Investment factors have been around for decades, but ETFs targeting single and multiple factors are a much newer invention. However, that doesn’t stop index providers and investment researchers from constructing hypothetical indexes and detailing their hypothetical historical performance. For most investors, the actual performance of real factor ETFs is where the rubber meets the road. After all, as much as we would all like to, we cannot buy past performance.

Additionally, since it is impossible to invest in an index, hypothetical or otherwise, I use actual factor-based ETFs as benchmarks. However, we are still in the early stages of factor ETF evolution, which renders my current benchmark selections far from perfect. Therefore, many of the ETF selections will likely change as better representatives establish themselves. Additionally, some of the factors themselves are likely to change in the coming years. For now, we have to work with what we have.

You may have seen some articles on factor investing that refer to the “four” or the “big six” factors. These generally refer to Small Size, Value, Low Volatility, Momentum, Yield, and Quality. As you will see below, Value and Quality are actually multiple factors in and of themselves. I extended my weekly factor analysis to include 11 categories to match the quantity of categories on my sector analysis. In doing so, I added the single factors of Market Capitalization, High Beta, and Dividend Growth along with two multifactor categories of Growth and Fundamental.

Here is an alphabetical list of the 11 primary factor categories I track and their benchmark ETFs:

Dividend Growth—SPDR S&P Dividends (SDY): This factor seeks companies that have consistently increased their dividends, as opposed to focusing on current yield. SDY follows the S&P High Yield Dividend Aristocrats Index, which holds stocks from the S&P Composite 1500 Index that have consistently increased dividends for at least 20 consecutive years. SDY holds 108 stocks, has $15 billion in assets, a yield of 2.6%, and an expense ratio of 0.35%.

Fundamental—PowerShares FTSE RAFI US 1000 (PRF): Fundamental weighting seeks to eliminate technical and price factors by focusing on four fundamental measures: book value, cash flow, sales, and dividends. PRF selects the 1,000 equities with the highest fundamental strength and weights them by their fundamental scores. PRF has about $4.7 billion in assets and an expense ratio of 0.39%.

Growth—Guggenheim S&P 500 Pure Growth (RPG): Although many analysts classify Growth as a single factor, it is actually composed of multiple factors. In the case of RPG, its underlying smart–beta index selects and weights stocks from the S&P 500 Index based on sales growth, earnings growth, and price momentum. This ETF holds 115 stocks, about $2 billion in assets, and has a 0.35% expense ratio.

High Beta—PowerShares S&P 500 High Beta (SPHB): Beta is a measure of a stock’s sensitivity to market moves, which is not synonymous with volatility. Therefore, the High Beta factor is not the opposite of the Low Volatility factor. SPHB’s underlying index selects the 100 stocks from the S&P 500 Index with the highest sensitivity to market movements, or beta, over the past 12 months. SPHB has about $800 million in assets, an expense ratio of 0.25%, and a one-year beta of 1.6 versus the S&P 500.

Low Volatility—iShares Edge MSCI Min Vol USA (USMV): Many analysts refer to this as just the “volatility” factor, but we include the word “low” for clarification as some investors pursue various high-volatility strategies. Another common term is “minimum volatility,” as is the case for the USMV benchmark ETF. USMV uses a rules-based methodology to optimize and determine weights for securities in an attempt to minimize overall portfolio volatility. It has 184 stocks, about $12 billion in assets, and an expense ratio of 0.15%.

Market Capitalization—iShares Russell 1000 (IWB): Market capitalization is the traditional default factor of index investing. This ETF represents the 1,000 largest publicly held U.S.-incorporated companies using a market-capitalization weighting. It provides broad exposure covering approximately 90% of the U.S. equity market. IWB holds $17 billion in assets and has an expense ratio of 0.15%.

Momentum—iShares Edge MSCI USA Momentum Factor (MTUM): The most widely followed definition of momentum is the total return of the past 12 months minus the most recent month, which is really an 11-month return calculation delayed by a month. MTUM’s underlying index uses a risk-adjusted measurement of price momentum over six-month and 12-month periods, where the risk-adjustment process uses the three-year weekly standard deviation of returns. This ETF has 123 stocks, about $2 billion in assets, and an expense ratio of 0.15%.

Quality—iShares Edge MSCI USA Quality Factor (QUAL): Often considered the most nebulous factor, not everyone’s definition of the quality is identical. At its core, the Quality factor attempts to filter out companies in questionable financial condition and focus on those with high sustainable earnings. To achieve those goals, QUAL’s underlying index considers return on equity, earnings variability, and debt-to-equity measurements in constructing a cap-weighted, sector-neutral portfolio, where sector-neutral means the same sector allocations as the broad U.S. market. This ETF has 125 stocks, about $3.6 billion in assets, and carries a 0.15% expense ratio.

Small Size—iShares Russell 2000 (IWM): Often referred to as just the “size” factor, we include the word “small” for clarification. Although it is a capitalization-weighted index, the Russell 2000 is the most widely followed small-cap benchmark. It excludes the 1,000 largest stocks and represents approximately 8% of the U.S. equity market. IWM holds $39 billion in assets and has an expense ratio of 0.20%.

Value—Guggenheim S&P 500 Pure Value (RPV): Although many analysts refer to Value as a single factor, it is actually composed of multiple factors. In the case of RPV, its underlying smart–beta index selects and weights stocks from the S&P 500 Index based on their price-to-book ratio, sales-to-price ratio, and earnings-to-price ratio. This ETF holds 116 stocks, about $1 billion in assets, and has a 0.35% expense ratio.

Yield—iShares Core High Dividend (HDV): The yield factor targets stocks with the highest current dividend yield. HDV currently holds the 75 stocks in the Morningstar Dividend Yield Focus Index. The underlying index applies quality screens and provides diversified sector exposure. HDV has more than $6 billion in assets, a current yield of 3.5%, and an expense ratio of 0.08%.