Markets, Size & Weighted Volatility ETFs

Markets, Size & Weighted Volatility ETFs
  • Pininvest Analysis

The list of low volatility ETFs is extensive - a testimony of the popularity of a strategy combining lower risk exposure and sustained returns

But reality did not quite make good on these promises over the past years, essentially because the top performing industries – healthcare and technology – also turned out to be the most volatile … and the less favored in volatility weighing by the funds

Basing our selection on a volatility reference  in the fund denomination, the theme remains far from complete : all the numerous multi-factor ETFs account for volatility targets in the weighting of their constituents as well...

The funds have mostly fulfilled their mandate of lowering volatility but for investors, the multiple factors filtering the securities data base before volatility rescaling matter foremost and we initiate our series with assets defined by region (US, developed or emerging) and market cap

Multi-factor and high-beta selections are discussed separately 

 

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

Markets, Size & Weighted Volatility ETFs • Updated:

Name Ticker Exchange Category SubCategory Currency Cur.Price AUM Perf. Vol. Risk Contrib. MDD
 
Fidelity® Low Volatility Factor ETF FDLO NYSEARCA US Market LargeCap LowVolatility USD 36.84 398 M 2.8% 32%   5% -35%
iShares Edge MSCI Min Vol USA Small-Cap ETF SMMV BATS US Market SmallCap LowVolatility USD 29.04 538 M -14.1% 32%   4% -39%
First Trust Horizon Managed Volatility Developed International ETF HDMV NYSEARCA Developed Markets (ex-US) InvestableMkt LowVolatility USD 28.29 154 M -15.2% 24%   3% -32%
First Trust Horizon Managed Volatility Domestic ETF HUSV NYSEARCA US Market LargeCap LowVolatility USD 25.68 256 M -3.7% 30%   4% -36%
Hartford Multifactor US Equity ETF ROUS NYSEARCA US Market LargeCap LowVolatility USD 30.06 319 M -4.3% 33%   5% -36%
Invesco S&P 500 High Dividend Low Volatility ETF SPHD NYSEARCA US Market Dividend Yield USD 33.02 3.3 B -18.4% 38%   5% -42%
Invesco S&P 500 Low Volatility ETF SPLV NYSEARCA US Market LargeCap LowVolatility USD 50.24 12 B -8.5% 34%   5% -37%
Invesco S&P International Developed Low Volatility ETF IDLV NYSEARCA Developed Markets (ex-US) InvestableMkt LowVolatility USD 27.85 978 M -14.0% 27%   3% -36%
Invesco S&P MidCap Low Volatility XMLV NYSEARCA US Market MidCap LowVolatility USD 41.46 3.5 B -18.1% 37%   5% -41%
Invesco S&P SmallCap High Dividend Low Volatility ETF XSHD BATS US Market SmallCap Factors USD 16.28 17 M -29.5% 45%   4% -50%
Invesco S&P SmallCap Low Volatility XSLV NYSEARCA US Market SmallCap LowVolatility USD 33.40 2.3 B -28.1% 42%   4% -45%
iShares Edge MSCI Min Vol Global ETF ACWV NYSEARCA Global Markets InvestableMkt LargeCap USD 88.50 5.3 B -5.5% 26%   4% -29%
iShares Edge MSCI USA Size Factor ETF SIZE NYSEARCA US Market LargeMidCap LowVolatility USD 87.97 1.2 B -3.2% 37%   6% -39%
iShares MSCI EAFE Minimum Volatility ETF EFAV NYSEARCA Developed Markets (ex-US) InvestableMkt LowVolatility USD 66.68 12 B -9.6% 26%   3% -28%
iShares MSCI Emerging Markets Minimum Volatility ETF EEMV NYSEARCA Emerging Markets InvestableMkt LowVolatility USD 53.49 4.8 B -9.6% 25%   3% -29%
iShares MSCI USA Minimum Volatility ETF USMV NYSEARCA US Market InvestableMkt LowVolatility USD 61.08 36 B -2.7% 30%   5% -33%
Nationwide Risk-Based International Equity ETF RBIN NYSEARCA Developed Markets (ex-US) InvestableMkt LowVolatility USD 23.81 115 M -4.1% 24%   3% -29%
Nationwide Risk-Based U.S. Equity ETF RBUS NYSEARCA US Market LargeCap LowVolatility USD 29.75 113 M 3.3% 29%   5% -34%
SPDR Russell 1000 Low Volatility ETF LGLV NYSEARCA US Market LargeCap LowVolatility USD 102.83 992 M -4.7% 35%   5% -37%
SPDR Russell 2000 Low Volatility ETF SMLV NYSEARCA US Market SmallCap LowVolatility USD 74.92 296 M -17.6% 42%   5% -43%
VictoryShares US 500 Volatility Wtd ETF CFA NASDAQ US Market LargeCap LowVolatility USD 50.74 808 M -3.3% 35%   5% -38%
VictoryShares US Discovery Enhanced Volatility Weighted ETF CSF NASDAQ US Market SmallCap LowVolatility USD 38.82 42 M 4.1% 24%   3% -21%
VictoryShares US Small Cap Volatility Wtd ETF CSA NASDAQ US Market SmallCap LowVolatility USD 39.56 - -12.5% 41%   5% -42%