 Low Volatility ONEV 0.20% $0.48B Neutral Overweight Neutral Neutral Overweight 2.2 Caution
Invesco S&P Smallcap Low Volatility XSLV 0.25% $1.22B Overweight Neutral Neutral Overweight Underweight 2.0 Caution
iShares MSCI USA Minimum Volatility USMV 0.15% $15.62B Neutral Neutral Underweight Neutral Neutral 1.6 Caution
Invesco Russell 1000 Low Beta USLB 0.35% $0.16B Underweight Neutral Underweight Overweight Neutral 1.4 Caution
Invesco S&P 500 Low Volatility SPLV 0.25% $7.63B Underweight Underweight Neutral Neutral Neutral 1.2 Poor
SPDR US Large-Cap Low Volatility LGLV 0.12% $0.11B Neutral Neutral Neutral Neutral Neutral 1.0 Worst
Source: Bloomberg

22. 22
Bloomberg Model Results: US Value
Name Ticker Expense Ratio AUM Leverage
Earnings
Variability Momentum Size Volatility
Aggregate
Factor Score Final Rating
Alpha Architect US Quant Value QVAL 0.79% $0.13B Overweight Overweight Overweight Overweight Overweight 4.6 Best
iShares S&P Midcap 400 Value IJJ 0.25% $5.92B Underweight Overweight Neutral Neutral Overweight 3.8 Good
iShares Edge MSCI US Value Factor VLUE 0.15% $3.31B Neutral Overweight Overweight Neutral Underweight 3.6 Good
iShares Russell 300 Value IWV 0.20% $8.61B Overweight Neutral Neutral Neutral Neutral 3.5 Good
Vanguard MidCap Value VOE 0.07% $8.43B Underweight Neutral Overweight Neutral Neutral 3.4 Good
Invesco S&P 600 Pure Value RZV 0.35% $0.16B Overweight Overweight Underweight Overweight Underweight 3.4 Good
iShares Russell 2000 Value IWN 0.24% $9.33B Overweight Neutral Neutral Overweight Underweight 3.4 Good
First Trust Large-Cap Value AlphaDEX FTA 0.62% $1.05B Underweight Neutral Overweight Neutral Overweight 3.4 Good
SPDR S&P600 Value SLYV 0.15% $0.64B Overweight Overweight Underweight Overweight Underweight 3.4 Good
iShares S&P500 Value IVE 0.18% $15.97B Neutral Neutral Neutral Underweight Overweight 3.2 Caution
iShares Core S&P Value IUSV 0.04% $3.67B Neutral Overweight Neutral Underweight Overweight 3.0 Caution
Invesco S&P MidCap 400 Pure Value RFV 0.35% $0.11B Overweight Neutral Underweight Overweight Underweight 2.8 Caution
Vanguard SmallCap Value VBR 0.07% $13.05B Underweight Underweight Neutral Overweight Neutral 2.8 Caution
Schwab Large-Cap Value SCHV 0.04% $4.30B Underweight Underweight Overweight Neutral Neutral 2.6 Caution
Invesco S&P 500 Pure Value RPV 0.35% $0.86B Underweight Neutral Overweight Underweight Neutral 2.5 Caution
Vanguard Value VTV 0.05% $37.73B Neutral Underweight Neutral Underweight Underweight 2.4 Caution
Vanguard MegaCap 300 Value MGV 0.07% $2.00B Neutral Underweight Underweight Underweight Underweight 2.2 Poor
iShares Russell Midcap Value IWS 0.25% $10.49B Underweight Underweight Underweight Neutral Overweight 2.2 Poor
iShares Russell 1000 Value IWD 0.20% $36.93B Neutral Underweight Underweight Underweight Neutral 2.0 Poor
Vanguard Russell 1K Value VONV 0.12% $1.35B Neutral Underweight Underweight Underweight Neutral 1.8 Worst
Source: Bloomberg

23. 23
Factor Determination Using AI
IC Score and relevantT-Statistics maximized using an AI methodology
Repetition of iterative process until right combinations are found
Market not treated as homogenous, rather, we approach it as a heterogenous
environment with different factors driving different sizes, sectors, regions, etc.
Derived risk models have r2 north of 90% -- risk models are unique to market
capitalization

24. 24
AI Factor Model Results: US
Large-Cap
Name Ticker Expense Ratio AUM Growth
Low Volatility &
Momentum Quality Value Technicals Size
Aggregate
Factor Score Final Rating
Invesco S&P500 Equal Weight RSP 0.20% $15.30B Underweight Overweight Overweight Overweight Overweight 4.2 Best
iShares Dow Jones IYY 0.20% $1.19B Neutral Overweight Overweight Neutral Overweight 4.2 Best
First Trust Large-Cap FEX 0.61% $1.45B Underweight Overweight Overweight Neutral Overweight 4.0 Good
iShares Russell 1000 IWB 0.15% $20.39B Neutral Overweight Overweight Overweight Overweight 4.0 Good
Schwab US Large-Cap SCHX 0.03% $12.70B Neutral Neutral Neutral Overweight Neutral 3.8 Caution
Vanguard US Large-Cap VV 0.05% $12.61B Overweight Neutral Neutral Overweight Neutral 3.4 Caution
Invesco RAFI 1000 PRF 0.39% $5.25B Underweight Overweight Overweight Underweight Overweight 3.2 Caution
SPDR SPY SPY 0.09% $269.28B Overweight Underweight Neutral Neutral Neutral 3.0 Caution
Vanguard S&P500 VOO 0.04% $92.23B Neutral Neutral Neutral Neutral Neutral 2.8 Caution
iShares Core S&P 500 IVV 0.04% $150.46B Overweight Neutral Neutral Neutral Neutral 2.6 Caution
Oppenheimer S&P500 Revenue RWL 0.39% $0.98B Neutral Neutral Neutral Underweight Underweight 2.4 Poor
S&P 100 OEF 0.20% $5.37B Overweight Underweight Underweight Neutral Underweight 2.0 Poor
Vanguard Mega-Cap MGC 0.07% $1.47B Overweight Underweight Underweight Underweight Underweight 2.0 Poor
Oppenheimer ESG Revenue ESGL 0.40% $0.02B Neutral Neutral Underweight Underweight Neutral 1.8 Poor
Morningstar US Large-Cap JKD 0.20% $0.98B Underweight Underweight Underweight Overweight Underweight 1.6 Worst
Source: ETF Global,Quantamize

25. 25
AI Factor Model Results: US Low
Volatility
Name Ticker Expense Ratio AUM Growth
Low Volatility &
Momentum Quality Value Technicals Size
Aggregate
Factor Score Final Rating
Invesco Russell 1000 Low Beta USLB 0.35% $0.16B Overweight Overweight Overweight Overweight Overweight 3.4 Best
Invesco S&P Midcap Low Volatility XMLV 0.25% $1.35B Overweight Overweight Overweight Neutral Neutral 3.2 Good
Invesco S&P Smallcap Low Volatility XSLV 0.25% $1.22B Neutral Overweight Overweight Neutral Neutral 2.4 Caution
VictoryShares US 500 Enhanced Volatility CFO 0.35% $0.83B Overweight Neutral Neutral Underweight Overweight 2.4 Caution
SPDR Russell 1000 Low Volatility ONEV 0.20% $0.48B Underweight Neutral Neutral Underweight Overweight 2.0 Caution
Invesco S&P 500 Low Volatility SPLV 0.25% $7.63B Neutral Underweight Underweight Overweight Neutral 1.8 Caution
iShares MSCI USA Minimum Volatility USMV 0.15% $15.62B Neutral Neutral Neutral Overweight Underweight 1.6 Poor
SPDR US Large-Cap Low Volatility LGLV 0.12% $0.11B Underweight Neutral Neutral Neutral Neutral 1.2 Poor
First Trust Low Volatility FTCS 0.61% $0.88B Neutral Underweight Underweight Neutral Underweight 1.0 Worst
Source: ETF Global,Quantamize

26. 26
AI Factor Model Results: US Value
Name Ticker Expense Ratio AUM Growth
Low Volatility &
Momentum Quality Value Technicals Size
Aggregate
Factor Score Final Rating
SPDR S&P600 Value SLYV 0.15% $0.64B Overweight Overweight Neutral Overweight Neutral 4.2 Best
iShares Russell 2000 Value IWN 0.24% $9.33B Neutral Overweight Overweight Neutral Overweight 4.2 Best
Vanguard SmallCap Value VBR 0.07% $13.05B Neutral Overweight Neutral Overweight Overweight 4.2 Best
Vanguard MidCap Value VOE 0.07% $8.43B Underweight Neutral Overweight Neutral Overweight 4.0 Good
iShares S&P Midcap 400 Value IJJ 0.25% $5.92B Underweight Overweight Neutral Overweight Overweight 4.0 Good
Invesco S&P MidCap 400 Pure Value RFV 0.35% $0.11B Overweight Overweight Overweight Underweight Neutral 3.8 Good
iShares Russell Midcap Value IWS 0.25% $10.49B Underweight Overweight Overweight Overweight Overweight 3.8 Good
Invesco S&P 600 Pure Value RZV 0.35% $0.16B Neutral Neutral Overweight Neutral Neutral 3.6 Caution
Invesco S&P 500 Pure Value RPV 0.35% $0.86B Overweight Neutral Neutral Underweight Neutral 3.0 Caution
Alpha Architect US Quant Value QVAL 0.79% $0.13B Underweight Neutral Neutral Underweight Overweight 2.8 Caution
iShares Russell 300 Value IWV 0.20% $8.61B Underweight Underweight Overweight Overweight Underweight 2.8 Caution
iShares Russell 1000 Value IWD 0.20% $36.93B Neutral Underweight Neutral Neutral Neutral 2.6 Caution
First Trust Large-Cap Value AlphaDEX FTA 0.62% $1.05B Underweight Neutral Underweight Overweight Neutral 2.6 Caution
Vanguard Russell 1K Value VONV 0.12% $1.35B Neutral Underweight Neutral Neutral Neutral 2.4 Caution
iShares Core S&P Value IUSV 0.04% $3.67B Neutral Neutral Underweight Underweight Underweight 2.4 Caution
Schwab Large-Cap Value SCHV 0.04% $4.30B Overweight Underweight Underweight Neutral Underweight 2.2 Caution
iShares S&P500 Value IVE 0.18% $15.97B Overweight Underweight Underweight Underweight Underweight 2.2 Caution
Vanguard MegaCap 300 Value MGV 0.07% $2.00B Overweight Underweight Underweight Underweight Underweight 1.8 Poor
iShares Edge MSCI US Value Factor VLUE 0.15% $3.31B Underweight Neutral Underweight Neutral Underweight 1.8 Poor
Vanguard Value VTV 0.05% $37.73B Neutral Underweight Underweight Underweight Underweight 1.6 Worst
Source: ETF Global,Quantamize

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Our Conclusions
Attribution analysis will be a primary
driver of ETF valuations in the future
Specifically, measuring beta exposures
of ETFs will be the primary valuation
methodology
With so many ETFs that claim to follow
the same strategy, attribution will be
how investors differentiate “best” from
“worst” and answer the question “How
do I really know what I am buying?”

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Questions?
Email: Info@quantamize.com