SVAL iShares US Small Cap Value Factor ETF

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SVAL iShares US Small Cap Value Factor ETF

Seeks to track, before fees and expenses, the Russell 2000 Focused Value Select Index.The Index begins with the stocks in the Russell 2000 and excludes companies that are ranked in the least liquid 20% (i.e. approximately 400 constituents) based on the 60-day average dollar value traded. The list of eligible constituents is then narrowed to exclude the top 20% of Parent Index constituents with the highest risk based on a 12-month trailing realized volatility. The list is further narrowed to exclude the top 20% of Parent Index constituents with the highest leverage, which is measured by comparing a company’s total debt to its total assets. Following these three initial screens, the remaining companies are evaluated to exclude companies with a negative sentiment score, which is calculated using the number of upgrades for earnings per share and the number of downgrades for earnings per share for a company’s current and next fiscal year. A company with more downgrades for earnings per share than upgrades will have a negative sentiment score, and thus will be excluded from the Index. The remaining companies are then ranked based on a weighted composite score of three value factor metrics; price-to-book, price-to-earnings and price-to-cash flow from operations (the “Composite Score”). The top 250 ranked stocks are selected and equally weighted.

$30.25  +0.56 (1.89%)
As of 11/30/2022 15:59:45 EST     IEX book   CBOE book


ETF Information
Sponsor:     iShares
Category1:  US Equity
Category2:  Broad market
Category3:  Small cap
Morningstar category:  
Leverage factor:  1.00
Inception date:  10/29/2020
Index tracking method: Passive replication
Current yield:  2.55%
Historical average yield:  2.12%
Market cap:  $129,151,500
Average volume:  40,987
Fees:     0.3000%

Index Information
Russell 2000 Focused Value Select Index
Index symbol:  R2FVSTR
Provider:   FTSE Russell
Index weighting:   Equal weighted
Index inception date:  01/01/1900
Backtesting data exists:  
Number of holdings:  250
Factors used to select securities:

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