Comparing ETF factor weights

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Gaston
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Joined: Wed Aug 21, 2013 7:12 pm

Comparing ETF factor weights

Post by Gaston »

Ever wanted to compare the factor tilt between two ETFs? For those who might not be aware, the free website etf.com provides this ability. The site uses the MSCI factor methodology shown here: https://www.msci.com/our-solutions/factor-investing.

Here is one example that compares two value ETFs: https://postimg.cc/7bHgbmWC. MSCI uses book to price, earnings yield, and price reversal to measure value. Note that the x-axis labels refer to the number of standard deviations from the mean.

I am not a factor investor, but a lot of threads on this site reference factor investing. So perhaps some will find the etf.com site useful.
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