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US Small Cap Value ETFs Table

 

The table below has the rankings, returns and timing signals for the various ETFs in the US Small Cap Value ETFs family.

Most of the table headings are self explanatory. However some need further explanation.

rSCR* is risk-adjusted rank. It is similar to Sharpe ratio however it only considers the down-side risk. No one hates standard deviation to the upside :-).

STOMAK*, CONS* and BOX* are timing signals based on different criterion.

BOX* is the fickle one of the three, if you want to make a quick profit. STOMAK* and CONS* are trend following systems. I tend to look for confirmation between them. Also divergence between the two, signals a change in the primary trend.

Send me an email or leave a comment if you need more information.

 

 

 

US Small Cap Value ETFs Funds

Funds Name rSCR* Corr StdDev 1mo% 3mo% 6mo% 12mo% 2Yr% 5Yr% 6moMdd STOMAK* CONS* BOX*
JKL Morningstar Small Value Index -3.18 0.89 16.55 -21.43 -38.38 -42.67 -41.86 -47.31 -24.34 -44.72 Sell 10/03/08 Sell 09/29/08 Sell 09/29/08
IWN Russell 2000 Value Index -3.25 0.90 18.17 -21.22 -39.69 -40.27 -41.22 -47.23 -10.62 -44.92 Sell 09/30/08 Sell 09/15/08 Sell 09/29/08
PWY Dynamic Small Cap Value -3.44 0.83 14.66 -21.64 -41.52 -43.01 -44.12 -47.41 -36.55 -44.13 Sell 10/01/08 Sell 09/09/08 Sell 09/29/08
DSV DJ Wilshire Small Cap Value -3.45 0.90 15.43 -21.98 -40.38 -43.98 -43.54 -46.39 -13.82 -44.95 Sell 10/01/08 Sell 09/15/08 Sell 09/29/08
IJS S&P SmallCap 600 Value Index -3.47 0.91 16.95 -22.18 -40.35 -41.65 -41.92 -45.59 -9.87 -44.06 Sell 09/30/08 Sell 09/09/08 Sell 09/29/08
VBR Small Cap Value ETF -3.42 0.93 16.49 -21.42 -40.89 -44.14 -43.28 -47.35 -20.33 -45.51 Sell 10/01/08 Sell 09/15/08 Sell 09/29/08
RZV Rydex S&P Smallcap 600 Pure Value -3.17 0.86 18.86 -24.78 -43.58 -45.29 -47.88 -57.24 -52.44 -49.05 Sell 10/03/08 Sell 09/29/08 Sell 09/29/08
Total 7 tickers in table.

 

 

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