U.S. Small Cap Blend ETF Rankings

In this article, we  start with our US Small Cap ETF rankings. We have already completed  large and medium cap ETFs and have derived a performance graph for the  ones we selected to potentially use in an ETF plan.

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In this article, we move on to small cap blend ETFs with the goal of providing the same ranking.
We rank and determine a cutoff based on trading volume for liquidity and lowtrading friction, then rank them based on their returns and assign a score. We start with a fuller list of small cap blend ETFs:
                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     

Symbol	Name
IWM	iShares Russell 2000 Index
IJR	iShares S&P SmallCap 600 Index
VB	Vanguard Small Cap ETF
IWC	iShares Russell Microcap Index
SCHA	Schwab U.S. Small-Cap ETF
PRFZ	PowerShares FTSE RAFI US 1500
JKJ	iShares Morningstar Small Core
RWJ	RevenueShares Small Cap
PZI	PowerShares Zacks Micro Cap
FYX	First Trust Small Cap Core Alp
FDM	First Trust Dow Jones Select M
SLY	SPDR S&P 600 Small Cap ETF
WMCR	Wilshire Micro-Cap ETF
VTWO	Vanguard Russell 2000 Index ET
PJM	PowerShares Dynamic Small Cap
EWRS	Rydex Russell 2000 Equal Weigh
VIOO	Vanguard S&P Small-Cap 600 Ind

We now apply trading volume data  for us to be able to reduce the number of ETFs that we examine. We want  to make sure we maximize liquidity and minimize trading friction. We  are going to draw the line at around 200,000 although we will let the  Schwab ETF squeak in just under the bar at around 190,000. This gives us  five ETFs.

                                                                                                                                                                                                                                                                                                                                                                                                                                                           

Ticker	Description	5 Yr AR%	3yr AR%	1yr AR%
VB	Vanguard Small Cap ETF	4.00%	5.40%	37.07%
IJR	iShares S&P SmallCap 600 Idx	2.83%	4.37%	35.61%
IWM	iShares Russell 2000 Index	2.26%	3.50%	29.63%
IWC	iShares Russell Microcap Index	-1.89%	0.74%	35.77%
SCHA	Schwab U.S. Small-Cap ETF	0.00%	0.00%	32.36%

We will select the top three although VB and IJR seem to be head and shoulders above the rest of the bunch.

                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            

Ticker	Property	2004	2005	2006	2007	2008	2009	2010	2011
VB	Draw Down(%)	12.00	9.04	13.15	13.31	51.92	32.54	20.01	3.69
	Return(%)	15.29	7.10	15.50	0.96	(37.61)	36.39	28.58	3.19
IJR	Draw Down(%)	11.07	10.94	13.98	14.44	48.42	33.34	19.29	3.58
	Return(%)	21.43	6.57	14.17	(1.47)	(31.70)	24.45	27.33	2.13
IWM	Draw Down(%)	14.41	12.16	14.14	13.90	49.44	32.90	20.09	4.23
	Return(%)	16.88	3.04	16.95	(2.73)	(34.48)	26.81	26.49	1.55

So VB and IJR are selected for Mid Cap Blend ETFs.


I have no positions in any stocks mentioned, but plan to initiate a long position in IWM over the next 10 days.