Do popular style-based exchange-traded funds (ETF) offer a reliable way to exploit the value premium? To investigate, we compare differences in returns (value-minus-growth) for each of the following three matched pairs of value-growth ETFs:
- iShares Russell 2000 Growth ETF (IWO)
- iShares Russell 2000 Value ETF (IWN)
- iShares Russell Mid-Cap Growth ETF (IWP)
- iShares Russell Mid-Cap Value ETF (IWS)
- iShares Russell 1000 Growth ETF (IWF)
- iShares Russell 1000 Value ETF (IWD)
To aggregate, we define monthly value return as the equal-weighted average monthly return of IWN, IWS and IWD and monthly growth return as the equal-weighted average monthly return of IWO, IWP and IWF. We focus on monthly return statistics, along with compound annual growth rates (CAGR) and maximum drawdowns (MaxDD). Using monthly dividend-adjusted closing prices for these ETFs during August 2001 (limited by IWP and IWS) through March 2025, we find that:
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