Multi-Factors & Weighted Volatility ETFs

Multi-Factors & Weighted Volatility ETFs
  • Pininvest Analysis

The funds billed as ‘low volatility’ have mostly fulfilled their mandate but for investors, the features of the selected securities, rescaled to minimize volatility, matter foremost

Most popular are ETFs based multi-factor filters modeled by various indices and managed passively

The combination of distinct and sometimes overlapping factors – dividends, income, ‘quality’, value, momentum and rotation – makes it hard to evaluate the outcome, except on basis of annual performance and volatility

Asset allocations by region (US, developed markets ex-US, emerging markets) & by market cap, by high beta & by momentum are discussed separately

 

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Multi-Factors & Weighted Volatility ETFs • Updated:

Name Ticker Exchange Category SubCategory Currency Cur.Price AUM Perf. Momentum Vol. Risk Contrib. MDD
 
Goldman Sachs ActiveBeta International Equity ETF GSIE NYSEARCA Developed Markets (ex-US) MultiFactor LowVolatility USD 35.50 1.7 B 33.1% Weak Up 14%   8% -7%
Goldman Sachs ActiveBeta U.S. Large Cap Equity ETF GSLC NYSEARCA US Market MultiFactor LowVolatility USD 84.43 7.5 B 35.0% Neutral 15%   9% -9%
Invesco S&P 500® ex-Rate Sensitive Low Volatility ETF XRLV NYSEARCA US Market LargeCap LowVolatility USD 46.30 128 M 30.5% Neutral 13%   8% -7%
Legg Mason International Low Volatility High Dividend ETF LVHI BATS Developed Markets (ex-US) MultiFactor LowVolatility USD 26.20 63 M 17.5% Weak Up 11%   6% -8%
Legg Mason Low Volatility High Dividend ETF LVHD NASDAQ US Market Dividend Yield USD 36.72 813 M 27.5% Neutral 15%   9% -6%
SPDR Russell 1000 Low Volatility Focus ETF ONEV NYSEARCA US Market MultiFactor LowVolatility USD 103.26 489 M 40.3% Neutral 16%   10% -7%
VictoryShares International High Dividend Volatility Weighted ETF CID NASDAQ Developed Markets (ex-US) MultiFactor LowVolatility USD 33.68 76 M 34.7% Neutral 15%   8% -8%
VictoryShares U.S. Large Cap High Div Volatility Wtd Index ETF CDL NASDAQ US Market MultiFactor LowVolatility USD 56.78 305 M 42.4% Neutral 18%   11% -7%
VictoryShares US 500 Enhanced Volatility Weighted ETF CFO NASDAQ US Market MultiFactor LowVolatility USD 70.20 632 M 35.4% Neutral 14%   9% -7%
VictoryShares US Multi-Factor Minimum Volatility ETF VSMV NASDAQ US Market MultiFactor LowVolatility USD 37.62 151 M 24.4% Neutral 12%   7% -8%
VictoryShares US Small Cap High Div Volatility Weighted ETF CSB NASDAQ US Market SmallCap Factors USD 61.06 92 M 70.2% Neutral 25%   14% -8%