The most expensive factor on a forward price-to-earnings basis was the minimum volatility USD at 19.0. On the other hand, the cheapest factor was enhanced value with a forward P/E of 16.1.

USMV currently shows a 22.9 P/E and a 3.29 price-to-book, according to Morningstar data. Meanwhile, the iShares MSCI USA Value Factor ETF (NYSEArca: VLUE), which targets large- and mid-cap U.S. stocks with lower valuations based on fundamentals, has a 13.85 P/E and a 1.73 P/B.

“The fund should benefit more than most of its peers when value stocks outperform because it has a more exaggerated value tilt. And it is less dependent on the performance of traditional value sectors, like financial services, utilities, and energy,” Bryan said in a research on VLUE.

Related: Smart Beta International ETFs That Have a Handle on Risk

In contrast, MTUM trades at a 19.67 P/E and a 2.79 P/B while the S&P 500 Index shows a 19.94 P/E and a 2.82 P/B.

For those interested in a cheap pick, VLUE and the enhanced value factor were trading at the lowest relative valuations, and the enhanced value factor has historically exhibited an average relative valuation versus its peers.

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