VFMF — Vanguard U.S. Multifactor ETF factor decomposition

Factor return decomposition

Each bar = β_i × factor return, geometrically annualized.

Sharpe — Backtested Sim.

0.573

Rel. to market: 1.220

Sharpe — Realized

0.477

Rel. to market: 0.743

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 VFMF's regression betas to the full factor history (geometric mean per factor, annualized). The Sharpe uses VFMF'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 VFMF's lifetime only (2018-Mar → 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)	0.441	10.20	+0.87%	-1.16%
Value (HML)	0.350	9.44	+1.18%	-0.32%
Profitability (RMW)	0.153	3.07	+0.48%	+0.60%
Investment (CMA)	-0.007	-0.13	-0.02%	-0.00%
Momentum (UMD)	0.133	4.38	+0.94%	+0.24%
Factor-Beta subtotal · non-market			+3.44%	-0.65%
Alpha (intercept)	—	-0.36	-0.49%
Smart-Beta Net · Factor-Beta + Alpha			+2.96%	-1.14%
+ Mkt-RF contribution · market	0.953	40.80	+5.83%	+10.44%
= Total excess return			+8.79%	+8.99%
+ Rf base (%)			4.44% → 13.23% total	2.56% → 11.55% total

Fund snapshot

Issuer

Vanguard

Asset class

Equity

Inception

2018-02-13

Dividend yield

1.43%

Div CAGR

9.53%

Dividend valuation

115 (100=median)

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All US Leaders US Universe Methodology

Research disclaimer

Factor decomposition shows what VFMF'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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