Joel Shulman, Ph.D., CFA
Is Entrepreneur the New Top Factor?
Entrepreneur Factor 204%
Total Return 181%
Excess Return 94%
Statistic
ER 30 Index
Vanguard Growth (VUG)
Returns: 12.20% Rank: 3 out of 2705
YTD
8.80% 16.29%
3 Year Return
9.56% 7.72%
5 Year Return
18.97% 14.40%
Excess Returns: 4.98% Rank: 3 out of 2705
Cumulative Return
181.80% 87.33%
Ann. Alpha: 4.29% Rank: 7 out of 2705
Standard Deviation
21.39% 17.41%
Sharp Ratio: 0.56 Rank: 1 1 out of 2705
Information Ratio: 0.59 Rank: 2 out of 2705
Sharpe Ratio (Citi 3 Mo. T-Bill) 0.56
0.40
Beta
1.14
Alpha (a)
4.29%
Information Ratio
0.59
Excess Return (a)
4.98%
Summary
Correlation
0.92
Rules-based, Entrepreneur factor model significantly outperforms peer benchmark during extended time period (top rankings: total
return, excess return, alpha, information ratio, sharpe ratio, etc.).
Detailed Factor Analysis shows that Entrepreneur Factor represents more than the excess return over the market (111% vs 94%).
Entrepreneur Factor was 9.5x more significant than all other (20+) factors combined in explaining excess return. This includes all
Industry Factors, Style Factors and other Misc. Factors.
Entrepreneur Factor may be the most important Factor (after Market) for portfolio construction.
Sources : Bloomberg L.P. “Factor Return Analysis of the ER30 Index vs. VUG ETF 12/31/07 to 12/30/16." (2017). Bloomberg database.
eVestment Alliance, LLC. eVestment Report based on EntrepreneurShares ’ ER30 Index vs Market
Disclaimers : The information in this material is for institutional use only. This document is not for retail use. The ENTR ETF follows the ER 30 Index. Investors should
carefully consider the Fund’s investment objectives, risks, charges and expenses carefully before investing. This and other important information about the Fund is
contained in the prospectus, which can be obtained by calling 1-833-3687-383 or visiting https://www.sec.gov/Archives/edgar/data/1495922/000089853117000543/esst_e30f-
485b.htm The prospectus should be read carefully before investing or sending money. Fund Risks can include and are not limited to: Absence of Prior Active Market Risk,
Index Risk, Index Tracking Risk, Indexing and Passive Investment Risk, New ETF Provider, Common Stock Risk, Market Risk, Concentration Risk, American Depositary
Receipts, Early Closing Risk, Exchange Trade Fund Risk. ETF Distributor: Foreside Fund Services, LLC.
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