As a welcomed gift for the Independence Day holiday, Lipper Fund Data and Analytics just released June performance data for the entire universe of mutual funds available to domestic investors. Topping the U.S. Diversified Equity category were small-cap value funds which gained 3.1 percent in June versus the broad category’s 1.2 percent appreciation. That’s pretty good outperformance.

Small-cap value funds did better than the category, too, in the one-year period ending June 30, rising 21.5 percent versus a 17.6 percent increase for the Diversified Equity group. But here’s the interesting part: small-cap value significantly underperformed over the second quarter and in the year-to-date period. In those periods, large-cap growth funds shone.

That’s not really a surprise. Factors, like small-cap and value exposures, are notoriously cyclical, a point we made in “What’s Inside Your Multifactor ETF?”. But that’s not likely to be the only reason for the performance variability. The Lipper universe is mostly made up of actively managed portfolios. There’s always wide variance in the performance of active managers.

Still, we thought we’d try to assess the factor impact on performance. We can distill that by using index-tracking small-cap value ETFs. There are 10 ETFs dedicated – by name – to mirroring small-cap value indices. To make matters simple, we’ll stipulate to small-cap exposure in each fund and concentrate on evaluating just the value piece. So, how much value exposure is actually reflected in the ETFs’ performance over the long run?

It turns out that when we look at how these funds behaved over the past five years, only one fits the value mold completely. The PowerShares Russell 2000 Pure Value ETF (NYSE Arca: PXSV) amps up its value exposure by selecting stocks from the Russell 2000 and weighting them by price-to-book ratio, historical sales growth and projected growth.

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PXSR, in fact, outperformed all the small-cap value ETFs in June, rising more than 3.7 percent. The fund’s turnover, at 137 percent, is the table’s highest. That jacks up the fund’s volatility and ratchets its Sharpe ratio down a few notches. The Vanguard Small-Cap Value ETF (NYSE Arca: VBR), tops the field with its 0.90 Sharpe ratio, partly due to a lowly 18 percent turnover ratio.

What’s interesting here is the disparate expression of value among these funds. The returns generated by two funds, the First Trust Small Cap Value AlphaDEX ETF (Nasdaq: FYT) and the Guggenheim S&P SmallCap 600 Pure Value ETF (NYSE Arca: RZV)make these ETFs look like anything BUT value funds. For them, high volatility trumped all other factor expressions.

The upshot of all this? It’s not wise to be smitten by a fund’s title. All the funds in the table are self-described small-cap value portfolios. However, the degree to which they actually express these exposures varies greatly over time. Investors and their advisors need to be aware of each fund’s idiosyncrasies to ensure they’re getting what they’re paying for.