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US Value ETFs Table

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

Funds	Name	rSCR*	Corr	StdDev	1mo%	3mo%	6mo%	12mo%	2Yr%	5Yr%	6moMdd	STOMAK*	CONS*	BOX*
PWV	Dynamic Large Cap Value	-3.74	0.98	17.72	-12.96	-29.82	-35.42	-35.69	-32.92	-11.68	-35.55	Sell 10/03/08	Sell 08/25/08	Sell 08/19/08
JKF	Morningstar Large Value Index	-3.77	0.94	16.79	-13.57	-30.10	-39.87	-41.42	-41.70	-16.12	-39.87	Sell 10/07/08	Sell 05/22/08	Sell 10/06/08
ELV	DJ Wilshire Large Cap Value	-3.72	0.94	15.92	-15.76	-33.30	-40.29	-42.34	-41.18	-9.41	-40.29	Sell 10/02/08	Sell 08/21/08	Sell 08/19/08
VTV	Value ETF	-3.73	0.98	16.20	-15.40	-33.86	-40.52	-42.53	-41.95	-15.72	-40.52	Sell 10/02/08	Sell 08/25/08	Sell 08/19/08
PVM	Dynamic Deep Value	-3.52	0.79	13.60	-16.23	-35.01	-39.01	-37.89	-39.09	-39.09	-39.36	Sell 10/01/08	Sell 09/09/08	Sell 09/29/08
IWD	Russell 1000 Value Index	-3.66	0.98	16.89	-16.19	-35.30	-41.76	-42.98	-42.85	-8.24	-41.76	Sell 10/01/08	Sell 08/25/08	Sell 08/19/08
IWW	Russell 3000 Value Index	-3.69	0.98	16.65	-17.27	-36.09	-42.14	-43.11	-43.89	-9.75	-42.14	Sell 10/01/08	Sell 08/25/08	Sell 08/19/08
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
JKI	Morningstar Mid Value Index	-3.44	0.90	14.45	-19.68	-38.32	-43.83	-44.66	-47.47	-22.11	-44.20	Sell 10/02/08	Sell 09/17/08	Sell 09/29/08
IVE	S&P 500 Value Index	-3.72	0.98	16.28	-18.19	-37.06	-43.46	-45.55	-44.38	-12.57	-43.65	Sell 09/30/08	Sell 08/25/08	Sell 08/19/08
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
EMV	DJ Wilshire Mid Cap Value	-3.48	0.80	12.99	-19.33	-39.41	-44.10	-42.62	-44.38	-34.57	-44.88	Sell 09/30/08	Sell 08/26/08	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
VOE	Mid-Cap Value ETF	-3.56	0.98	16.40	-19.38	-41.76	-47.26	-47.07	-48.67	-43.43	-47.99	Sell 09/29/08	Sell 08/26/08	Sell 08/25/08
IJJ	S&P MidCap 400 Value Index	-3.52	0.97	16.66	-19.63	-42.06	-46.53	-44.51	-44.23	-9.80	-47.87	Sell 09/17/08	Sell 08/25/08	Sell 08/25/08
PWP	Dynamic Mid Cap Value	-3.39	0.91	14.55	-19.98	-42.49	-46.63	-49.45	-48.64	-36.14	-47.45	Sell 09/18/08	Sell 08/26/08	Sell 08/25/08
RPV	Rydex S&P 500 Pure Value	-3.35	0.83	16.97	-26.75	-43.30	-51.37	-55.81	-56.74	-50.76	-51.72	Sell 10/06/08	Sell 09/17/08	Sell 09/29/08
IWS	Russell Midcap Value Index	-3.51	0.97	15.99	-20.64	-43.07	-48.06	-47.28	-47.96	-8.44	-48.68	Sell 09/29/08	Sell 08/26/08	Sell 08/25/08
RFV	Rydex S&P Midcap 400 Pure Value	-3.22	0.77	14.94	-24.28	-44.90	-50.58	-50.63	-51.86	-44.85	-51.36	Sell 10/02/08	Sell 09/29/08	Sell 09/29/08

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US Value ETFs Table

US Value ETFs Funds