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

 

We do not receive any commission or other form of compensation from the providers included in our 'Funds' presentation

Multi-Factors & Weighted Volatility ETFs • Updated:

Name Ticker Exchange Category SubCategory Currency Cur.Price AUM Perf. Vol. Risk Contrib. MDD
 
Global X Scientific Beta US ETF SCIU NYSEARCA US Market MultiFactor LowVolatility USD 32.51 96 M 2.2% 14%   9% -19%
Goldman Sachs ActiveBeta International Equity ETF GSIE NYSEARCA Developed Markets (ex-US) MultiFactor LowVolatility USD 27.28 1.4 B -3.0% 13%   7% -18%
Goldman Sachs ActiveBeta U.S. Large Cap Equity ETF GSLC NYSEARCA US Market MultiFactor LowVolatility USD 58.18 6.4 B 2.7% 16%   10% -20%
Hartford Multifactor Low Volatility US Equity ETF LVUS BATS US Market MultiFactor LowVolatility USD 30.45 7.6 M 6.9% 14%   7% -18%
Legg Mason International Low Volatility High Dividend ETF LVHI BATS Developed Markets (ex-US) MultiFactor LowVolatility USD 25.23 47 M -0.3% 11%   4% -13%
Legg Mason Low Volatility High Dividend ETF LVHD NASDAQ US Market High Dividend Yield USD 32.01 708 M 6.2% 11%   6% -12%
PowerShares S&P 500 ex-Rate Sensitive Low Volatility Portfolio XRLV NYSEARCA US Market MultiFactor LowVolatility USD 38.38 182 M 9.2% 14%   9% -17%
SPDR Russell 1000 Low Volatility Focus ETF ONEV NYSEARCA US Market MultiFactor LowVolatility USD 78.37 534 M 4.2% 13%   9% -18%
VictoryShares International High Dividend Volatility Weighted ETF CID NASDAQ Developed Markets (ex-US) MultiFactor LowVolatility USD 30.26 85 M -5.6% 13%   6% -14%
VictoryShares U.S. Large Cap High Div Volatility Wtd Index ETF CDL NASDAQ US Market MultiFactor LowVolatility USD 45.54 328 M 0.5% 13%   8% -16%
VictoryShares US 500 Enhanced Volatility Wtd ETF CFO NASDAQ US Market MultiFactor LowVolatility USD 47.87 759 M -5.8% 14%   8% -21%
VictoryShares US Multi-Factor Minimum Volatility ETF VSMV NASDAQ US Market MultiFactor LowVolatility USD 31.00 144 M 6.3% 13%   8% -17%
VictoryShares US Small Cap High Div Volatility Weigthed ETF CSB NASDAQ US Market Small Cap Factors USD 42.16 86 M -9.4% 16%   8% -20%