US ETF · Fama-French 6-factor RETURNS IN USD

VIOO — Vanguard S&P Small-Cap 600 ETF

Sample 2010-Oct → 2026-Feb (185 months) · Adj. R² 0.980 · AUM US$3,560M · MER 0.07%

Factor return decomposition
Each bar = βi × factor return, geometrically annualized.
Sharpe — Backtested Sim.
0.448
Rel. to market: 1.152
Sharpe — Realized
0.531
Rel. to market: 0.606
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 VIOO's regression betas to the full factor history (geometric mean per factor, annualized). The Sharpe uses VIOO'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 VIOO'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) 0.896 34.28 +1.55% -1.71%
Value (HML) 0.218 8.65 +0.75% -0.15%
Profitability (RMW) 0.152 4.85 +0.48% +0.43%
Investment (CMA) 0.002 0.06 +0.01% +0.00%
Momentum (UMD) 0.058 3.12 +0.41% +0.16%
Factor-Beta subtotal · non-market +3.20% -1.27%
Alpha (intercept) — -0.67 -0.53%
Smart-Beta Net · Factor-Beta + Alpha +2.67% -1.80%
+ Mkt-RF contribution · market 0.980 64.43 +5.97% +12.46%
= Total excess return +8.64% +10.07%
+ Rf base (%) 4.44% → 13.08% total 1.41% → 11.48% total
Fund snapshot
Issuer
Vanguard
Asset class
Equity
Inception
2010-09-07
Dividend yield
1.17%
Div CAGR
11.81%
Dividend valuation
91 (100=median)
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Research disclaimer

Factor decomposition shows what VIOO'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.

Important context

VerifiedBeta publishes educational ETF research, not personalized investment advice, portfolio management, or security recommendations. Funds that screen well here can still be unsuitable for your objectives, taxes, liquidity needs, or constraints. Review fund documents, methodology assumptions, and your own circumstances before acting. See the full disclaimer.