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Value ETFs

A value ETF screens its potential holdings based on how expensive a company's stock market price is using measures like price to earnings or price to book value. Value investing is one of the oldest investing approaches, made famous by Ben Graham and David Dodd in their 1934 value investing classic "Security Analysis" and later popularized by Warren Buffett and others. Fama French, in their influential 1993 publication of their "three factor" model, stated that small size and value were the two most important factors to explain the outperformance of stocks over long periods of time. So there are a lot of believers in value investing.

There are a large number of value ETFs, as shown in this table:

Name	Symbol	Last price	Currency	AUM	Expense ratio, %	Inception date
iShares Russell 1000 Value ETF	ARCX:IWD	258.33	USD			May 26, 2000
iShares S&P 500 Value ETF	ARCX:IVE	237.29	USD			May 26, 2000
Vanguard Value ETF	XNYS:VTV	138.33	USD			Jan 26, 2004
Vanguard Mid-Cap Value ETF	XNYS:VOE	132.14	USD			Aug 17, 2006
American Century U.S. Quality Value ETF	ARCX:VALQ	72.56	USD			Jan 16, 2018
The Acquirers Fund	ARCX:ZIG	40.92	USD			May 15, 2019
AAM S&P Developed Markets High Dividend Value	ARCX:DMDV	23.63	USD			Nov 28, 2018
Opus Small Cap Value ETF	BATS:OSCV	41.78	USD			Jul 18, 2018
AAM S&P Emerging Markets Sector High Dividend	ARCX:EEMD	20.09	USD			Nov 30, 2017
AAM S&P 500 High Dividend Value ETF	ARCX:SPDV	41.60	USD			Nov 29, 2017
Fidelity International Value Factor ETF	ARCX:FIVA	39.81	USD			Jan 25, 2018
Fidelity Value Factor ETF	ARCX:FVAL	82.67	USD			Sep 15, 2016
iShares Russell Mid-cap Value ETF	ARCX:IWS	170.75	USD			Aug 02, 2001
iShares Core S&P U.S. Value ETF	XNAS:IUSV	114.89	USD			Aug 04, 2000
iShares Russell Top 200 Value ETF	ARCX:IWX	113.23	USD			Sep 28, 2009
iShares Focused Value Factor ETF	ARCX:FOVL	73.39	USD			Mar 21, 2019
iShares MSCI Japan Value ETF	XNAS:EWJV	47.65	USD			Mar 07, 2019
Nuveen ESG Large-Cap Value ETF	BATS:NULV	53.89	USD			Jan 10, 2017
Nuveen ESG Mid-Cap Value ETF	BATS:NUMV	45.08	USD			Dec 20, 2016
Vanguard U.S. Value Factor ETF	BATS:VFVA	162.11	USD			Feb 13, 2018
Vanguard Small-Cap Value ETF	ARCX:VBR	246.81	USD			Jan 26, 2004
WisdomTree U.S. Value Fund	ARCX:WTV	108.78	USD			Feb 23, 2007
iShares Russell 2000 Value ETF	ARCX:IWN	223.14	USD			Jul 28, 2000
iShares S&P Mid-Cap 400 Value ETF	ARCX:IJJ	147.36	USD			Jul 28, 2000
iShares S&P SmallCap 600 Value ETF	ARCX:IJS	137.53	USD			Jul 28, 2000
SPDR S&P 600 Small Cap Value ETF (based on S&P SmallCap Value Index--symbol--CVK	ARCX:SLYV	109.65	USD			Sep 25, 2000
SPDR Series Trust SPDR Portfolio S&P 500 Value ETF	ARCX:SPYV	63.55	USD			Sep 25, 2000
SPDR S&P 400 Mid Cap Value ETF (based on S&P MidCap 400 Value Index--symbol: MGD	ARCX:MDYV	94.69	USD			Nov 08, 2005
Invesco S&P 500 Pure Value ETF	XNYS:RPV	90.13	USD			Mar 01, 2006
First Trust Multi Cap Value AlphaDEX Fund	XNAS:FAB	107.17	USD			May 11, 2007
First Trust Large Cap Value AlphaDEX Fund	XNAS:FTA	103.37	USD			May 24, 2007
iShares Morningstar Large-Cap Value ETF	ARCX:ILCV	108.76	USD			Jul 13, 2004
iShares Morningstar Mid-Cap Value ETF	XNAS:IMCV	97.66	USD			Jul 13, 2004
iShares Morningstar Small-Cap Value ETF	ARCX:ISCV	80.44	USD			Jul 13, 2004
iShares MSCI EAFE Value ETF	BATS:EFV	81.75	USD			Aug 05, 2005
WisdomTree International AI Enhanced Value Fund	ARCX:AIVI	59.99	USD			Jun 16, 2006
WisdomTree U.S. AI Enhanced Value Fund	ARCX:AIVL	134.69	USD			Jun 16, 2006
Vanguard Mega Cap Value ETF	ARCX:MGV	167.29	USD			Dec 17, 2007
Schwab U.S. Large-Cap Value ETF	ARCX:SCHV	34.61	USD			Dec 15, 2009
Vanguard S&P 500 Value ETF	ARCX:VOOV	229.19	USD			Sep 07, 2010
Vanguard S&P Mid-Cap 400 Value ETF	ARCX:IVOV	113.95	USD			Sep 07, 2010
Vanguard S&P Small-Cap 600 Value ETF	ARCX:VIOV	118.00	USD			Sep 07, 2010
Vanguard Russell 1000 Value ETF	XNAS:VONV	113.28	USD			Sep 20, 2010
Vanguard Russell 2000 Value ETF	XNAS:VTWV	197.01	USD			Sep 20, 2010
First Trust Mid Cap Value AlphaDEX Fund	XNAS:FNK	64.54	USD			Apr 20, 2011
First Trust Small Cap Value AlphaDEX Fund	XNAS:FYT	72.04	USD			Apr 20, 2011
SPDR S&P 1500 Value Tilt ETF	ARCX:VLU	248.39	USD			Oct 24, 2012
Cambria Global Value ETF	BATS:GVAL	38.51	USD			Mar 12, 2014
WBI BullBear Value 3000 ETF	ARCX:WBIF	37.22	USD			Aug 27, 2014
Roundhill Acquirers Deep Value ETF	ARCX:DEEP	43.79	USD			Sep 23, 2014
Alpha Architect U.S. Quantitative Value ETF	BATS:QVAL	62.02	USD			Oct 22, 2014
Alpha Architect International Quantitative Value ETF	BATS:IVAL	36.99	USD			Dec 17, 2014
iShares MSCI USA Value Factor ETF	BATS:VLUE	201.29	USD			Apr 18, 2013
iShares MSCI Intl Value Factor ETF	ARCX:IVLU	44.23	USD			Jul 15, 2015
Avantis International Small Cap Value ETF	ARCX:AVDV	112.42	USD			Sep 26, 2019
Avantis U.S. Small Cap Value ETF	ARCX:AVUV	125.57	USD			Sep 26, 2019
Columbia Research Enhanced Value ETF	ARCX:REVS	34.10	USD			Sep 25, 2019
Invesco S&P Smallcap 600 Pure Value ETF	ARCX:RZV	149.94	USD			Mar 01, 2006
Invesco S&P Midcap 400 Pure Value ETF	ARCX:RFV	149.47	USD			Mar 01, 2006
Invesco S&P 500 Value with Momentum ETF	ARCX:SPVM	77.28	USD			Jun 16, 2011
Invesco S&P MidCap Value with Momentum ETF	ARCX:XMVM	74.45	USD			Mar 03, 2005
Invesco S&P SmallCap Value with Momentum ETF	ARCX:XSVM	69.66	USD			Mar 03, 2005
Invesco Large Cap Value ETF	ARCX:PWV	81.69	USD			Mar 03, 2005
Invesco S&P 500 Enhanced Value ETF	ARCX:SPVU	66.92	USD			Oct 09, 2015
JPMorgan U.S. Value Factor ETF	ARCX:JVAL	59.62	USD			Nov 09, 2017
Royce Quant Small-Cap Quality Value ETF	XNAS:SQLV	54.46	USD			Jul 13, 2017
Principal Value ETF	XNAS:PY	58.22	USD			Mar 22, 2016
Putnam Focused Large Cap Value ETF	ARCX:PVAL	54.29	USD			May 26, 2021
ClearBridge Focus Value ESG ETF	BATS:CFCV	38.08	USD			Jun 02, 2020
EA Bridgeway Omni Small-Cap Value ETF	XNAS:BSVO	29.42	USD			Mar 13, 2023
EA Series Trust Strive 1000 Value ETF	XNYS:STXV	39.49	USD			Nov 11, 2022
American Century ETF Trust Avantis U.S Small Cap Equity ETF	ARCX:AVSC	73.13	USD			Jan 13, 2022
Avantis U.S. Large Cap Value ETF	ARCX:AVLV	94.05	USD			Sep 23, 2021
Avantis Emerging Markets Value ETF	ARCX:AVES	66.52	USD			Sep 30, 2021
American Century Focused Large Cap Value ETF	ARCX:FLV	87.55	USD			Apr 02, 2020
Capital Group Dividend Value ETF	ARCX:CGDV	50.36	USD			Feb 24, 2022
DBX ETF Trust Xtrackers S&P 500 Value ESG ETF	BATS:SNPV	40.03	USD			Nov 10, 2022
Dimensional U.S. Targeted Value ETF	ARCX:DFAT	71.17	USD			Jun 14, 2021
Dimensional ETF Trust Dimensional US Large Cap Value ETF	ARCX:DFLV	41.89	USD			Dec 07, 2022
Dimensional ETF Trust Dimensional US Marketwide Value ETF	ARCX:DFUV	57.20	USD			May 09, 2022
Dimensional ETF Trust Dimensional Emerging Markets Value ETF	ARCX:DFEV	42.59	USD			Apr 27, 2022
Dimensional ETF Trust Dimensional International Small Cap Value ETF	BATS:DISV	44.60	USD			Mar 24, 2022
Dimensional International Value ETF	ARCX:DFIV	57.95	USD			Sep 13, 2021
Dimensional ETF Trust Dimensional US Small Cap Value ETF	ARCX:DFSV	39.97	USD			Feb 24, 2022
ETF Opportunities Trust Cultivar ETF	BATS:CVAR	31.82	USD
Fidelity Blue Chip Value ETF	BATS:FBCV	43.17	USD			Jun 05, 2020
BrandywineGLOBAL-Dynamic US Large Cap Value ETF	XNAS:DVAL	16.65	USD			Oct 31, 2022
iShares Trust iShares ESG Aware MSCI USA Value ETF	BATS:EVUS	37.31	USD			Feb 02, 2023
iShares Trust iShares International Developed Small Cap Value Factor ETF	BATS:ISVL	54.65	USD			Mar 30, 2021
iShares US Small Cap Value Factor ETF	BATS:SVAL	43.44	USD			Oct 29, 2020
JPMorgan Active Value ETF	ARCX:JAVA	83.25	USD			Oct 05, 2021
J.P. Morgan Exchange-Traded Fund Trust JPMorgan Active Small Cap Value ETF	ARCX:JPSV	69.80	USD			Mar 08, 2023
KraneShares Value Line Dynamic Dividend Equity Index ETF	ARCX:KVLE	29.24	USD			Nov 24, 2020
PGIM ETF Trust PGIM Jennison Focused Value ETF	ARCX:PJFV	100.12	USD			Dec 14, 2022
SEI Enhanced U.S. Large Cap Value Factor ETF	BATS:SEIV	50.86	USD			May 18, 2022
Tidal ETF Trust Gotham 1000 Value ETF	ARCX:GVLU	29.17	USD			Jun 08, 2022
Two Roads Shared Trust Conductor Global Equity Value ETF	XNYS:CGV	16.23	USD			Aug 01, 2022
ETRACS 2x Leveraged US Value Factor TR ETN	ARCX:IWDL	70.25	USD			Feb 09, 2021
Absolute Select Value ETF	ARCX:ABEQ	39.06	USD			Jan 22, 2020
EA Series Trust Euclidean Fundamental Value ETF	ARCX:ECML	42.07	USD			May 23, 2023
EA Series Trust Morgan Dempsey Large Cap Value ETF	BATS:MDLV	31.86	USD			Apr 27, 2023
iShares Large Cap Value Active ETF	ARCX:BLCV	43.28	USD			May 23, 2023
American Century ETF Trust Avantis All International Markets Value ETF	ARCX:AVNV	87.29	USD			Jun 29, 2023
American Century ETF Trust Avantis All Equity Markets Value ETF	ARCX:AVGV	88.09	USD			Jun 29, 2023
T. Rowe Price Exchange-Traded Funds, Inc. T. Rowe Price Value ETF	ARCX:TVAL	43.15	USD			Jun 16, 2023
Madison ETFs Trust Madison Dividend Value ETF	ARCX:DIVL	25.58	USD			Aug 15, 2023
Bushido Capital US Equity ETF	XNAS:SMRI	48.86	USD			Sep 14, 2023
Brookstone Value Stock ETF	BATS:BAMV	38.25	USD			Sep 27, 2023
Brandes International ETF Brandes U.S. Small-Mid Cap Value ETF	BATS:BSMC	40.67	USD			Oct 09, 2023
Brandes International ETF Brandes International ETF	BATS:BINV	45.46	USD			Oct 09, 2023
Brandes International ETF Brandes U.S. Value ETF	BATS:BUSA	42.46	USD			Oct 09, 2023
Foundations Dynamic Value ETF	BATS:FDVL	10.35	USD			Oct 16, 2023
Avantis International Large Cap Value ETF	ARCX:AVIV	83.00	USD			Sep 30, 2021
American Century ETF Trust Avantis U.S. Mid Cap Value ETF	ARCX:AVMV	81.49	USD			Nov 09, 2023
Fidelity Covington Trust Fidelity Enhanced Large Cap Value ETF	ARCX:FELV	42.99	USD			Nov 20, 2023
Goldman Sachs ETF Trust Goldman Sachs MarketBeta Russell 1000 Value Equity ETF	ARCX:GVUS	66.31	USD			Nov 30, 2023
Hartford Funds Exchange-Traded Trust Hartford Quality Value ETF	BATS:QUVU	30.44	USD			Oct 16, 2023
Lattice Strategies Trust Hartford US Value ETF	BATS:VMAX	64.96	USD			Dec 06, 2023
Advisor Managed Portfolios Miller Value Partners Appreciation ETF	ARCX:MVPA	37.43	USD			Jan 31, 2024
Fidelity Covington Trust Fidelity Fundamental Large Cap Value ETF	BATS:FFLV	29.09	USD
John Hancock Exchange-Traded Fund Trust John Hancock Disciplined Value International Select ETF	ARCX:JDVI	41.17	USD			Dec 20, 2023
The 2023 ETF Series Trust Eagle Capital Select Equity ETF	ARCX:EAGL	36.15	USD			Mar 25, 2024
VanEck ETF Trust VanEck Morningstar Wide Moat Value ETF	BATS:MVAL	39.64	USD
Simplify Exchange Traded Funds Simplify Next Intangible Value Index ETF	BATS:NXTV	25.50	USD
Federated Hermes ETF Trust Federated Hermes MDT Large Cap Value ETF	ARCX:FLCV	37.70	USD			Jul 31, 2024
Investment Managers Series Trust III FPA Global Equity ETF	BATS:FPAG	42.86	USD
JPMorgan International Value ETF	XNAS:JIVE	97.90	USD

Value versus pure value indexes

Each of the major index providers has their own approach to creating a value index. But generally speaking, during the 1990's the index providers adopted a fairly consistent approach to creating "value" and "growth" indexes. Generally speaking, every stock in an index universe, such as the S&P 500 Index, was classified into one of three buckets: 1) stocks that were primarily value stocks; 2) stocks that were primarily growth stocks; and 3) stocks that were not strongly growth or value stocks. This third category of stocks was labeled either "core" or "blend" or "neither" stocks.

When creating a "value" index during the 1990's, most index providers included in the "value" index stocks from the value bucket and stocks from the "blend" or "core" bucket (buckets #1 and #3). At the same time, most index providers created a second "pure value" index that included only the stocks in the "value" index.

SPYV, the SPDR S&P 500 Value ETF, is a good example of an ETF that follows a "value" index, while RPV, the Guggenheim S&P 500 Pure Value ETF, follows the "pure value" index.

In the past ten years, this older framework of everything being a "value" or a "growth stock" has been largely superseded by the concept of multi-factor investing, or smart beta investing. But many of these older "value" and "growth" ETFs continue to be around and continue to have a large amount of assets under management.

Does value investing work?

Let's look first at the performance of some of the oldest value ETFs. Many of the value ETFs have performed really well. What makes it difficult to analyze, however, is that most of these well performing value ETFs are also small and mid cap ETFs, or total market ETFs. Did they outperform because of the size factor or the value factor?

If you look at price charts of some of the oldest value ETFs against their respective benchmarks, the performance of value ETFs is not that amazing. If the value factor exists, it is difficult to tell from current price charts.

If the value factor exists, it is subtle. Or perhaps no longer exists as a significant factor because over time too many investors have used value investing such that it has been "played out". Or perhaps it has been out of favor for a while, but will eventually come back.

Academic factor research has also "waffled" a little bit on whether the value factor is important. In their five factor model, Fama French state that the value factor (what they call HML) is redundant: "the five-factor model never improves the description of average returns from the four-factor model that drops HML (Table 5). The explanation is interesting. The average HML return is captured by the exposures of HML to other factors. Thus, in the five-factor model, HML is redundant for describing average returns, at least in U.S. data for 1963–2013." Hou Xue and Zhang don't use value as a factor in their updated four factor model published in 2015.

Perhaps the value premium exists but it is so closely tied to the size factor that it is difficult to isolate. Fama French state in their 5 factor model:

The value, profitability, and investment factors are averages of small and big stock factors. Here again, joint controls produce interesting changes in the premiums for small and big stocks (Panel A of Table 4). The factors from the 2 3 and 2 2 sorts confirm earlier evidence that the value premium is larger for small stocks (e.g., Fama and French, 1993, 2012; Loughran, 1997).