DGRS — WisdomTree US Smallcap Quality Dividend Growth Fund factor decomposition

Factor return decomposition

Each bar = β_i × factor return, geometrically annualized.

Sharpe — Backtested Sim.

0.431

Rel. to market: 1.009

Sharpe — Realized

0.358

Rel. to market: 0.456

How are these computed?

Currency basis: returns and factor contributions on this page are in USD. Fama-French (Ken French data library, 1964→present)

Backtested Sim. applies DGRS's regression betas to the full factor history (geometric mean per factor, annualized). The Sharpe uses DGRS's realized in-sample volatility as the denominator — a deliberately conservative choice, since fixed-loading factor returns are smoother than what any real fund actually delivers.

Realized applies the same betas to the factor returns observed during DGRS's lifetime only (2013-Aug → 2026-Feb). The Sharpe is the fund's actual excess return over its actual volatility. Full methodology →

Factor exposures

Factor	β	t-stat	Backtested %	Realized %
Size (SMB)	0.856	20.27	+1.50%	-2.28%
Value (HML)	0.264	6.69	+0.90%	-0.33%
Profitability (RMW)	0.355	6.77	+1.10%	+1.18%
Investment (CMA)	0.091	1.59	+0.27%	-0.09%
Momentum (UMD)	-0.042	-1.41	-0.30%	-0.11%
Factor-Beta subtotal · non-market			+3.47%	-1.62%
Alpha (intercept)	—	-1.15	-1.47%
Smart-Beta Net · Factor-Beta + Alpha			+2.00%	-3.09%
+ Mkt-RF contribution · market	0.927	37.12	+5.70%	+10.84%
= Total excess return			+7.70%	+7.01%
+ Rf base (%)			4.44% → 12.15% total	1.72% → 8.72% total

Fund snapshot

Issuer

WisdomTree

Asset class

Equity

Inception

2013-07-25

Dividend yield

2.40%

Div CAGR

11.62%

Dividend valuation

98 (100=median)

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All US Leaders US Universe Methodology

Research disclaimer

Factor decomposition shows what DGRS's historical betas would have earned under each scenario — not a forecast, not investment advice. Backtested simulation assumes loadings stay fixed across the long sample, which is unrealistic for any real-world fund. Use this as one input to ETF due diligence, not a substitute for it.

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