Past performance does not guarantee future results. Investing involves risk, including the potential loss of principal.
Sources: FactSet, YCharts, Alpha Architect. Characteristics data is point-in-time, often T-5 business days. Characteristics and returns are derived from sources believed to be accurate but are not guaranteed. You cannot directly invest in an index or category average.
Category averages referenced:
US Equity Categories
US Large Blend is represented by the 50 biggest ETFs based on assets under management in the US Large Blend category. Funds in the US Large Blend category invest across the spectrum of US industries, and owing to their broad exposure, the portfolios' returns are often similar to those of the S&P 500 index. Stocks in the top 70% of the capitalization of the US equity market are defined as large cap. The blend style is assigned to portfolios where neither growth nor value characteristics predominate. Category determined by YCharts.
US Large Value is represented by the 50 biggest ETFs based on assets under management in the US Large Value category. Stocks in the top 70% of the capitalization of the US equity market are defined as large cap. Value defined as equities with low valuations (low price ratios and high dividend yields) and slow growth (low growth rates for earnings, sales, book value, and cash flow). Category determined by YCharts.
US Mid Value is represented by the biggest ETFs based on assets under management in the US Mid Value category. Stocks in the middle 20% of the capitalization of the US equity market are defined as mid cap. Value defined as equities with low valuations (low price ratios and high dividend yields) and slow growth (low growth rates for earnings, sales, book value, and cash flow). Category determined by YCharts.
US Small Value is represented by the biggest ETFs based on assets under management in the US Small Value category. Stocks in the bottom 10% of the capitalization of the US equity market are defined as small cap. Value defined as equities with low valuations (low price ratios and high dividend yields) and slow growth (low growth rates for earnings, sales, book value, and cash flow). Category determined by YCharts.
US Value is represented by the 50 biggest ETFs based on assets under management in the US Large, Mid, and Small Value categories. As of 12/31/2024, the category average consists of 33 Large Value, 11 Mid Value, and 6 Small Value ETFs. Stocks in the top 70% of the capitalization of the equity market are defined as large cap. Stocks in the middle 20% of the capitalization of the equity market are defined as mid cap. Stocks in the bottom 10% of the capitalization of the equity market are defined as small cap. Value defined as equities with low valuations (low price ratios and high dividend yields) and slow growth (low growth rates for earnings, sales, book value, and cash flow). Category derived by Alpha Architect based on categories determined by YCharts.
US Growth is represented by the 50 biggest ETFs based on assets under management in the US Large, Mid, and Small Growth categories. As of 12/31/2024, the category average consists of 34 Large Growth, 9 Mid Growth, and 7 Small Growth ETFs. Stocks in the top 70% of the capitalization of the US equity market are defined as large cap. Stocks in the middle 20% of the capitalization of the US equity market are defined as mid cap. Stocks in the bottom 10% of the capitalization of the US equity market are defined as small cap. Growth is defined based on fast growth (high growth rates for earnings, sales, book value, and cash flow) and high valuations (high price ratios and low dividend yields). Category derived by Alpha Architect based on categories determined by YCharts.
US Momentum is represented by ETFs that we believe use a momentum-based strategy to manage its portfolio based on the appearance of “momentum” in the security’s name. Portfolio exposure based on point-in-time analysis of the fund's composition, based on data provided by YCharts. We attempt to exclude funds that appear to combine value and momentum. The category includes individual sector funds. Momentum defined as buying securities that have had high returns over a recent period and selling those that have had poor returns over the same period. As of 12/31/2024, there are 26 ETFs that meet the given critera. Category derived by Alpha Architect based on data provided by YCharts. See momentum methodology below.
Foreign Equity Categories
Foreign Large Blend is represented by the 50 biggest ETFs by AUM in the Foreign Large Blend category. These ETFs invest in a variety of big international stocks. Most of these portfolios divide their assets among a dozen or more developed markets, including Japan, Britain, France, and Germany. These portfolios primarily invest in stocks that have market caps in the top 70% of each economically integrated market (such as Europe or Asia ex-Japan). The blend style is assigned to portfolios where neither growth nor value characteristics predominate. These portfolios typically will have less than 20% of assets invested in US stocks. Category determined by YCharts.
Foreign Large Value is represented by the 50 biggest ETFs based on AUM in the Foreign Large Value category. These ETFs invest mainly in big international stocks that are less expensive or growing more slowly than other large-cap stocks. Most of these portfolios divide their assets among a dozen or more developed markets, including Japan, Britain, France, and Germany. These portfolios primarily invest in stocks that have market caps in the top 70% of each economically integrated market (such as Europe or Asia ex-Japan). Value is defined based on low valuations (low price ratios and high dividend yields) and slow growth (low growth rates for earnings, sales, book value, and cash flow). These portfolios typically will have less than 20% of assets invested in US stocks. Category determined by YCharts.
Foreign Value is represented by the 50 biggest ETFs based on assets under management in the Foreign Large, and Small/Mid Value categories. As of 12/31/2024, the category average consists of 39 Foreign Large Value and 11 Foreign Small/Mid Value ETFs. Stocks in the top 70% of the capitalization of the equity market are defined as large cap. Stocks in the middle 20% of the capitalization of the equity market are defined as mid cap. Stocks in the bottom 10% of the capitalization of the equity market are defined as small cap. Value defined as equities with low valuations (low price ratios and high dividend yields) and slow growth (low growth rates for earnings, sales, book value, and cash flow). Category derived by Alpha Architect based on categories determined by YCharts.
Global Large Stock Blend is represented by the biggest ETFs by AUM in the Global Large Stock Blend category. These ETFs invest in a variety of international stocks and typically skew toward large caps that are fairly representative of the global stock market in size, growth rates, and price. Global large-stock blend portfolios have few geographical limitations. It is common for these portfolios to invest the majority of their assets in developed markets, with the remainder divided among the globe’s emerging markets. Category determined by YCharts.
Emerging Markets is represented by the 50 biggest ETFs based on AUM in the Diversified Emerging Market category. These strategies tend to divide their assets among 20 or more nations, although they tend to focus on the emerging markets of Asia and Latin America, rather than on those of the Middle East, Africa, or Europe. Category determined by YCharts.
Foreign Momentum is represented by ETFs that we believe use a momentum-based strategy to manage its portfolio based on the appearance of “momentum” in the security’s name. Portfolio exposure based on point-in-time analysis of the fund's composition, based on data provided by YCharts. Funds that qualify for inclusion in this category allocate less than 50% to United States equities and less than 20% to emerging markets. Momentum defined as buying securities that have had high returns over a recent period and selling those that have had poor returns over the same period. As of 12/31/2024, there are 3 ETFs that meet the given critera. Category derived by Alpha Architect based on data provided by YCharts. See momentum methodology below.
Note on category average methodology
Constituents of a given category are determined by YCharts. As of 4/30/2024, the calculation method used to determine the category average’s returns changed to account for potentially different inception dates. Previously, a straight average of constituent funds’ total return net asset value (NAV) was used to determine the category’s average total return NAV; the percent change of the category average NAV was then used to calculate returns. As of 4/30/2024, total returns for the category are now found using a straight average of the total NAV return (percent change) for a given frequency (daily, weekly, monthly, etc.). There may be instances where the straight average of the constituent funds’ NAV returns may be higher or lower than the straight average of the total NAV return. As of 4/30/2024, all category average returns are calculated using the straight average of the constituent funds’ total NAV return for a given frequency.
Category average constituent selection criteria
Unless otherwise noted, the given category is represented by the 50 biggest funds based on assets under management (AUM). The AUM figure is point-in-time and is not retroactively applied to constituent funds. The universe is reconstituted annually by AUM. In the event fewer than 50 funds are available in a given category, all funds are used in to calculate returns. Funds that may have been open for investment over the given period but are no longer active are not included. The number of constituent funds in a given category average may affect represented returns. In the event of multiple share classes, the share class with the highest AUM is referenced. Category returns are a straight average of the total return of the constituent funds over the given period.
Wherever possible, we reference the 50 biggest funds by AUM to provide what we believe to be a reasonable sample of the most popular strategies that includes a mix of passive and active approaches. In our view, the highest AUM funds tend to have more established track records, providing what we believe to be a reasonable basis for returns. We reference all funds in the category in the event there are fewer than 50 funds open for investment.
Limited universe
The information presented regarding peer ETFs may be based on a limited universe of comparable funds that we believe are relevant to the strategy, investment style, and asset class of this ETF. This comparison is not exhaustive and may exclude other funds that also offer similar exposures or strategies. Investors are encouraged to conduct their own research and consider other products in the marketplace that may provide comparable investment objectives or characteristics. Past performance is no guarantee of future results, and differences in fees, structures, or market conditions may lead to different outcomes between peer funds and this ETF. Investors should consider factors such as risk tolerance, fees, liquidity, and investment goals before making any investment decisions based on peer comparisons. This disclosure is not an endorsement of any peer fund, nor should it be interpreted as financial advice.
Note on momentum category
There is no explicit “momentum” category. Generally, momentum funds tend to fall into the “growth” category, however, that standard is not uniformly applied by third party data provides such as FactSet, Morningstar, YCharts, or others. To facilitate what we believe to be fair and balanced comparison, we build a momentum category using the following criteria.
US Momentum filtering steps
1. Exclude Alpha Architect funds
2. Exclude non-USD denominated funds
3. Exclude mutual funds. We do this to facilitate a fair comparison at a structural level (ETF to ETF) and to facilitate accurate advanced characteristics data, such as active share and momentum score
4. Filter for Broad Asset Class: US Equity & Sector Equity. We include sector momentum ETFs on the basis that a sector-based momentum strategy could be a reasonable alternative to a broad-based momentum approach. Filtering for funds in the US Equity broad asset class excludes alternatives such as long/short momentum funds. Our goal is to identify “peer” momentum strategies that are long-only.
5. Filter for US Equity Exposure >=50%. Here we to seek to avoid strategies that aren’t focused on US equities.
6. Remove funds that contain the word “value” or variations in the fund’s name. This removes funds that blend value and momentum together, which may cause performance deviations.
7. Filter funds that contain the word “momentum” or variations in the fund. We believe this is a reasonable approach to identify most funds seeking to hold themselves out as a momentum strategy, and therefore, a peer to our momentum to our strategy.
Foreign Momentum filtering steps
1. Exclude Alpha Architect funds
2. Exclude non-USD denominated funds
3. Exclude mutual funds. We do this to facilitate a fair comparison at a structural level (ETF to ETF) and to facilitate accurate advanced characteristics data, such as active share and momentum score
4. Filter for Broad Asset Class: International Equity & Sector Equity. We include sector momentum ETFs on the basis that a sector-based momentum strategy could be a reasonable alternative to a broad-based momentum approach. Filtering for funds in the International Equity broad asset class excludes alternatives such as long/short momentum funds. Our goal is to identify “peer” momentum strategies that are long-only.
5. Filter for US Equity Exposure <50%. We seek to avoid strategies that aren’t focused on International Developed equities.
6. Filter for Emerging Market exposure <20%. Our Quantitative Int’l Momentum ETF (IMOM) excludes emerging market equities in its process; as a result, we remove funds focused on emerging market to facilitate what we believe to be a fair and balanced comparison.
7. Remove funds that contain the word “value” or variations in the fund’s name. This removes funds that blend value and momentum together, which can cause performance deviations.
8. Filter funds that contain the word “momentum” or variations in the fund. While this step likely understates the number of funds that use momentum in their investment strategy, we believe this is a reasonable approach to identify funds seeking to hold themselves out as a momentum strategy.
