Institutional investors, such as pension funds, over the last years are investigating systematic, rule-based investment directions other than purely passive investing. Among these directions is factor-based investing. Such an evolution, results in more and more assets being traded in coordination (i.e. as an index portfolio or as a factor portfolio), which in its turn affects asset prices, risk management and financial markets globally. The factor-based approach assumes that investment returns are driven by a small number of investment factors that provide long-term premia to the investors that pursue them. Investors are looking for indices that they can follow. One vehicle that investors can employ to implement this strategy is factor Exchange Traded Funds (ETFs) as they offer stock-based factor portfolios. ETFs are popular among institutional investors that do not wish to exploit such strategies themselves but are willing to pursue them through professional ETF managers that are prepared to implement them. Fama and French have added factors to the traditional CAPM in order to better reflect the factors that determine the return of a stock or a portfolio. They have created two variants, one with three factors and another with five factors. The question we attempt to answer is how well the factor-ETFs capture the Fama-French factors. We do that by using econometric analysis to a series of ETFs that follow indices that are relevant to the Fama-French factors. Our ETF data come from Bloomberg and the Fama-French factors are taken from the Kenneth R. French Data Library at the Tuck School of Business at Dartmouth College. Our findings are of interest to investment managers, institutional investors, risk managers, as well as stock exchanges.