SPDR Russell 2000 Low Volatility
ALTAR
Score™
6.5% info Recommen-
dation
OVERWEIGHT
2019E    2020E
P/E
ratio
16.6x P/Sales
ratio
1.6x
P/BV
ratio
1.6x Div.
yield
3.1%


  • Description
  • Performance
  • Comps
  • premium Fundamentals
  • premium Valuation
  • premium Rating
SPDR Russell 2000 Low Volatility ETF is an exchange-traded fund incorporated in the USA. The Fund seeks to provide investment results that, before fees and expenses, correspond generally to the price and yield performance of the Russell 2000 Low Volatility Index.

FUND BASICS
Category US Equities
Fund Sponsor SSgA Funds Management Inc
Website www.spdrs.com
Inception date Feb 21, 2013
Assets (mns) $332
Currency USD
Expense ratio 12 bp
Distributions Quarterly

FUND STRUCTURE
Regulation Open-Ended Fund
Custodian
Weighting Technical
Index replication Optimized
Uses derivatives No
Options available No

SECTOR BREAKDOWN

 


CONSTITUENT BREAKDOWN
No. of constituents 401
Wgt avg mkt cap (mns) $1,884
Large cap (>$10bn) 0.4%
Mid cap ($2-10bn) 39.6%
Small cap (<$2bn) 60.1%
Developed mkts 99.9%
Emerging mkts 0.1%

TOP TEN HOLDINGS
APOLLO COMMERCIAL REAL ESTAT 1.1 %
WHITE MOUNTAINS INSURANCE GP 1.1 %
VALLEY NATIONAL BANCORP 0.9 %
MFA FINANCIAL INC 0.8 %
MERIDIAN BANCORP INC 0.7 %
TWO HARBORS INVESTMENT CORP. 0.7 %
EASTERLY GOVERNMENT PROPERTIES, IN 0.6 %
CAPITOL FEDERAL FINANCIAL IN 0.6 %
ISTAR FINANCIAL INC 0.6 %
ARMADA HOFFLER PROPERTIES IN 0.6 %
Total 7.7 %

TOP COUNTRY EXPOSURE
UNITED STATES 95.5 %
BERMUDA 1.8 %
ISRAEL 0.9 %
NETHERLANDS 0.4 %
LUXEMBOURG 0.3 %
BRITAIN 0.3 %
PUERTO RICO 0.2 %
CHINA 0.1 %



HISTORICAL PERFORMANCE info

  Custom date range Compare to  
  thru


Standardized Annual Returns (thru December 31)
Year-to-date 1 year 5 years 10 years Since Incep.
24.1% 24.1% 9.2% -- 11.9%

Market Correlations
versus... Beta R-squared
S&P500 0.84 65%
MSCI EAFE 0.70 38%
MSCI Emg. Mkts. 0.39 20%

Technical Indicators
Recent close $100.53
30d moving avg. $99.99
Annualized volatility 12.6%
Short interest (ETF) 0.8%
Short interest (Underlying) 5.3%
Relative strength (RSI) 64

Liquidity measures
Avg. volume (thou.) 12
Turnover 0.4%
Bid/Ask (% of price) 0.28%
ADV underlying (mns) $4,986

Distributions


FINDING ALTERNATIVE FUNDS

Below is a list of 20 potential alternatives to the SPDR Russell 2000 Low Volatility ETF based on the alternatives' overlap in portfolio holdings with SMLV. Consider funds with lower expense ratios and/or higher ALTAR Score™ ratings as possible alternatives.

Benchmark ticker: SMLV Expense: 12 bp ALTAR Score™: 6.5%


ALTERNATIVE ETFs BASED ON OVERLAP WITH SMLV
Ticker Fund
Name
Overlap1
vs SMLV
(%)
Expense
ratio
(bp)
Savings
vs SMLV
(bp)
ALTAR
Score™
(%)
ALTAR
vs SMLV
(%)
TPSC Timothy Plan US Small Cap Core 32.1 52 -40 6.6 +0.1
ISMD Inspire Small/Mid Cap Impact 31.4 61 -49 4.7 -1.7
CSF Compass EMP US Discovery 500 Enhanced Vol. 29.9 35 -23 7.0 +0.5
CSA Victory CEMP US Small Cap Volatility Wtd 29.7 35 -23 7.0 +0.5
JPSE JPMorgan Diversified Return U.S. Small Cap Equity 28.7 29 -17 4.7 -1.8
VIOO Vanguard S&P Small-Cap 600 28.4 15 -3 5.7 -0.7
IJR iShares Core S&P Small-Cap 28.2 7 5 6.0 -0.5
SLY SPDR S&P 600 Small Cap 28.2 15 -3 6.0 -0.5
SMMV iShares Edge MSCI Min Vol USA Small-Cap 27.7 20 -8 5.1 -1.3
ROGS Lattice Global Small Cap Strategy 26.9 39 -27 7.0 +0.6
FLQS Franklin LibertyQ U.S. Small Cap Equity 25.5 35 -23 5.9 -0.5
EWSC Invesco S&P Small Cap 600 Equal Weight 25.2 40 -28 5.5 -1.0
RNSC Small Cap US Equity Select 25.0 60 -48 5.8 -0.6
GSSC Goldman Sachs Activebeta U.S. Small Cap Equity 25.0 20 -8 5.5 -0.9
PSC Principal U.S. Small Cap Index 24.9 38 -26 6.3 -0.1
IWN iShares Russell 2000 Value 24.6 24 -12 6.1 -0.3
DES WisdomTree Smallcap Dividend 24.6 38 -26 6.9 +0.4
VTWV Vanguard Russell 2000 Value 24.4 20 -8 6.2 -0.3
IWM iShares Russell 2000 24.1 19 -7 3.4 -3.0
VTWO Vanguard Russell 2000 23.8 15 -3 3.5 -2.9

1Overlap is the percentage of holdings by weight that are identical. For example, if Fund A has a 2% position in Apple, Inc. (AAPL) and Fund B has a 5% position, their overlapping position in AAPL is 2%.

Content on this tab for subscribers only**

RESULTS & ESTIMATES

  2014 2015 2016 2017 2018 2019E 2020E
Sales per share ** ** ** ** ** ** **
Earnings per share ** ** ** ** ** ** **
Dividends per share info ** ** ** ** ** ** **
Book value per share ** ** ** ** ** ** **

 

Sales per share growth   **% **% **% **% **% **%
EPS growth   **% **% **% **% **% **%

Sales per share growth   **% **% **% **% **% **%
EPS growth   **% **% **% **% **% **%

OTHER FUNDAMENTAL METRICS

Long term EPS growth est. **%   Debt-to-equity **x
Asset turnover **%   Assets-to-equity **x

Return on equity

Revision activity*
*Six months ago = 100

Net margins

Compound annual growth rates

Content on this tab for subscribers only

VALUATION METRICS
  2018 2019E 2020E
Price-to-sales ** ** **
Price-to-earnings ** ** **
Price-to-cash flow ** ** **
Price-to-growth ** ** **
Price-to-book value ** ** **
Yield ** ** **

Historical valuation trends

Forward
multiple:
SPDR Russell 2000 Low Volatility
Relative
to:
S&P500 MSCI EAFE MSCI Emg. Mkts. Other ETF:

OVERWEIGHT

Above average appreciation potential. A rating of OVERWEIGHT is assigned to ETFs with ALTAR Scores in the 4th quintile (ranking higher than 60%-80%) of their category. Typically, funds in this category consist of stocks trading at attractive valuations and/or having above-average fundamentals.

ALTAR Score™


Calculation of ALTAR Score™
Avg. Return on Equity 10.0 %
Divided by: Fwd. P/BV 1.5 x
Less: Expense ratio 12 bp
Equals: ALTAR Score 6.5 %
info More information on ALTAR Score™

MODERN PORTFOLIO THEORY info

CONSENSUS RECOMMENDATIONS: FUND CONSTITUENTS
COMPOSITE
RATING
1.64 CATEGORY
AVERAGE
1.55
 
The composite rating is a weighted average of analysts' consensus recommendations for individual ETF constituents, based on the following scale:

BUY = 1; OVERWEIGHT = 1.5, HOLD = 2; UNDERWEIGHT = 2.5; and SELL = 3.

Readers are cautioned that because analyst ratings tend to be inflated, the composite score may be more useful as a relative measure of sentiment between funds rather than as a stand-alone recommendation.
 

 

See RATING tab for calculation of ALTAR Score™
Risk & reward. Uses std. dev. as proxy for risk, ALTAR Score™ for return forecast.
Dividends paid by constituents to the fund. May differ from actual distributions to shareholders due to constituent changes, timing issues or other factors.
Monthly returns based on changes in price plus dividends. May differ from daily returns reported by funds. See below for standardized returns.