2023 EFT Series Trust - Brandes U S Small - Mid Cap Value ETF

10-Year Study

BSMC.US · · US · ETF

Executive Summary: 2023 EFT Series Trust - Brandes U S Small - Mid Cap Value ETF has compounded at 20.1% annually over the last 10 years, with a maximum drawdown of 9.5% and an annualized volatility of 16.2%.

1Y CAGR
+27.0%
3Y CAGR
+20.1%
5Y CAGR
+20.1%
10Y CAGR
+20.1%

History & Riski10-year historical performance analysis including CAGR, Max Drawdown, Sharpe & Sortino ratios, annual returns, and rolling volatility — all computed from daily market data.

10-Year Growth of $10,000

Max DrawdownMax DrawdownThe largest peak-to-trough decline in the asset's value over the measurement period.Click for full definition →
9.5%
Sharpe RatioSharpe RatioRisk-adjusted return: how much excess return you earn per unit of total risk (volatility).Click for full definition →
1.20
Sortino RatioSortino RatioLike Sharpe, but only penalizes downside volatility — a more accurate risk measure for asymmetric return distributions.Click for full definition →
2.91
Ann. VolatilityAnnualized VolatilityThe annualized standard deviation of an asset's returns — a measure of how much prices fluctuate.Click for full definition →
13.9%
Best YearBest & Worst YearThe single calendar year with the highest and lowest return in the measured period.Click for full definition →
2025 · +15.5%
Worst YearBest & Worst YearThe single calendar year with the highest and lowest return in the measured period.Click for full definition →
2026 · 8.7%
% Positive Years% Positive YearsThe percentage of calendar years in the measurement period where the asset delivered a positive return.Click for full definition →
100%

Annual Returns

Rolling 12-Month Returns

Rolling 12-Month Annualised Volatility

Historical Drawdowns

Monthly Returns

Monthly Returns Heatmap

YearJanFebMarAprMayJunJulAugSepOctNovDecAnn.
20265.75.2-6.34.3————————8.7%
20252.9-1.6-3.8-2.66.23.4-0.86.70.20.22.61.615.5%
2024-1.74.14.8-4.12.5-2.37.80.51.4-3.15.4-4.710.2%
2023——————————6.47.414.3%

Risk X-RayiA 19-factor macroeconomic risk decomposition showing exactly which market forces (equity beta, rates, inflation, credit, commodity, crypto) drive this asset's volatility. Powered by multivariate regression against daily factor returns.

Risk Profile Insight: This asset has an estimated annualized volatility of 16.2%. The dominant macroeconomic risk driver is VTI.US, accounting for 47.9% of variance. Idiosyncratic stock-specific factors contribute 2.8%.

10-Year Historical Price Series (Growth of $10,000)
DateSimulated Value
2023-10-0110000
2023-11-0110641.68747800144
2023-12-0111428.02071635687
2024-01-0111239.252132812631
2024-02-0111702.018001106211
2024-03-0112263.253607763605
2024-04-0111766.4633022141
2024-05-0112058.43655196688
2024-06-0111776.100765968858
2024-07-0112697.316594874545
2024-08-0112759.834403231482
2024-09-0112938.714110923016
2024-10-0112540.812563900574
2024-11-0113218.032951745638
2024-12-0112594.614752861908
2025-01-0112955.265407371402
2025-02-0112752.250138276653
2025-03-0112269.706518277659
2025-04-0111956.153730117492
2025-05-0112698.69936141327
2025-06-0113134.815547324137
2025-07-0113023.94281212812
2025-08-0113897.390342423278
2025-09-0113930.283425238422
2025-10-0113953.329534217188
2025-11-0114316.326701640883
2025-12-0114549.637128538623
2026-01-0115381.39215259038
2026-02-0116178.368503092368
2026-03-0115158.054405577994
2026-04-0115809.337445317868
Annual Return Matrix
YearAnnual Return
20240.10208189724711447
20250.15522685004973824
20260.08657950061918629
Total Factor Risk
0.16166930322168863
VTI.US Exposure
0.4793017342780996
VEA.US Exposure
0.257658028417817
VWO.US Exposure
0.03195813154665604
QQQ.US Exposure
-0.22851236615656037
VTV.US Exposure
0.04964507348382253
IJR.US Exposure
0.4365281277753521
QUAL.US Exposure
-0.06011876430250584
SHV.US Exposure
0.11284803649034791
TLT.US Exposure
0.019274409941969002
LQD.US Exposure
-0.036839110883491476
HYG.US Exposure
-0.042057953716606075
GLD.US Exposure
-0.014614502128234298
USO.US Exposure
-0.0014235065991878395
VNQ.US Exposure
-0.05884631134541098
BTC-USD.CC Exposure
0.0058800377947467045
CPER.US Exposure
-0.0017460783527438227
VIX.INDX Exposure
-0.007986328979963304
UUP.US Exposure
-0.0007721254399831833
TIP.US Exposure
0.03219582301449639
Idiosyncratic Exposure
0.027627645161379905
Value Score
50
Growth Score
50
Profit Score
37.5
Health Score
23.6
Yield Score
0
Moat Score
40

Factor Risk Decomposition

Share of annualised volatility attributable to each macro factor.

Total Est. Vol
16.2%

FundamentalsiCompany financial health metrics: P/E valuation, dividend yield, Piotroski F-Score (9-point profitability signal), Altman Z-Score (bankruptcy risk proxy), and a radar chart across 6 fundamental dimensions. Note: ETFs may show N/A for some metrics.

Fundamental Dimensions

Core Valuation

P/E Ratio (TTM)P/E RatioPrice-to-Earnings ratio — the market price of a stock divided by its earnings per share, a key valuation measure.Click for full definition →N/A
Dividend YieldDividend YieldAnnual dividend paid per share divided by the current share price — expressed as a percentage income return.Click for full definition →0.00%
Market Cap$0
Piotroski F-ScorePiotroski F-ScoreA 9-point scoring system evaluating a company's financial strength across profitability, leverage, and operating efficiency.Click for full definition →
9-point profitability signal
0.0/ 9
Weak
Altman Z-ScoreAltman Z-ScoreA bankruptcy prediction model that combines 5 financial ratios into a single score indicating financial distress risk.Click for full definition →
Bankruptcy risk proxy
1.18
Distress Zone
Income Simulation

Based on $10,000 initial investment.

Total Income Generated
$32
Avg Yield on Cost
0.32%
Annual Income Simulation Table
Historical Realised Yields
YearAnnual PayoutYield on CostQuality
2026$31.850.32%Solid

Momentum & MacroiPrice momentum indicators relative to key technical levels: distance from 50-Day SMA (intermediate trend), 200-Day SMA (long-term trend), 52-Week High (bullish proximity), and Beta (market sensitivity coefficient).

vs 50-Day SMAMoving Averages (SMA)A rolling average of an asset's price over a defined window — used to identify trends and momentum signals.Click for full definition →
+1.7%
Above/below 50-day moving average
vs 200-Day SMAMoving Averages (SMA)A rolling average of an asset's price over a defined window — used to identify trends and momentum signals.Click for full definition →
+9.7%
Above/below 200-day moving average
vs 52-Week High52-Week HighThe highest price an asset reached in the past 52 weeks — a key reference for momentum and valuation context.Click for full definition →
2.4% from high
Distance from 52-week high
BetaBetaA measure of an asset's sensitivity to broad market movements relative to a benchmark (e.g. S&P 500).Click for full definition →
1.00
Market sensitivity coefficient

Frequently Asked Questions & Methodology

Is 2023 EFT Series Trust - Brandes U S Small - Mid Cap Value ETF a high-risk investment?

2023 EFT Series Trust - Brandes U S Small - Mid Cap Value ETF (BSMC.US) has an annualized volatility of 16.2% and experienced a maximum drawdown of 9.5% over the last 10 years. Its primary macro risk driver is VTI.US.

What is the 10-year return of BSMC.US?

Over the past 10 years, BSMC.US has generated a Compound Annual Growth Rate (CAGR) of 20.1%. It has had a positive return in 100% of the years measured.

Data Methodology & Trust

The risk and return information on this page is pre-calculated mathematically using daily market data spanning a 10-year period. Fundamentals (such as P/E Ratio, Market Cap, and Dividend Yield) represent trailing averages and may not immediately reflect real-time live market fluctuations. Advanced scoring models like the Piotroski F-Score and Altman Z-Score are proxies applied to publicly available trailing-twelve-month financial statements and may not account for recent off-balance-sheet events, qualitative company shifts, or sector-specific capital structures. Macroeconomic factor exposures are estimated via multivariate regression against standard market indices. This data is provided for quantitative insight and backtesting research, and should not be misconstrued as tailored financial advice.

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