Factor ETFs – Trend Analysis, Part 4

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This is part-4 of the Russell ETF series in studying underlying market trends for US equities. Last time we looked at various momentum ETFs. Now we review ETF covering various different factors.

At the moment US equities market is witnessing a series of down days; especially for the tech and growth stocks. May 12 witnessed 2.67% drop for Nasdaq, retreating back to beginning of the year level (Chart 1), and 2.15% drop for S&P 500. Liz Ann Sonders of Charles Schwab advised to follow value factor across the market vs. focusing on specific sectors that might be traditionally associated with value.

So we’re analyzing factor-based ETFs, again focusing on the Russell family. Below table lists various ETF focusing on Yield, Low Volatility, Low Beta in addition to Momentum, Growth and Value that we have already seen previously.

Name

Ticker

Russell Index

ETF_Theme

iShares Russell 1000 Growth ET

IWF US

1000

Growth

iShares Russell 2000 Growth ET

IWO US

2000

Growth

iShares Russell 1000 Value ETF

IWD US

1000

Value

iShares Russell 2000 Value ETF

IWN US

2000

Value

SPDR Russell 1000 Yield Focus

ONEY US

1000

Yield

Proshares Trust-Proshares Russ

SMDV US

2000

Dividend Growers

ProShares Russell US Dividend

TMDV US

3000

Dividend

Invesco Russell 1000 Low Beta

USLB US

1000

Low Beta Equal Weight

SPDR Russell 1000 Low Volatility Focused

ONEV US

1000

Low Volatility

SPDR Russell 1000 Momentum Focused

ONEO US

1000

Momentum

ProShares Short Russell2000

RWM US

2000

Short Russell 2000 Index

 In Charts 2, 3 and 4 we compare year-to-date returns of different factor-based Russell 1000 ETFs. Chart 2 clearly shows the Russell 1000 Value (IWD) leading Low Volatility (ONEV), Momentum (ONEO), and especially Growth (IWF) as expected. Next, Chart 3 we add Russell 1000 Low Beta (USLB), replacing the ONEV and IWF. And here again we see Value leading. Now Yield is a clear indicator of Value, and this is evident in Chart 4, where we have added Russell 1000 Yield (ONEY) in green, which now distinctly leads all others. This analysis certainly highlights the advantage of Value-based factors year-to-date. RWM is another interesting ETF; it shorts Russell 2000 index, and could be a useful hedge against a long portfolio.  



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