VIOG — Vanguard S&P Small-Cap 600 Growth ETF factor decomposition

Factor return decomposition

Each bar = β_i × factor return, geometrically annualized.

Sharpe — Backtested Sim.

0.434

Rel. to market: 1.158

Sharpe — Realized

0.567

Rel. to market: 0.647

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 VIOG's regression betas to the full factor history (geometric mean per factor, annualized). The Sharpe uses VIOG'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 VIOG's lifetime only (2010-Oct → 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)	0.887	24.55	+1.54%	-1.69%
Value (HML)	0.075	2.15	+0.26%	-0.04%
Profitability (RMW)	0.171	3.95	+0.54%	+0.48%
Investment (CMA)	-0.052	-1.04	-0.16%	-0.01%
Momentum (UMD)	0.142	5.49	+1.00%	+0.38%
Factor-Beta subtotal · non-market			+3.19%	-0.88%
Alpha (intercept)	—	-0.69	-0.76%
Smart-Beta Net · Factor-Beta + Alpha			+2.43%	-1.63%
+ Mkt-RF contribution · market	0.978	46.49	+5.96%	+12.44%
= Total excess return			+8.39%	+10.36%
+ Rf base (%)			4.44% → 12.83% total	1.41% → 11.77% total

Fund snapshot

Issuer

Vanguard

Asset class

Equity

Inception

2010-09-07

Dividend yield

0.86%

Div CAGR

12.67%

Dividend valuation

111 (100=median)

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Research disclaimer

Factor decomposition shows what VIOG'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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