DON
WisdomTree U.S. MidCap Dividend Fund
HML
RMW
Adj. R2
0.924
Rel. Sharpe
0.983
Mkt beta
0.91
AUM
US$3.8B
MER
0.38%
Valuation
127
ETF comparison
Verified factor-similar pair
DON vs VBR
These US-listed equity ETFs share verified FF6 US factor exposure. The modeled volatility of their factor-return difference is at or below 3% annualized on both the same 36-month window and a longer factor-history check.
HML
Current similarity score
81
Factor-similar
The score is 100 for identical fitted exposures and 80 at the 3% modeled tracking-error limit. It includes market and non-market factors; it does not indicate which fund earned or is expected to earn more. How to read this score.
Quick Read
- VBR has the higher backtested relative Sharpe (1.017 vs 0.983).
- VBR has the lower published fee (0.05% vs 0.38%).
- DON is cheaper on dividend valuation (127 vs 137, where 100 is each fund's historical median).
- VBR has the stronger regression fit (adjusted R-squared 0.974 vs 0.924).
These are screening signals, not a complete review of portfolio construction, turnover, taxes, or trading quality.
VBR
Vanguard Small Cap Value ETF
SMB
HML
Adj. R2
0.974
Rel. Sharpe
1.017
Mkt beta
0.95
AUM
US$33.7B
MER
0.05%
Valuation
137
Market beta uses the common 36-month window through 2026-08. Adjusted R² and relative Sharpe describe each fund's separately published full-history model.
Factor Exposure Match
Blue bars compare factor beta magnitude from the same 36 months shown above. Green bars compare absolute t-stat strength; dim bars indicate |t| below 1.96. Every factor enters the distance calculation regardless of its t-statistic.
SMB
diff -0.18
HML
diff +0.10
RMW
diff +0.12
CMA
diff +0.03
UMD
diff -0.01
What Happened Over the Same 36 Months
DON adjusted total-return CAGR
12.53%
VBR adjusted total-return CAGR
15.76%
VBR ahead by 3.23 percentage points/year over 2023-09 through 2026-08. This is the observed difference between annualized compounded returns from adjusted prices, not an expected return or a factor-model estimate.
Historical factor attribution
Signed contribution to DON minus VBR, percentage points/year, using fitted 36-month exposures and average factor returns over those same months:
Market factor
-0.50
Other factors, combined
+0.39
Total factor-implied difference
-0.11
This arithmetic-average factor attribution excludes the regression intercept and fund-specific return. It therefore need not equal the observed CAGR difference and is not a forecast.
Why This Pair Matches
Modeled factor tracking error · 36m
2.83%/yr
Modeled tracking error · 120m factor history
2.83%/yr
Mkt beta diff
0.03
Rel. Sharpe diff
0.033
Fitted exposures and factor covariance estimate the volatility, not the average or direction, of the funds' modeled return difference. The common regression window is 2023-09 through 2026-08. A short-window estimate and a longer factor-history check must both be at or below 3.000%; this is a screening limit, not a forecast. Holdings, turnover, taxes and trading costs require a separate review. The Sharpe figures elsewhere on this page come from each fund's published full-history model and do not enter similarity ranking. See the full methodology.
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