VIOV — Vanguard S&P Small-Cap 600 Value ETF factor decomposition

Factor return decomposition

Each bar = β_i × factor return, geometrically annualized.

Sharpe — Backtested Sim.

0.433

Rel. to market: 1.067

Sharpe — Realized

0.472

Rel. to market: 0.539

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 VIOV's regression betas to the full factor history (geometric mean per factor, annualized). The Sharpe uses VIOV'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 VIOV'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)	0.900	31.01	+1.56%	-1.72%
Value (HML)	0.353	12.61	+1.19%	-0.27%
Profitability (RMW)	0.115	3.31	+0.37%	+0.32%
Investment (CMA)	0.052	1.28	+0.15%	+0.01%
Momentum (UMD)	-0.040	-1.93	-0.29%	-0.11%
Factor-Beta subtotal · non-market			+2.97%	-1.76%
Alpha (intercept)	—	-0.45	-0.39%
Smart-Beta Net · Factor-Beta + Alpha			+2.58%	-2.16%
+ Mkt-RF contribution · market	0.989	58.58	+6.01%	+12.57%
= Total excess return			+8.59%	+9.56%
+ Rf base (%)			4.44% → 13.04% total	1.41% → 10.97% total

Fund snapshot

Issuer

Vanguard

Asset class

Equity

Inception

2010-09-07

Dividend yield

1.63%

Div CAGR

12.75%

Dividend valuation

99 (100=median)

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All US Leaders US Universe Methodology

Research disclaimer

Factor decomposition shows what VIOV'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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