SVALiShares U.S. Small Cap Value Factor ETF
SVAL Fund Description
SVAL tracks an equally-weighted index of small-cap value companies selected by multiple factors.
SVAL Factset Analytics Insight
SVAL targets 250 small-cap stocks with value characteristics. Portfolio construction starts by screening Russell 2000 stocks for liquidity, volatility, and leverage. This screening process excludes 20% of the least liquid stocks, another 20% are excluded based on 12-month trailing realized volatility and another 20% are removed that have the highest leverage. Then additional exclusion applies to stocks with a negative sentiment score - stocks with more EPS downgrades than upgrades. The final portfolio - the Target Index - is composed of the remaining companies ranked based on a weighted composite score of price-to-book, price-to-earnings, and price-to-cash flow from operations. The Underlying Index is equally-weighted and undergoes monthly review, while rebalance only occurs if the Underlying Index’ composite score is less than 90% of the Target Index’s composite or if the Underlying Index has fewer than 200 securities.
SVAL MSCI ESG Analytics Insight
iShares U.S. Small Cap Value Factor ETF has an MSCI ESG Fund Rating of BBB based on a score of 4.38 out of 10. The MSCI ESG Fund Rating measures the resiliency of portfolios to long-term risks and opportunities arising from environmental, social, and governance factors. ESG Fund Ratings range from best (AAA) to worst (CCC). Highly rated funds consist of companies that tend to show strong and/or improving management of financially relevant environmental, social and governance issues. These companies may be more resilient to disruptions arising from ESG events.
The fund’s Peer Rank reflects the ranking of a fund’s MSCI ESG Fund Quality Score against the scores of other funds within the same peer group, as defined by the Thomson Reuters Lipper Global Classification. iShares U.S. Small Cap Value Factor ETF ranks in the 15th percentile within its peer group and in the 7th percentile within the global universe of all funds covered by MSCI ESG Fund Ratings.
SVAL MSCI FaCS and Factor Box
MSCI FaCS is a standard method for evaluating and reporting the Factor characteristics of equity portfolios including ETFs. The Factor Box includes 6 Factors that MSCI has identified that historically provided a return premium. On the vertical axis, the Factor Groups, are displayed and the horizontal axis displays the Factor exposure, overweight, underweight or neutral.
SVAL Summary Data
SVAL Portfolio Data
SVAL Index Data
SVAL Portfolio Management
SVAL Tax Exposures
SVAL Fund Structure
SVAL Factset Analytics Block Liquidity
This measurement shows how easy it is to trade a $1 million USD block of SVAL. SVAL is rated a 5 out of 5.
SVAL Sector/Industry Breakdown
SVAL Economic Development
SVAL Performance Statistics
SVAL MSCI ESG Ratings
SVAL Benchmark Comparison Summary
SVAL Benchmark Comparison Market Cap Size